/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.surface.black;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SABR_EXTERNAL_BETA;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SABR_MODEL;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SABR_USE_EXTERNAL_BETA;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SABR_WEIGHTING_FUNCTION;
import java.util.Set;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.GeneralSmileInterpolator;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.SmileInterpolatorSABR;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.WeightingFunction;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.WeightingFunctionFactory;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionFactory;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
/**
*
*/
public class BlackVolatilitySurfaceSABRInterpolatorFunction extends BlackVolatilitySurfaceInterpolatorFunction {
@Override
protected Set<ValueRequirement> getSpecificRequirements(final ValueProperties constraints) {
return BlackVolatilitySurfacePropertyUtils.ensureSABRVolatilityInterpolatorProperties(constraints);
}
@Override
protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
final String modelName = desiredValue.getConstraint(PROPERTY_SABR_MODEL);
final String weightingFunctionName = desiredValue.getConstraint(PROPERTY_SABR_WEIGHTING_FUNCTION);
final VolatilityFunctionProvider<SABRFormulaData> model = (VolatilityFunctionProvider<SABRFormulaData>) VolatilityFunctionFactory.getCalculator(modelName);
final WeightingFunction weightingFunction = WeightingFunctionFactory.getWeightingFunction(weightingFunctionName);
final boolean useExternalBeta = Boolean.parseBoolean(desiredValue.getConstraint(PROPERTY_SABR_USE_EXTERNAL_BETA));
if (useExternalBeta) {
final double beta = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SABR_EXTERNAL_BETA));
return new SmileInterpolatorSABR(model, beta, weightingFunction);
}
return new SmileInterpolatorSABR(model, weightingFunction);
}
@Override
protected ValueProperties getResultProperties() {
return BlackVolatilitySurfacePropertyUtils.addSABRVolatilityInterpolatorProperties(createValueProperties().get()).get();
}
@Override
protected ValueProperties getResultProperties(final ValueRequirement desiredValue) {
return BlackVolatilitySurfacePropertyUtils.addSABRVolatilityInterpolatorProperties(createValueProperties().get(), desiredValue).get();
}
}