/**
* 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));
}
}