com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesMarketDataFunction.java Source code

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Here is the source code for com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesMarketDataFunction.java

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/*
 * Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.measure.fxopt;

import static com.opengamma.strata.collect.Guavate.toImmutableList;

import java.time.LocalDate;
import java.time.ZonedDateTime;
import java.util.stream.IntStream;

import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.calc.marketdata.MarketDataConfig;
import com.opengamma.strata.calc.marketdata.MarketDataFunction;
import com.opengamma.strata.calc.marketdata.MarketDataRequirements;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.scenario.MarketDataBox;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.measure.ValuationZoneTimeDefinition;
import com.opengamma.strata.pricer.fxopt.FxOptionVolatilities;
import com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId;

/**
 * Market data function that builds FX option volatilities.
 * <p>
 * This function creates FX option volatilities, turning {@code FxOptionVolatilitiesId} into {@code FxOptionVolatilities}.
 */
public class FxOptionVolatilitiesMarketDataFunction
        implements MarketDataFunction<FxOptionVolatilities, FxOptionVolatilitiesId> {

    @Override
    public MarketDataRequirements requirements(FxOptionVolatilitiesId id, MarketDataConfig marketDataConfig) {

        FxOptionVolatilitiesDefinition volatilitiesDefinition = marketDataConfig
                .get(FxOptionVolatilitiesDefinition.class, id.getName().getName());
        return MarketDataRequirements.builder().addValues(volatilitiesDefinition.volatilitiesInputs()).build();
    }

    @Override
    public MarketDataBox<FxOptionVolatilities> build(FxOptionVolatilitiesId id, MarketDataConfig marketDataConfig,
            ScenarioMarketData marketData, ReferenceData refData) {

        FxOptionVolatilitiesDefinition volatilitiesDefinition = marketDataConfig
                .get(FxOptionVolatilitiesDefinition.class, id.getName().getName());
        ValuationZoneTimeDefinition zoneTimeDefinition = marketDataConfig.get(ValuationZoneTimeDefinition.class);
        int nScenarios = marketData.getScenarioCount();
        MarketDataBox<LocalDate> valuationDates = marketData.getValuationDate();
        MarketDataBox<ZonedDateTime> valuationDateTimes = zoneTimeDefinition.toZonedDateTime(valuationDates);

        int nParameters = volatilitiesDefinition.getParameterCount();
        ImmutableList<MarketDataBox<Double>> inputs = volatilitiesDefinition.volatilitiesInputs().stream()
                .map(q -> marketData.getValue(q)).collect(toImmutableList());
        ImmutableList<FxOptionVolatilities> vols = IntStream.range(0, nScenarios)
                .mapToObj(scenarioIndex -> volatilitiesDefinition
                        .volatilities(valuationDateTimes.getValue(scenarioIndex),
                                DoubleArray.of(nParameters,
                                        paramIndex -> inputs.get(paramIndex).getValue(scenarioIndex)),
                                refData))
                .collect(toImmutableList());

        return nScenarios > 1 ? MarketDataBox.ofScenarioValues(vols) : MarketDataBox.ofSingleValue(vols.get(0));
    }

    @Override
    public Class<FxOptionVolatilitiesId> getMarketDataIdType() {
        return FxOptionVolatilitiesId.class;
    }

}