/**
* 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.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueBlackTheoreticalVegaCalculator;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.core.security.Security;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
* Function computes the {@link ValueRequirementNames#VEGA}, first order derivative of {@link Security} price with respect to the implied vol,
* for interest rate future options in the Black world.
* @deprecated The parent class is deprecated
*/
@Deprecated
public class InterestRateFutureOptionBlackVegaFunction extends InterestRateFutureOptionBlackFunction {
/** The calculator to compute the vega */
private static final PresentValueBlackTheoreticalVegaCalculator CALCULATOR = PresentValueBlackTheoreticalVegaCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#VEGA}
*/
public InterestRateFutureOptionBlackVegaFunction() {
super(ValueRequirementNames.VEGA, false);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOptionTransaction, final YieldCurveWithBlackCubeBundle curveBundle, final ValueSpecification spec,
final Set<ValueRequirement> desiredValues) {
final double vega = irFutureOptionTransaction.accept(CALCULATOR, curveBundle);
return Collections.singleton(new ComputedValue(spec, vega));
}
}