/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.swaption.black;
import java.util.Collections;
import java.util.Set;
import com.opengamma.analytics.financial.interestrate.ImpliedVolatilityBlackCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.black.BlackDiscountingImpliedVolatilitySwaptionFunction;
/**
* Function to compute the implied volatility for physical delivery swaptions in the Black model.
* @deprecated Use {@link BlackDiscountingImpliedVolatilitySwaptionFunction}
*/
@Deprecated
public class SwaptionBlackImpliedVolatilityFunction extends SwaptionBlackFunction {
/**
* The related calculator.
*/
private static final ImpliedVolatilityBlackCalculator CALCULATOR = ImpliedVolatilityBlackCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#SECURITY_IMPLIED_VOLATILITY}
*/
public SwaptionBlackImpliedVolatilityFunction() {
super(ValueRequirementNames.SECURITY_IMPLIED_VOLATILITY);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final ValueSpecification spec) {
final Double iv = swaption.accept(CALCULATOR, data);
return Collections.singleton(new ComputedValue(spec, iv));
}
}