com.opengamma.financial.analytics.model.riskfactor.option.UnderlyingTypeToValueRequirementMapper.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.riskfactor.option.UnderlyingTypeToValueRequirementMapper.java

Source

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.riskfactor.option;

import org.apache.commons.lang.NotImplementedException;

import com.opengamma.analytics.financial.pnl.UnderlyingType;
import com.opengamma.core.security.Security;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.security.equity.EquitySecurity;
import com.opengamma.financial.security.option.EquityOptionSecurity;

/**
 * Maps an underlying type.
 */
public class UnderlyingTypeToValueRequirementMapper {

    public static ValueRequirement getValueRequirement(final UnderlyingType underlying, final Security security) {
        if (security instanceof EquityOptionSecurity) {
            final EquityOptionSecurity option = (EquityOptionSecurity) security;
            switch (underlying) {
            case SPOT_PRICE:
                return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY,
                        option.getUnderlyingId());
            case SPOT_VOLATILITY:
                throw new NotImplementedException(
                        "Don't know how to get spot volatility for " + option.getUniqueId());
            case IMPLIED_VOLATILITY:
                throw new NotImplementedException(
                        "Don't know how to get implied volatility for " + option.getUniqueId());
            case INTEREST_RATE:
                return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetType.SECURITY,
                        option.getUniqueId());
            case COST_OF_CARRY:
                throw new NotImplementedException(
                        "Don't know how to get cost of carry for " + option.getUniqueId());
            default:
                throw new NotImplementedException("Don't know how to get ValueRequirement for " + underlying);
            }
        } else if (security instanceof EquitySecurity) {
            final EquitySecurity equity = (EquitySecurity) security;
            if (underlying == UnderlyingType.SPOT_PRICE) {
                return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY,
                        equity.getUniqueId());
            } else {
                throw new NotImplementedException("Don't know how to get ValueRequirement for " + underlying);
            }
        } else {
            throw new NotImplementedException(
                    "Can only get ValueRequirements for EquityOptionSecurity and EquitySecurity. Was " + security
                            + ")");
        }
    }

}