/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.varianceswap;
import java.util.Collections;
import java.util.Set;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.SmileSurfaceDataBundle;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.marketdatasnapshot.VolatilitySurfaceData;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetReference;
import com.opengamma.engine.target.ComputationTargetRequirement;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.conversion.EquityVarianceSwapConverter;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames;
import com.opengamma.financial.analytics.model.volatility.local.PDEPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfaceUtils;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;
/**
*
*/
public abstract class EquityVarianceSwapFunction extends AbstractFunction.NonCompiledInvoker {
/** Property for the type of volatility surface to use */
public static final String PROPERTY_VOLATILITY_SURFACE_TYPE = "VolatilitySurfaceType";
/** Pure implied volatility calculation method */
public static final String PURE_IMPLIED_VOLATILITY = "PureImpliedVolatility";
/** Pure local volatility calculation method */
public static final String PURE_LOCAL_VOLATILITY = "PureLocalVolatility";
private EquityVarianceSwapConverter _converter;
@Override
public void init(final FunctionCompilationContext context) {
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
_converter = new EquityVarianceSwapConverter(holidaySource);
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties()
.withAny(PDEPropertyNamesAndValues.PROPERTY_DISCOUNTING_CURVE_NAME)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.CURVE_CURRENCY)
.withAny(ValuePropertyNames.CURVE)
.withAny(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD)
.withAny(ValuePropertyNames.SURFACE)
.with(ValuePropertyNames.CALCULATION_METHOD, getCalculationMethod())
.with(PROPERTY_VOLATILITY_SURFACE_TYPE, getVolatilitySurfaceType())
.get();
return Collections.singleton(new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> discountingCurveNames = constraints.getValues(PDEPropertyNamesAndValues.PROPERTY_DISCOUNTING_CURVE_NAME);
if (discountingCurveNames == null || discountingCurveNames.size() != 1) {
return null;
}
final Set<String> forwardCurveCalculationConfigs = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (forwardCurveCalculationConfigs == null || forwardCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> forwardCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (forwardCurveNames == null || forwardCurveNames.size() != 1) {
return null;
}
final Set<String> forwardCurveCalculationMethods = constraints.getValues(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
if (forwardCurveCalculationMethods == null || forwardCurveCalculationMethods.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> curveCurrencies = constraints.getValues(ValuePropertyNames.CURVE_CURRENCY);
if (curveCurrencies == null || curveCurrencies.size() != 1) {
return null;
}
final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
ExternalId underlyingId = security.getSpotUnderlyingId();
if (underlyingId.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER)) {
underlyingId = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK, underlyingId.getValue());
}
final ComputationTargetRequirement underlyingTarget = ComputationTargetRequirement.of(underlyingId);
final ValueRequirement spotRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, underlyingTarget);
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final ValueRequirement discountingCurveRequirement = getCurveRequirement(currency, desiredValue);
final ValueRequirement dividendsRequirement = getDividendRequirement(underlyingTarget);
final ValueRequirement forwardCurveRequirement = getForwardCurveRequirement(underlyingTarget, desiredValue);
final ValueRequirement volatilityRequirement = getVolatilityRequirement(underlyingTarget, desiredValue);
final ValueRequirement underlyingTSRequirement = getTimeSeriesRequirement(context, security);
return Sets.newHashSet(spotRequirement, discountingCurveRequirement, forwardCurveRequirement, volatilityRequirement, underlyingTSRequirement, dividendsRequirement);
//dividendsRequirement
}
private ValueRequirement getCurveRequirement(final Currency currency, final ValueRequirement desiredValue) {
final String curveName = desiredValue.getConstraint(PDEPropertyNamesAndValues.PROPERTY_DISCOUNTING_CURVE_NAME);
final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(currency), properties);
}
private ValueRequirement getDividendRequirement(final ComputationTargetReference target) {
return new ValueRequirement(ValueRequirementNames.AFFINE_DIVIDENDS, target, ValueProperties.none());
}
private ValueRequirement getForwardCurveRequirement(final ComputationTargetReference target, final ValueRequirement desiredValue) {
final String forwardCurveCcyName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
final String discountingCurveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String curveCalculationMethod = desiredValue.getConstraint(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CURRENCY, forwardCurveCcyName)
.with(ValuePropertyNames.CURVE, discountingCurveName)
.with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, curveCalculationMethod)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.get();
return new ValueRequirement(ValueRequirementNames.FORWARD_CURVE, target, properties);
}
private ValueRequirement getVolatilityRequirement(final ComputationTargetReference target, final ValueRequirement desiredValue) {
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION)
.get();
return new ValueRequirement(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target, properties);
}
private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) {
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
if (timeSeries == null) {
return null;
}
return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
}
protected SmileSurfaceDataBundle getData(final FunctionInputs inputs) {
final Object volatilitySurfaceObject = inputs.getValue(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface data");
}
final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
@SuppressWarnings("unchecked")
final VolatilitySurfaceData<Object, Object> volatilitySurface = (VolatilitySurfaceData<Object, Object>) volatilitySurfaceObject;
return BlackVolatilitySurfaceUtils.getDataFromStandardQuotes(forwardCurve, volatilitySurface);
}
protected EquityVarianceSwapConverter getConverter() {
return _converter;
}
protected abstract String getValueRequirementName();
protected abstract String getCalculationMethod();
protected abstract String getVolatilitySurfaceType();
}