/**
* Copyright (C) 2012 - 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.MarginPriceVisitor;
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;
/**
* Provides the reference margin price for interest rate futures options.
* @deprecated Use {@link com.opengamma.financial.analytics.model.MarginPriceFunction}, which
* handles instruments other than interest rate future options.
*/
@Deprecated
public class MarginPriceFunction extends InterestRateFutureOptionBlackFunction {
/** The calculator */
private static MarginPriceVisitor s_priceVisitor = MarginPriceVisitor.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#DAILY_PRICE}
*/
public MarginPriceFunction() {
super(ValueRequirementNames.DAILY_PRICE, true);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOption, final YieldCurveWithBlackCubeBundle data, final ValueSpecification spec,
final Set<ValueRequirement> desiredValues) {
final Double price = irFutureOption.accept(s_priceVisitor);
return Collections.singleton(new ComputedValue(spec, price));
}
}