com.opengamma.financial.analytics.model.bondfutureoption.BondFutureOptionBlackPV01Function.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.bondfutureoption.BondFutureOptionBlackPV01Function.java

Source

/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.bondfutureoption;

import java.util.Collections;
import java.util.Map;
import java.util.Set;

import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PV01Calculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityBlackCalculator;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;

/**
 *
 */
public class BondFutureOptionBlackPV01Function extends BondFutureOptionBlackCurveSpecificFunction {
    private static final PV01Calculator CALCULATOR = new PV01Calculator(
            PresentValueCurveSensitivityBlackCalculator.getInstance());

    public BondFutureOptionBlackPV01Function() {
        super(ValueRequirementNames.PV01);
    }

    @Override
    protected Set<ComputedValue> getResult(final InstrumentDerivative bondFutureOption,
            final YieldCurveWithBlackCubeBundle data, final MultiCurveCalculationConfig curveCalculationConfig,
            final ValueSpecification spec, final FunctionInputs inputs, final Set<ValueRequirement> desiredValues,
            final BondFutureOptionSecurity security) {
        final String curveName = Iterables.getOnlyElement(desiredValues).getConstraint(ValuePropertyNames.CURVE)
                + "_" + FinancialSecurityUtils.getCurrency(security);
        final Map<String, Double> pv01 = CALCULATOR.visit(bondFutureOption, data);
        if (!pv01.containsKey(curveName)) {
            throw new OpenGammaRuntimeException("Could not get PV01 for " + curveName);
        }
        return Collections.singleton(new ComputedValue(spec, pv01.get(curveName)));
    }

}