/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.irfutureoption;
import java.util.Collections;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.UnderlyingMarketPriceCalculator;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureSecurityDiscountingMethod;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
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.BlackDiscountingForwardIRFutureOptionFunction;
/**
* Calls into {@link InterestRateFutureSecurityDiscountingMethod} to compute forward used in BlackFunctions. No convexity is applied, so this may be used to compare to
* {@link ValueRequirementNames#UNDERLYING_MARKET_PRICE} computed in {@link InterestRateFutureOptionMarketUnderlyingPriceFunction}
*
* @deprecated Use {@link BlackDiscountingForwardIRFutureOptionFunction}
*/
@Deprecated
public class InterestRateFutureOptionBlackForwardFunction extends InterestRateFutureOptionBlackFunction {
/** The calculator to compute the delta value */
private static final UnderlyingMarketPriceCalculator CALCULATOR = UnderlyingMarketPriceCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#FORWARD}
*/
public InterestRateFutureOptionBlackForwardFunction() {
super(ValueRequirementNames.FORWARD, false);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOptionTransaction, final YieldCurveWithBlackCubeBundle curveBundle, final ValueSpecification spec,
final Set<ValueRequirement> desiredValues) {
if (irFutureOptionTransaction instanceof InterestRateFutureOptionMarginTransaction) {
final InstrumentDerivative irFutureOptionSecurity = ((InterestRateFutureOptionMarginTransaction) irFutureOptionTransaction).getUnderlyingSecurity();
final double forward = irFutureOptionSecurity.accept(CALCULATOR, curveBundle);
return Collections.singleton(new ComputedValue(spec, forward));
} else if (irFutureOptionTransaction instanceof InterestRateFutureOptionPremiumTransaction) {
final InstrumentDerivative irFutureOptionSecurity = ((InterestRateFutureOptionPremiumTransaction) irFutureOptionTransaction).getUnderlyingSecurity();
final double forward = irFutureOptionSecurity.accept(CALCULATOR, curveBundle);
return Collections.singleton(new ComputedValue(spec, forward));
}
throw new OpenGammaRuntimeException("Could not handle instrument of type " + irFutureOptionTransaction.getClass());
}
}