Examples of GammaValueCallSpreadBlackForexCalculator


Examples of com.opengamma.analytics.financial.forex.calculator.GammaValueCallSpreadBlackForexCalculator

  @Override
  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 GammaValueCallSpreadBlackForexCalculator calculator = new GammaValueCallSpreadBlackForexCalculator(spread);
    final CurrencyAmount result = fxDigital.accept(calculator, data);
    final double amount = result.getAmount();
    return Collections.singleton(new ComputedValue(spec, amount));
  }
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