/**
* 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.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionBlackValueGammaCalculator;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.util.money.CurrencyAmount;
/**
* Calculates value gamma of swaptions using the Black method.
* @deprecated The parent class of this function is deprecated
*/
@Deprecated
public class SwaptionBlackValueGammaFunction extends SwaptionBlackFunction {
/** The calculator */
private static final SwaptionBlackValueGammaCalculator CALCULATOR = SwaptionBlackValueGammaCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#VALUE_GAMMA}
*/
public SwaptionBlackValueGammaFunction() {
super(ValueRequirementNames.VALUE_GAMMA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final ValueSpecification spec) {
final CurrencyAmount result = swaption.accept(CALCULATOR, data);
final String resultCurrency = result.getCurrency().getCode();
final String expectedCurrency = spec.getProperty(ValuePropertyNames.CURRENCY);
if (!expectedCurrency.equals(resultCurrency)) {
throw new OpenGammaRuntimeException("Expected currency " + expectedCurrency + " does not equal result currency " + resultCurrency);
}
final double gammaValue = result.getAmount();
return Collections.singleton(new ComputedValue(spec, gammaValue));
}
}