/**
* 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_TIME_AXIS;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_TIME_INTERPOLATOR;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_TIME_LEFT_EXTRAPOLATOR;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_TIME_RIGHT_EXTRAPOLATOR;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_VOLATILITY_TRANSFORM;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_Y_AXIS;
import java.util.Collections;
import java.util.Set;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.GeneralSmileInterpolator;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
*
*/
public abstract class BlackVolatilitySurfaceInterpolatorFunction extends AbstractFunction.NonCompiledInvoker {
@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 timeAxis = desiredValue.getConstraint(PROPERTY_TIME_AXIS);
final boolean useLogTime = BlackVolatilitySurfacePropertyUtils.useLogTime(timeAxis);
final String yAxis = desiredValue.getConstraint(PROPERTY_Y_AXIS);
final boolean useLogValue = BlackVolatilitySurfacePropertyUtils.useLogYAxis(yAxis);
final String volatilityTransform = desiredValue.getConstraint(PROPERTY_VOLATILITY_TRANSFORM);
final boolean useIntegratedVariance = BlackVolatilitySurfacePropertyUtils.useIntegratedVariance(volatilityTransform);
final GeneralSmileInterpolator smileInterpolator = getSmileInterpolator(desiredValue);
final String interpolator = desiredValue.getConstraint(PROPERTY_TIME_INTERPOLATOR);
final String leftExtrapolator = desiredValue.getConstraint(PROPERTY_TIME_LEFT_EXTRAPOLATOR);
final String rightExtrapolator = desiredValue.getConstraint(PROPERTY_TIME_RIGHT_EXTRAPOLATOR);
final Interpolator1D timeInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolator, leftExtrapolator, rightExtrapolator);
final VolatilitySurfaceInterpolator surfaceInterpolator = new VolatilitySurfaceInterpolator(smileInterpolator, timeInterpolator, useLogTime, useIntegratedVariance, useLogValue);
final ValueProperties properties = getResultProperties(desiredValue);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE_INTERPOLATOR, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, surfaceInterpolator));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.NULL;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = getResultProperties();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE_INTERPOLATOR, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<ValueRequirement> requirements = BlackVolatilitySurfacePropertyUtils.ensureCommonVolatilityInterpolatorProperties(constraints);
if (requirements == null) {
return null;
}
return getSpecificRequirements(constraints);
}
protected abstract Set<ValueRequirement> getSpecificRequirements(final ValueProperties constraints);
protected abstract GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue);
protected abstract ValueProperties getResultProperties();
protected abstract ValueProperties getResultProperties(final ValueRequirement desiredValue);
}