/**
* 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 com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueBlackDeltaForSecurityCalculator;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.core.security.Security;
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.BlackDiscountingDeltaIRFutureOptionFunction;
import com.opengamma.util.ArgumentChecker;
/**
* Function computes the {@link ValueRequirementNames#DELTA}, first order derivative of {@link Security} price with respect to the futures price,
* for interest rate future options in the Black world.
* @deprecated Use {@link BlackDiscountingDeltaIRFutureOptionFunction}
*/
@Deprecated
public class InterestRateFutureOptionBlackDeltaFunction extends InterestRateFutureOptionBlackFunction {
/** The calculator to compute the delta value */
private static final PresentValueBlackDeltaForSecurityCalculator CALCULATOR = PresentValueBlackDeltaForSecurityCalculator.getInstance();
public InterestRateFutureOptionBlackDeltaFunction() {
super(ValueRequirementNames.DELTA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOptionTransaction, final YieldCurveWithBlackCubeBundle curveBundle, final ValueSpecification spec, final Set<ValueRequirement> desiredValues) {
ArgumentChecker.isTrue(irFutureOptionTransaction instanceof InterestRateFutureOptionMarginTransaction,
"InterestRateFutureOptionMarginTransaction expected. " + irFutureOptionTransaction.getClass().toString() + " found.");
final InstrumentDerivative irFutureOptionSecurity = ((InterestRateFutureOptionMarginTransaction) irFutureOptionTransaction).getUnderlyingOption();
final double delta = irFutureOptionSecurity.accept(CALCULATOR, curveBundle);
return Collections.singleton(new ComputedValue(spec, delta));
}
}