/** * 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.SwaptionBlackForwardVegaCalculator; 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 vega of swaptions using the Black method. * @deprecated The parent class of this function is deprecated */ @Deprecated public class SwaptionBlackTheoreticalForwardVegaFunction extends SwaptionBlackFunction { /** The forward vega calculator */ private static final SwaptionBlackForwardVegaCalculator CALCULATOR = SwaptionBlackForwardVegaCalculator.getInstance(); /** * Sets the value requirement name to {@link ValueRequirementNames#FORWARD_VEGA} */ public SwaptionBlackTheoreticalForwardVegaFunction() { super(ValueRequirementNames.FORWARD_VEGA); } @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 / 100.)); } @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); } }