/**
* Copyright (C) 2013 - 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.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionBlackForwardDeltaCalculator;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
* Calculates forward delta of swaptions using the Black method.
* @deprecated The parent class of this function is deprecated
*/
@Deprecated
public class SwaptionBlackTheoreticaForwardDeltaFunction extends SwaptionBlackFunction {
/** The calculator */
private static final SwaptionBlackForwardDeltaCalculator CALCULATOR = SwaptionBlackForwardDeltaCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#FORWARD_DELTA}
*/
public SwaptionBlackTheoreticaForwardDeltaFunction() {
super(ValueRequirementNames.FORWARD_DELTA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final ValueSpecification spec) {
final Double result = swaption.accept(CALCULATOR, data);
return Collections.singleton(new ComputedValue(spec, result));
}
@Override
protected ValueProperties getResultProperties(final String currency) {
return super.getResultProperties(currency)
.withoutAny(ValuePropertyNames.CURRENCY);
}
@Override
protected ValueProperties getResultProperties(final String currency, final String curveCalculationConfigName, final String surfaceName) {
return super.getResultProperties(currency, curveCalculationConfigName, surfaceName)
.withoutAny(ValuePropertyNames.CURRENCY);
}
}