/**
* 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.VALUE_VEGA;
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.interestrate.PresentValueBlackSwaptionSensitivity;
import com.opengamma.analytics.financial.provider.calculator.blackswaption.PresentValueBlackSensitivityBlackSwaptionCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProviderInterface;
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 value vega of swaptions using a Black surface and
* curves constructed using the discounting method.
*/
public class BlackDiscountingValueVegaSwaptionFunction extends BlackDiscountingSwaptionFunction {
/** The value vega calculator */
private static final InstrumentDerivativeVisitor<BlackSwaptionFlatProviderInterface, PresentValueBlackSwaptionSensitivity> CALCULATOR =
PresentValueBlackSensitivityBlackSwaptionCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#VALUE_VEGA}
*/
public BlackDiscountingValueVegaSwaptionFunction() {
super(VALUE_VEGA);
}
@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 BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
final PresentValueBlackSwaptionSensitivity sensitivities = derivative.accept(CALCULATOR, blackData);
final double vega = sensitivities.getSensitivity().toSingleValue();
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(VALUE_VEGA, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, vega));
}
};
}
}