/** * 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.callspreadblack; import java.util.Collections; import java.util.Set; import com.google.common.collect.Iterables; import com.opengamma.analytics.financial.forex.calculator.GammaValueCallSpreadBlackForexCalculator; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle; 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.CalculationPropertyNamesAndValues; import com.opengamma.util.money.CurrencyAmount; /** * The function to compute the Gamma of Forex options in the Black model. */ public class FXDigitalCallSpreadBlackGammaFunction extends FXDigitalCallSpreadBlackSingleValuedFunction { public FXDigitalCallSpreadBlackGammaFunction() { super(ValueRequirementNames.VALUE_GAMMA); } @Override protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target, final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) { final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE); final double spread = Double.parseDouble(spreadName); final GammaValueCallSpreadBlackForexCalculator calculator = new GammaValueCallSpreadBlackForexCalculator(spread); final CurrencyAmount result = fxDigital.accept(calculator, data); final double amount = result.getAmount(); return Collections.singleton(new ComputedValue(spec, amount)); } }