Package com.opengamma.analytics.financial.forex.method

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


  protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final double spread = Double.parseDouble(spreadName);
    final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
    final CurrencyAmount vegaValue = result.toSingleValue();
    return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount()));
  }
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