/**
* Copyright (C) 2012 - 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.Map;
import java.util.Set;
import com.opengamma.analytics.financial.equity.EquityOptionBlackImpliedVolatilityCalculator;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionCompilationContext;
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 Black implied volatility of an equity index option.
*/
public class EquityOptionBlackImpliedVolFunction extends EquityOptionBlackFunction {
/** Implied volatility calculator */
private static final InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, Double> CALCULATOR = EquityOptionBlackImpliedVolatilityCalculator.getInstance();
/**
* Sets the result to {@link ValueRequirementNames#IMPLIED_VOLATILITY}
*/
public EquityOptionBlackImpliedVolFunction() {
super(ValueRequirementNames.IMPLIED_VOLATILITY);
}
@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 impliedVol = derivative.accept(CALCULATOR, market);
return Collections.singleton(new ComputedValue(resultSpec, impliedVol));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final Set<ValueSpecification> resultsWithCcy = super.getResults(context, target, inputs);
return getResultsWithoutCurrency(resultsWithCcy);
}
}