/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabrcube;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRExtrapolationCalculator;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.model.sabr.SABRDiscountingFunction;
/**
* @deprecated Use descendants of {@link SABRDiscountingFunction}
*/
@Deprecated
public class SABRCMSSpreadRightExtrapolationPresentValueFunction extends SABRCMSSpreadRightExtrapolationFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE;
}
@Override
protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
final PresentValueCalculator calculator = new PresentValueSABRExtrapolationCalculator(cutoff, mu);
return derivative.accept(calculator, data);
}
}