Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle


  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    if (data instanceof SmileDeltaTermStructureDataBundle) {
      final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle result = CALCULATOR.visit(forex, (SmileDeltaTermStructureDataBundle) data);
      return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXQuoteMatrix(result)));
    }
    throw new OpenGammaRuntimeException("Can only calculate vega quote matrix for surfaces with smiles");
  }

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle vegas = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VEGA_QUOTE_MATRIX, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXQuoteMatrix(vegas)));
      }

Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle

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