/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.option;
import java.util.Collections;
import java.util.Set;
import com.opengamma.analytics.financial.equity.EquityOptionBlackPresentValueCalculator;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionInputs;
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;
/**
* Calculates the present value of an equity index or equity option using the Black formula.
* In BLACK_BASIC_METHOD, volatility is implied from MARKET_VALUE.
*/
public class EquityOptionBlackBasicPresentValueFunction extends EquityOptionBlackBasicFunction {
/** The Black present value calculator */
private static final EquityOptionBlackPresentValueCalculator s_calculator = EquityOptionBlackPresentValueCalculator.getInstance();
/**
* Default constructor
*/
public EquityOptionBlackBasicPresentValueFunction() {
super(ValueRequirementNames.PRESENT_VALUE);
}
@Override
protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs,
final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
final double pv = derivative.accept(s_calculator, market);
return Collections.singleton(new ComputedValue(resultSpec, pv));
}
}