/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option.black;
import java.util.Collections;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.calculator.GammaSpotBlackForexCalculator;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionSingleBarrier;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
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.BlackDiscountingValueGammaSpotFXOptionFunction;
import com.opengamma.util.money.CurrencyAmount;
/**
* The function to compute the Gamma Spot of Forex options in the Black model.
* @deprecated Use {@link BlackDiscountingValueGammaSpotFXOptionFunction}
*/
@Deprecated
public class FXOptionBlackValueGammaSpotFunction extends FXOptionBlackSingleValuedFunction {
/**
* The calculator to compute the gamma value.
*/
private static final GammaSpotBlackForexCalculator CALCULATOR = GammaSpotBlackForexCalculator.getInstance();
/**
* Sets the value requirement name to {@link ValueRequirementNames#VALUE_GAMMA_P}
*/
public FXOptionBlackValueGammaSpotFunction() {
super(ValueRequirementNames.VALUE_GAMMA_P);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
if (data instanceof SmileDeltaTermStructureDataBundle) {
final CurrencyAmount result = forex.accept(CALCULATOR, data);
final double gammaValue = result.getAmount() / 100.0; // FIXME: the 100 should be removed when the scaling is available
// for PLAT-4626
double spot = 1;
if (forex instanceof ForexOptionVanilla) {
final ForexOptionVanilla fxDerivative = (ForexOptionVanilla) forex;
spot = data.getFxRates().getFxRate(fxDerivative.getCurrency1(), fxDerivative.getCurrency2());
} else if (forex instanceof ForexOptionDigital) {
final ForexOptionDigital fxDerivative = (ForexOptionDigital) forex;
if (fxDerivative.payDomestic()) {
spot = data.getFxRates().getFxRate(fxDerivative.getCurrency1(), fxDerivative.getCurrency2());
} else {
spot = data.getFxRates().getFxRate(fxDerivative.getCurrency2(), fxDerivative.getCurrency1());
}
} else if (forex instanceof ForexOptionSingleBarrier) {
final ForexOptionSingleBarrier fxDerivative = (ForexOptionSingleBarrier) forex;
spot = data.getFxRates().getFxRate(fxDerivative.getCurrency1(), fxDerivative.getCurrency2());
return Collections.singleton(new ComputedValue(spec, gammaValue * spot * spot));
}
return Collections.singleton(new ComputedValue(spec, gammaValue * spot));
}
throw new OpenGammaRuntimeException("Can only calculate gamma spot for surfaces with smiles");
}
}