/** * 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)); } }