com.opengamma.web.analytics.formatting.BlackVolatilitySurfaceMoneynessFcnBackedByGridFormatter.java Source code

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Here is the source code for com.opengamma.web.analytics.formatting.BlackVolatilitySurfaceMoneynessFcnBackedByGridFormatter.java

Source

/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.web.analytics.formatting;

import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeSet;

import com.google.common.collect.Lists;
import com.google.common.collect.Maps;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.SmileSurfaceDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceMoneynessFcnBackedByGrid;
import com.opengamma.engine.value.ValueSpecification;

/* package */ class BlackVolatilitySurfaceMoneynessFcnBackedByGridFormatter
        extends AbstractFormatter<BlackVolatilitySurfaceMoneynessFcnBackedByGrid> {

    /* package */ BlackVolatilitySurfaceMoneynessFcnBackedByGridFormatter() {
        super(BlackVolatilitySurfaceMoneynessFcnBackedByGrid.class);
        addFormatter(new Formatter<BlackVolatilitySurfaceMoneynessFcnBackedByGrid>(Format.EXPANDED) {
            @Override
            Object format(BlackVolatilitySurfaceMoneynessFcnBackedByGrid value, ValueSpecification valueSpec,
                    Object inlineKey) {
                return formatExpanded(value);
            }
        });
    }

    @Override
    public Object formatCell(BlackVolatilitySurfaceMoneynessFcnBackedByGrid value, ValueSpecification valueSpec,
            Object inlineKey) {
        return SurfaceFormatterUtils.formatCell(value.getSurface());
    }

    private Object formatExpanded(BlackVolatilitySurfaceMoneynessFcnBackedByGrid value) {
        SmileSurfaceDataBundle gridData = value.getGridData();
        Set<Double> strikes = new TreeSet<Double>();
        for (double[] outer : gridData.getStrikes()) {
            for (double inner : outer) {
                strikes.add(inner);
            }
        }
        List<Double> vol = Lists.newArrayList();
        // x values (outer loop of vol) strikes
        // y values (inner loop of vol) expiries
        List<Double> expiries = Lists.newArrayListWithCapacity(gridData.getExpiries().length);
        for (double expiry : gridData.getExpiries()) {
            expiries.add(expiry);
        }
        for (Double strike : strikes) {
            for (Double expiry : expiries) {
                vol.add(value.getVolatility(expiry, strike));
            }
        }
        Map<String, Object> results = Maps.newHashMap();
        results.put(SurfaceFormatterUtils.X_VALUES, expiries);
        results.put(SurfaceFormatterUtils.X_LABELS, SurfaceFormatterUtils.getAxisLabels(expiries));
        results.put(SurfaceFormatterUtils.X_TITLE, "Time to Expiry");
        results.put(SurfaceFormatterUtils.Y_VALUES, strikes);
        results.put(SurfaceFormatterUtils.Y_LABELS, SurfaceFormatterUtils.getAxisLabels(strikes));
        results.put(SurfaceFormatterUtils.Y_TITLE, "Strike");
        results.put(SurfaceFormatterUtils.VOL, vol);
        return results;
    }

    @Override
    public DataType getDataType() {
        return DataType.SURFACE_DATA;
    }
}