/**
* 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.Set;
import com.opengamma.analytics.financial.equity.EquityOptionBlackRhoCalculator;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.equity.option.EquityIndexOption;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
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 rho (first order sensitivity of price with respect to the interest rate) of a vanilla equity barrier option
* using the Black formula.
*/
public class EquityVanillaBarrierOptionRhoFunction extends EquityVanillaBarrierOptionBlackFunction {
private static final InstrumentDerivativeVisitor<StaticReplicationDataBundle, Double> CALCULATOR = EquityOptionBlackRhoCalculator.getInstance();
/**
* Default constructor
*/
public EquityVanillaBarrierOptionRhoFunction() {
super(ValueRequirementNames.VALUE_RHO);
}
@Override
protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, 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);
double rho = 0.0;
for (final EquityIndexOption derivative : vanillaOptions) {
rho += derivative.accept(CALCULATOR, market);
}
return Collections.singleton(new ComputedValue(resultSpec, rho));
}
}