/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.horizon;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.function.Function;
import com.opengamma.analytics.math.surface.FunctionalDoublesSurface;
import com.opengamma.analytics.math.surface.Surface;
/**
*
*/
public class ConstantSpreadVolatilitySurfaceRolldownFunction implements RolldownFunction<VolatilitySurface> {
@Override
public VolatilitySurface rollDown(final VolatilitySurface volatilitySurface, final double time) {
final Surface<Double, Double, Double> surface = volatilitySurface.getSurface();
final Function<Double, Double> shiftedFunction = new Function<Double, Double>() {
@Override
public Double evaluate(final Double... x) {
return surface.getZValue(x[0] + time, x[1]);
}
};
return new VolatilitySurface(FunctionalDoublesSurface.from(shiftedFunction));
}
}