/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.volatility;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalTime;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
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.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.SurfaceAndCubePropertyNames;
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.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.equity.EquitySecurityUtils;
import com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceSpecificationSource;
import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceSpecification;
import com.opengamma.id.UniqueId;
import com.opengamma.util.money.UnorderedCurrencyPair;
/**
*
*/
public class VolatilitySurfaceSpecificationFunction extends AbstractFunction {
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext outerContext, final Instant atInstant) {
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(outerContext);
final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT).toInstant(), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000).toInstant()) {
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String instrumentType = desiredValue.getConstraint(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
VolatilitySurfaceSpecification specification = null;
if (instrumentType.equals(InstrumentTypeProperties.FOREX)) {
final UnorderedCurrencyPair pair = UnorderedCurrencyPair.of(target.getUniqueId());
String name = pair.getFirstCurrency().getCode() + pair.getSecondCurrency().getCode();
String fullSpecificationName = surfaceName + "_" + name;
specification = source.getSpecification(fullSpecificationName, instrumentType);
if (specification == null) {
name = pair.getSecondCurrency().getCode() + pair.getFirstCurrency().getCode();
fullSpecificationName = surfaceName + "_" + name;
specification = source.getSpecification(fullSpecificationName, instrumentType);
if (specification == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName);
}
}
} else if (instrumentType.equals(InstrumentTypeProperties.EQUITY_OPTION) || instrumentType.equals(InstrumentTypeProperties.EQUITY_FUTURE_OPTION)) {
final String fullSpecificationName = surfaceName + "_" + EquitySecurityUtils.getTrimmedTarget(UniqueId.parse(target.getValue().toString()));
specification = source.getSpecification(fullSpecificationName, instrumentType);
if (specification == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName + " for instrument type " + instrumentType);
}
} else {
final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
specification = source.getSpecification(fullSpecificationName, instrumentType);
if (specification == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName + " for instrument type " + instrumentType);
}
}
@SuppressWarnings("synthetic-access")
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_SPEC, target.toSpecification(),
createValueProperties()
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, instrumentType)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType())
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits()).get());
return Collections.singleton(new ComputedValue(spec, specification));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.ANYTHING;
}
@SuppressWarnings("synthetic-access")
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_SPEC, target.toSpecification(),
createValueProperties()
.withAny(ValuePropertyNames.SURFACE)
.withAny(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE)
.withAny(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE)
.withAny(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> surfaceNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> instrumentTypes = desiredValue.getConstraints().getValues(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
if (instrumentTypes == null || instrumentTypes.size() != 1) {
return null;
}
return Collections.emptySet();
}
};
}
}