/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import static com.opengamma.engine.value.ValueRequirementNames.POSITION_GAMMA;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.blackstirfutures.PositionGammaSTIRFutureOptionCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
* Calculates the position gamma of interest rate future options using a Black surface and
* curves constructed using the discounting method.
*/
public class BlackDiscountingPositionGammaIRFutureOptionFunction extends BlackDiscountingIRFutureOptionFunction {
/** The position gamma calculator */
private static final InstrumentDerivativeVisitor<BlackSTIRFuturesSmileProviderInterface, Double> CALCULATOR =
PositionGammaSTIRFutureOptionCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#POSITION_GAMMA}
*/
public BlackDiscountingPositionGammaIRFutureOptionFunction() {
super(POSITION_GAMMA);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
final double positionGamma = derivative.accept(CALCULATOR, blackData);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(POSITION_GAMMA, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, positionGamma));
}
};
}
}