/**
* Copyright (C) 2013 - 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.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.SURFACE;
import java.util.Collections;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.ZonedDateTime;
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.BlackFormulaRepository;
import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceMoneyness;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.analytics.util.time.TimeCalculator;
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.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
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.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.id.UniqueId;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.time.Expiry;
import com.opengamma.util.time.ExpiryAccuracy;
/**
* Computes a flat volatility surface from a single market traded option price, and a forward curve
*
*/
public class BlackVolatilitySurfaceSinglePointFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
// The Security itself is the ComputationTarget. From it, we get strike and expiry information to compute implied volatility
// The types we're concerned about: EquityOptionSecurity, EquityIndexOptionSecurity, EquityIndexFutureOptionSecurity
// For which the strings are: EQUITY_OPTION, EQUITY_INDEX_OPTION, EQUITY_INDEX_FUTURE_OPTION
final EquityOptionSecurity security = (EquityOptionSecurity) target.getSecurity();
final double strike = security.getStrike();
final Expiry expiry = security.getExpiry();
if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR) || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
throw new OpenGammaRuntimeException("There is ambiguity in the expiry date of the target security.");
}
final ZonedDateTime expiryDate = expiry.getExpiry();
final ZonedDateTime valuationDT = ZonedDateTime.now(executionContext.getValuationClock());
double timeToExpiry = TimeCalculator.getTimeBetween(valuationDT, expiryDate);
if (timeToExpiry == 0) { // TODO: See JIRA [PLAT-3222]
timeToExpiry = 0.0015;
}
// The ForwardCurve was a requirement. We get both forward and spot values from it.
// The latter is used to form the forwardOptionPrice given a (spot) market value
final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
final double forward = forwardCurve.getForward(timeToExpiry);
final double spot = forwardCurve.getForward(0.0);
// The Volatility Surface is simply a single point, which must be inferred from the market value
final Object optionPriceObject = inputs.getComputedValue(MarketDataRequirementNames.MARKET_VALUE);
if (optionPriceObject == null) {
throw new OpenGammaRuntimeException("Could not get market value of underlying option");
}
final double spotOptionPrice = (double) optionPriceObject;
final double forwardOptionPrice = spotOptionPrice * forward / spot;
double impliedVol = BlackFormulaRepository.impliedVolatility(forwardOptionPrice, forward, strike, timeToExpiry, 0.3);
final Surface<Double, Double, Double> surface = ConstantDoublesSurface.from(impliedVol);
final BlackVolatilitySurfaceMoneyness impliedVolatilitySurface = new BlackVolatilitySurfaceMoneyness(surface, forwardCurve);
final ValueProperties properties = getResultProperties(desiredValues.iterator().next());
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, impliedVolatilitySurface));
}
private ValueProperties getResultProperties(ValueRequirement next) {
// TODO Auto-generated method stub
return null;
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.SECURITY;
}
@Override
public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) {
ValueProperties properties = createValueProperties()
.with(SURFACE, "SinglePoint")
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType(target))
.withAny(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD)
.withAny(CURVE)
.get();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE, target.toSpecification(), properties));
}
// TODO: Review: I would prefer not to have to create a version of this for each instrument type...
// TODO: InstrumentType is hard-coded. Could this be derived from the target Security?
private String getInstrumentType(ComputationTarget target) {
return InstrumentTypeProperties.EQUITY_OPTION;
}
@Override
public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
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(SURFACE); // TODO: What is the effect of this? wrt typical setup with actual surfaces?
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> curveNames = constraints.getValues(CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final ValueRequirement forwardCurveRequirement = getForwardCurveRequirement(target, desiredValue);
final ValueRequirement optionPriceRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, target.getSecurity().getUniqueId());
return Sets.newHashSet(forwardCurveRequirement, optionPriceRequirement);
}
protected ValueRequirement getForwardCurveRequirement(final ComputationTarget target, final ValueRequirement desiredValue) {
final String forwardCurveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String curveCalculationMethod = desiredValue.getConstraint(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, forwardCurveName)
.with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, curveCalculationMethod)
.get();
// FIXME This isn't quite going to fly. We need the Security (i.e. the Option) to get its price, ttm and strike,
// but we also need the Underlying, either to specify the Forward to build, or we can do it via the Spot price and a discount curve..
// !!! What I've done below will probably work as a gap-solution. Just need to follow EquityForwardCurveFunction's getResults
ExternalId underlyingExtId = ((EquityOptionSecurity) target.getSecurity()).getUnderlyingId();
UniqueId underlyingUniqId = UniqueId.of(underlyingExtId);
ComputationTargetSpecification underlyingSpec = ComputationTargetSpecification.of(underlyingUniqId);
return new ValueRequirement(ValueRequirementNames.FORWARD_CURVE, underlyingSpec, properties);
}
private static final Logger s_logger = LoggerFactory.getLogger(BlackVolatilitySurfaceSinglePointFunction.class);
}