/**
* 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.HashMap;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueBlackSwaptionSensitivityBlackCalculator;
import com.opengamma.analytics.financial.interestrate.sensitivity.PresentValueSwaptionSurfaceSensitivity;
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.BlackDiscountingValueVegaSwaptionFunction;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculates the value vega for swaptions using the Black method
* @deprecated Use {@link BlackDiscountingValueVegaSwaptionFunction}
*/
@Deprecated
public class SwaptionBlackVolatilitySensitivityFunction extends SwaptionBlackFunction {
/** The value vega calculator */
private static final PresentValueBlackSwaptionSensitivityBlackCalculator CALCULATOR = PresentValueBlackSwaptionSensitivityBlackCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#VALUE_VEGA}
*/
public SwaptionBlackVolatilitySensitivityFunction() {
super(ValueRequirementNames.VALUE_VEGA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final ValueSpecification spec) {
final PresentValueSwaptionSurfaceSensitivity sensitivities = swaption.accept(CALCULATOR, data);
final HashMap<DoublesPair, Double> result = sensitivities.getSensitivity().getMap();
if (result.size() != 1) {
throw new OpenGammaRuntimeException("Expecting only one result for Black value vega");
}
return Collections.singleton(new ComputedValue(spec, result.values().iterator().next() / 100));
}
}