/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.fixedincome; import static com.opengamma.engine.value.ValueRequirementNames.PAY_LEG_PRESENT_VALUE; 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.PresentValueCalculator; import com.opengamma.analytics.financial.interestrate.YieldCurveBundle; import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment; import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.value.ComputedValue; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.financial.security.FinancialSecurity; import com.opengamma.financial.security.swap.SwapSecurity; /** * Function that calculated the present value of the pay leg of a swap. * @deprecated The parent class is deprecated. */ @Deprecated public class SwapPayLegPresentValueFunction extends InterestRateInstrumentFunction { /** The calculator */ private static final PresentValueCalculator CALCULATOR = PresentValueCalculator.getInstance(); /** * Sets the value requirement name to {@link ValueRequirementNames#PAY_LEG_PRESENT_VALUE} */ public SwapPayLegPresentValueFunction() { super(PAY_LEG_PRESENT_VALUE); } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { return target.getSecurity() instanceof SwapSecurity; } @Override public Set<ComputedValue> getComputedValues(final InstrumentDerivative derivative, final YieldCurveBundle bundle, final FinancialSecurity security, final ComputationTarget target, final String curveCalculationConfigName, final String currency) { if (!(derivative instanceof Swap<?, ?>)) { throw new OpenGammaRuntimeException("Expected a swap, have " + derivative.getClass()); } @SuppressWarnings("unchecked") final Swap<? extends Payment, ? extends Payment> swap = (Swap<? extends Payment, ? extends Payment>) derivative; double presentValue; if (swap.getFirstLeg().isPayer()) { presentValue = swap.getFirstLeg().accept(CALCULATOR, bundle); } else { presentValue = swap.getSecondLeg().accept(CALCULATOR, bundle); } return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency), presentValue)); } }