/**
* 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.EquityOptionBlackSpotVannaCalculator;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
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;
/**
* Vanna w.r.t. the spot underlying, i.e. the 2nd order cross-sensitivity of the present value to the spot underlying and implied vol,
* $\frac{\partial^2 (PV)}{\partial spot \partial \sigma}$
*/
public class ListedEquityOptionBlackSpotVannaFunction extends ListedEquityOptionBlackFunction {
/** Spot vanna calculator */
private static final InstrumentDerivativeVisitor<StaticReplicationDataBundle, Double> CALCULATOR = EquityOptionBlackSpotVannaCalculator.getInstance();
/**
* Default constructor
*/
public ListedEquityOptionBlackSpotVannaFunction() {
super(ValueRequirementNames.VANNA);
}
@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 spotVanna = derivative.accept(CALCULATOR, market);
return Collections.singleton(new ComputedValue(resultSpec, spotVanna));
}
}