/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.option;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.option.definition.AmericanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.AnalyticOptionModel;
import com.opengamma.analytics.financial.model.option.pricing.analytic.BlackScholesMertonModel;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.AmericanExerciseType;
import com.opengamma.financial.security.option.AsianExerciseType;
import com.opengamma.financial.security.option.BermudanExerciseType;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.EuropeanExerciseType;
import com.opengamma.financial.security.option.ExerciseTypeVisitor;
import com.opengamma.financial.security.option.OptionType;
/**
*
*
*/
@Deprecated
public class BlackScholesMertonModelFunction extends StandardOptionDataAnalyticOptionModelFunction {
private final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> _model = new BlackScholesMertonModel();
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_OPTION_SECURITY;
}
@Override
public String getShortName() {
return "BlackScholesMertonModel";
}
@Override
protected AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> getModel() {
return _model;
}
@Override
protected OptionDefinition getOptionDefinition(final EquityOptionSecurity option) {
return option.getExerciseType().accept(
new ExerciseTypeVisitor<OptionDefinition>() {
@Override
public OptionDefinition visitAmericanExerciseType(final AmericanExerciseType exerciseType) {
return new AmericanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
}
@Override
public OptionDefinition visitAsianExerciseType(final AsianExerciseType exerciseType) {
throw new OpenGammaRuntimeException("Unsupported option type: Asian");
}
@Override
public OptionDefinition visitBermudanExerciseType(final BermudanExerciseType exerciseType) {
throw new OpenGammaRuntimeException("Unsupported option type: Bermudan");
}
@Override
public OptionDefinition visitEuropeanExerciseType(final EuropeanExerciseType exerciseType) {
return new EuropeanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
}
}
);
}
}