/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.option;
import com.opengamma.analytics.financial.model.option.definition.AmericanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.AnalyticOptionModel;
import com.opengamma.analytics.financial.model.option.pricing.analytic.BjerksundStenslandModelDeprecated;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.AmericanExerciseType;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.OptionType;
/**
*
*
*/
@Deprecated
public class BjerksundStenslandModelFunction extends StandardOptionDataAnalyticOptionModelFunction {
private final AnalyticOptionModel<AmericanVanillaOptionDefinition, StandardOptionDataBundle> _model = new BjerksundStenslandModelDeprecated();
@SuppressWarnings("unchecked")
@Override
protected AnalyticOptionModel<AmericanVanillaOptionDefinition, StandardOptionDataBundle> getModel() {
return _model;
}
@Override
protected AmericanVanillaOptionDefinition getOptionDefinition(final EquityOptionSecurity option) {
return new AmericanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_OPTION_SECURITY;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final EquityOptionSecurity optionSecurity = (EquityOptionSecurity) target.getSecurity();
if (optionSecurity.getExerciseType() instanceof AmericanExerciseType) {
return true;
}
return false;
}
@Override
public String getShortName() {
return "BjerksundStenslandModel";
}
}