/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.volatility.surface;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.engine.ComputationTarget;
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;
/**
* Function to shift a volatility surface, implemented using properties and constraints.
*/
public class VolatilitySurfaceShiftFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(VolatilitySurfaceShiftFunction.class);
/**
* Property to shift a volatility surface.
*/
public static final String SHIFT = "SHIFT";
@Override
public String getShortName() {
return "VolatilitySurfaceShift";
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> shift = constraints.getValues(SHIFT);
if ((shift == null) || shift.isEmpty() || constraints.isOptional(SHIFT)) {
return null;
}
final ValueProperties properties = desiredValue.getConstraints().copy().withoutAny(SHIFT).with(SHIFT, "0").withOptional(SHIFT).get();
return Collections.singleton(new ValueRequirement(desiredValue.getValueName(), target.toSpecification(), properties));
}
private ValueProperties.Builder createValueProperties(final ValueSpecification input) {
return input.getProperties().copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId());
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueSpecification input = inputs.keySet().iterator().next();
final ValueProperties properties = createValueProperties(input).withAny(SHIFT).get();
return Collections.singleton(new ValueSpecification(input.getValueName(), input.getTargetSpecification(), properties));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ComputedValue input = inputs.getAllValues().iterator().next();
final ValueSpecification inputSpec = input.getSpecification();
VolatilitySurface volatilitySurface = (VolatilitySurface) input.getValue();
final ValueProperties.Builder properties = createValueProperties(inputSpec);
final String shift = desiredValues.iterator().next().getConstraint(SHIFT);
properties.with(SHIFT, shift);
try {
final double shiftAmount = Double.parseDouble(shift);
volatilitySurface = volatilitySurface.withConstantMultiplicativeShift(shiftAmount);
} catch (NumberFormatException e) {
s_logger.error("Volatility surface shift not valid - {}", shift);
}
return Collections.singleton(new ComputedValue(new ValueSpecification(inputSpec.getValueName(), inputSpec.getTargetSpecification(), properties.get()), volatilitySurface));
}
}