/**
* Copyright (C) 2012 - 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.HashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Period;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.marketdatasnapshot.VolatilitySurfaceData;
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.SurfaceAndCubePropertyNames;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.ObjectsPair;
import com.opengamma.util.tuple.Pair;
import it.unimi.dsi.fastutil.doubles.DoubleArrayList;
/**
*
*/
public class SwaptionATMVolatilitySurfaceDataFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(SwaptionATMVolatilitySurfaceDataFunction.class);
@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);
String surfaceQuoteType = null;
String surfaceQuoteUnits = null;
for (final ComputedValue input : inputs.getAllValues()) {
final ValueSpecification spec = input.getSpecification();
final String valueName = spec.getValueName();
if (valueName.equals(ValueRequirementNames.VOLATILITY_SURFACE_DATA)) {
surfaceQuoteType = spec.getProperty(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE);
surfaceQuoteUnits = spec.getProperty(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS);
break;
}
}
if (surfaceQuoteType == null) {
throw new OpenGammaRuntimeException("Could not get surface quote type");
}
if (surfaceQuoteUnits == null) {
throw new OpenGammaRuntimeException("Could not get surface quote units");
}
final ValueProperties surfaceProperties = ValueProperties.builder().with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, surfaceQuoteType).with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, surfaceQuoteUnits)
.get();
final Object volatilityDataObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), surfaceProperties));
if (volatilityDataObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface data");
}
@SuppressWarnings("unchecked")
final VolatilitySurfaceData<Tenor, Tenor> surfaceData = (VolatilitySurfaceData<Tenor, Tenor>) volatilityDataObject;
final ValueProperties properties = createValueProperties().with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM).get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, getSurface(surfaceData)));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties().withAny(ValuePropertyNames.SURFACE)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM).get();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties));
}
@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) {
throw new OpenGammaRuntimeException("Can only get a single surface; asked for " + surfaceNames);
}
final String surfaceName = surfaceNames.iterator().next();
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.SWAPTION_ATM);
if (specification == null) {
s_logger.error("Could not get volatility surface specification named " + fullSpecificationName);
return null;
}
final String surfaceQuoteType = specification.getSurfaceQuoteType();
final String surfaceQuoteUnits = specification.getQuoteUnits();
if (!surfaceQuoteType.equals(SurfaceAndCubeQuoteType.EXPIRY_MATURITY_ATM)) {
s_logger.error("Cannot use this function for surfaces with quote types other than {}, asked for {}", SurfaceAndCubeQuoteType.EXPIRY_MATURITY_ATM, surfaceQuoteType);
return null;
}
if (!surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.VOLATILITY_QUOTE)) {
s_logger.error("Cannot use this function for surfaces with quote types other than {}, asked for {}", SurfaceAndCubePropertyNames.VOLATILITY_QUOTE,
surfaceQuoteUnits);
return null;
}
final ValueProperties surfaceProperties = ValueProperties.builder().with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType())
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits()).get();
return Collections.singleton(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), surfaceProperties));
}
private static VolatilitySurfaceData<Double, Double> getSurface(final VolatilitySurfaceData<Tenor, Tenor> volatilities) {
final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<Pair<Double, Double>, Double>();
final DoubleArrayList xList = new DoubleArrayList();
final DoubleArrayList yList = new DoubleArrayList();
for (final Tenor x : volatilities.getUniqueXValues()) {
final double xTime = getTime(x);
final List<ObjectsPair<Tenor, Double>> yValuesForX = volatilities.getYValuesForX(x);
for (final ObjectsPair<Tenor, Double> pair : yValuesForX) {
final double yTime = getTime(pair.getFirst());
final Double volatility = pair.getSecond();
if (volatility != null) {
xList.add(xTime);
yList.add(yTime);
volatilityValues.put(Pair.of(xTime, yTime), volatility);
}
}
}
return new VolatilitySurfaceData<Double, Double>(volatilities.getDefinitionName(), volatilities.getSpecificationName(), volatilities.getTarget(),
xList.toArray(new Double[0]), yList.toArray(new Double[0]), volatilityValues);
}
//TODO not the best way to do this
private static double getTime(final Tenor tenor) {
final Period period = tenor.getPeriod();
if (period.getYears() != 0) {
return period.getYears();
} else if (period.getMonths() != 0) {
return period.getMonths() / 12.;
} else if (period.getDays() != 0) {
return period.getDays() / 365.;
}
throw new OpenGammaRuntimeException("Cannot handle tenor " + period);
}
}