/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabrcube;
import java.util.Collections;
import java.util.Set;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRRightExtrapolationCalculator;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.DoubleLabelledMatrix2D;
import com.opengamma.financial.security.FinancialSecurityUtils;
/**
* Calculates sensitivities with respect to the SABR parameters.
* @deprecated The parent of this class is deprecated
*/
@Deprecated
public abstract class SABRRightExtrapolationPVSABRSensitivityFunction extends SABRRightExtrapolationFunction {
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
final ValueProperties properties = getResultProperties(createValueProperties().get(), currency);
return Collections.singleton(new ValueSpecification(getValueRequirement(), target.toSpecification(), properties));
}
@Override
protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
final PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
return getResultAsMatrix(derivative.accept(calculator, data));
}
protected abstract DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities);
/**
* Function to get the sensitivity to the alpha parameter
*/
public static class Alpha extends SABRRightExtrapolationPVSABRSensitivityFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE_SABR_ALPHA_SENSITIVITY;
}
@Override
protected DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities) {
return SABRCubeUtils.toDoubleLabelledMatrix2D(sensitivities.getAlpha());
}
}
/**
* Function to get the sensitivity to the rho parameter
*/
public static class Rho extends SABRRightExtrapolationPVSABRSensitivityFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE_SABR_RHO_SENSITIVITY;
}
@Override
protected DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities) {
return SABRCubeUtils.toDoubleLabelledMatrix2D(sensitivities.getRho());
}
}
/**
* Function to get the sensitivity to the nu parameter
*/
public static class Nu extends SABRRightExtrapolationPVSABRSensitivityFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE_SABR_NU_SENSITIVITY;
}
@Override
protected DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities) {
return SABRCubeUtils.toDoubleLabelledMatrix2D(sensitivities.getNu());
}
}
}