/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.futureoption;
import java.util.Collections;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.riskfactor.ValueGammaCalculator;
import com.opengamma.analytics.financial.riskfactor.ValueGreekCalculator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionCompilationContext;
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;
/**
* Calculates the value gamma of a commodity future option using the Black gamma.
*/
public class CommodityFutureOptionBlackValueGammaFunction extends CommodityFutureOptionBlackFunction {
/** Value gamma calculator */
private static final ValueGreekCalculator CALCULATOR = ValueGammaCalculator.getInstance();
/**
* Default constructor
*/
public CommodityFutureOptionBlackValueGammaFunction() {
super(ValueRequirementNames.VALUE_GAMMA);
}
@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 Object gammaObject = inputs.getValue(ValueRequirementNames.GAMMA);
if (gammaObject == null) {
throw new OpenGammaRuntimeException("Could not get gamma");
}
final double delta = (Double) gammaObject;
final double valueGamma = CALCULATOR.valueGreek(derivative, market, delta);
return Collections.singleton(new ComputedValue(resultSpec, valueGamma));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
requirements.add(new ValueRequirement(ValueRequirementNames.GAMMA, target.toSpecification(), desiredValue.getConstraints()));
return requirements;
}
}