/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.option;
import java.util.Collections;
import java.util.Set;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.equity.option.EquityIndexOption;
import com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod;
import com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
/**
* Produces the current value of the underlying index, according to the market data
*/
public class EquityOptionSpotIndexFunction extends EquityOptionFunction {
/**
* Default constructor
*/
public EquityOptionSpotIndexFunction() {
super(ValueRequirementNames.SPOT);
}
@Override
protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs,
final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
//FIXME use the type system
if (derivative instanceof EquityIndexOption) {
final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
}
final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
}
@Override
protected String getCalculationMethod() {
return CalculationPropertyNamesAndValues.BLACK_METHOD;
}
@Override
protected String getModelType() {
return CalculationPropertyNamesAndValues.ANALYTIC;
}
//TODO this function return values unnecessary properties - the surface name, currency, interpolator and calculation method, which are used
// to construct the market data bundle.
}