/**
* 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.PresentValueBlackVolatilityQuoteSensitivityForexCalculator;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle;
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.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.VegaMatrixUtils;
import com.opengamma.financial.analytics.model.black.BlackDiscountingVegaQuoteMatrixFXOptionFunction;
import com.opengamma.financial.currency.CurrencyPair;
/**
* Calculates the vega quote matrix for FX options
* @deprecated Use {@link BlackDiscountingVegaQuoteMatrixFXOptionFunction}
*/
@Deprecated
public class FXOptionBlackVegaQuoteMatrixFunction extends FXOptionBlackSingleValuedFunction {
private static final PresentValueBlackVolatilityQuoteSensitivityForexCalculator CALCULATOR = PresentValueBlackVolatilityQuoteSensitivityForexCalculator.getInstance();
public FXOptionBlackVegaQuoteMatrixFunction() {
super(ValueRequirementNames.VEGA_QUOTE_MATRIX);
}
@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 PresentValueForexBlackVolatilityQuoteSensitivityDataBundle result = CALCULATOR.visit(forex, (SmileDeltaTermStructureDataBundle) data);
return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXQuoteMatrix(result)));
}
throw new OpenGammaRuntimeException("Can only calculate vega quote matrix for surfaces with smiles");
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
final ValueProperties.Builder properties = super.getResultProperties(target);
properties.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String putCurve, final String putCurveCalculationConfig,
final String callCurve, final String callCurveCalculationConfig, final CurrencyPair baseQuotePair, final ValueProperties optionalProperties) {
final ValueProperties.Builder properties = super.getResultProperties(target, putCurve, putCurveCalculationConfig, callCurve, callCurveCalculationConfig, baseQuotePair,
optionalProperties);
properties.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
final ValueProperties.Builder properties = super.getResultProperties(target, desiredValue, baseQuotePair);
properties.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX);
return properties;
}
}