/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondcurves;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValueRequirementNames.GAMMA_PV01;
import java.util.Collection;
import java.util.HashSet;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.discounting.GammaPV01CurveParametersCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueCurveSensitivityIssuerCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterIssuerProviderInterface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.security.FinancialSecurityUtils;
/**
* Calculates the gamma PV01 of a bond or bond future from yield curves.
*/
public class BondAndBondFutureGammaPV01FromCurvesFunction extends BondAndBondFutureFromCurvesFunction<ParameterIssuerProviderInterface, Double> {
/** The gamma PV01 calculator */
private static final InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, Double> CALCULATOR =
new GammaPV01CurveParametersCalculator<>(PresentValueCurveSensitivityIssuerCalculator.getInstance());
/**
* Sets the value requirement name to {@link ValueRequirementNames#GAMMA_PV01} and
* the calculator to {@link GammaPV01CurveParametersCalculator}.
*/
public BondAndBondFutureGammaPV01FromCurvesFunction() {
super(GAMMA_PV01, CALCULATOR);
}
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
final Collection<ValueProperties.Builder> properties = super.getResultProperties(target);
final Collection<ValueProperties.Builder> result = new HashSet<>();
for (final ValueProperties.Builder builder : properties) {
result.add(builder
.with(CURRENCY, currency));
}
return result;
}
}