/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option.black;
import java.util.Collections;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.calculator.SpotBlackGammaForexCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.black.BlackDiscountingSpotGammaFXOptionFunction;
/**
* The function to compute the spot gamma of Forex options in the Black model.
* @deprecated Use {@link BlackDiscountingSpotGammaFXOptionFunction}
*/
@Deprecated
public class FXOptionBlackSpotGammaFunction extends FXOptionBlackMultiValuedFunction {
public FXOptionBlackSpotGammaFunction() {
super(ValueRequirementNames.GAMMA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
if (data instanceof SmileDeltaTermStructureDataBundle) {
final double result = forex.accept(SpotBlackGammaForexCalculator.getInstance(), data);
return Collections.singleton(new ComputedValue(spec, result));
}
throw new OpenGammaRuntimeException("Can only calculate spot gamma for surfaces with smiles");
}
}