/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.irfutureoption;
import java.util.Collections;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueBlackGammaCalculator;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.black.BlackDiscountingGammaIRFutureOptionFunction;
/**
* Function computes the {@link ValueRequirementNames#GAMMA}, second order derivative of position price with respect to the futures rate,
* for interest rate future options in the Black world.
* @deprecated Use {@link BlackDiscountingGammaIRFutureOptionFunction}
*/
@Deprecated
public class InterestRateFutureOptionBlackGammaFunction extends InterestRateFutureOptionBlackFunction {
/**
* The calculator to compute the gamma value.
*/
private static final PresentValueBlackGammaCalculator CALCULATOR = PresentValueBlackGammaCalculator.getInstance();
public InterestRateFutureOptionBlackGammaFunction() {
super(ValueRequirementNames.GAMMA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOptionTransaction, final YieldCurveWithBlackCubeBundle data, final ValueSpecification spec, Set<ValueRequirement> desiredValues) {
Double gamma = null;
if (irFutureOptionTransaction instanceof InterestRateFutureOptionMarginTransaction) {
final InterestRateFutureOptionMarginSecurity irFutureOptionSecurity = ((InterestRateFutureOptionMarginTransaction) irFutureOptionTransaction).getUnderlyingOption();
gamma = irFutureOptionSecurity.accept(CALCULATOR, data);
} else {
s_logger.error("Unexpected security type! {}", irFutureOptionTransaction.getClass());
}
return Collections.singleton(new ComputedValue(spec, gamma));
}
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureOptionBlackGammaFunction.class);
}