com.opengamma.financial.analytics.model.irfutureoption.IRFutureOptionSABRPresentValueFunction.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.irfutureoption.IRFutureOptionSABRPresentValueFunction.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.irfutureoption;

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

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRCalculator;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
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.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;

/**
 * Calculates the present value of an interest rate future option using the SABR model
 */
public class IRFutureOptionSABRPresentValueFunction extends IRFutureOptionSABRFunction {
    /** The present value calculator */
    private static final PresentValueSABRCalculator CALCULATOR = PresentValueSABRCalculator.getInstance();

    /**
     * Default constructor
     */
    public IRFutureOptionSABRPresentValueFunction() {
        super(ValueRequirementNames.PRESENT_VALUE);
    }

    @Override
    protected Set<ComputedValue> getResult(final FunctionExecutionContext context,
            final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ComputationTarget target,
            final InstrumentDerivative irFutureOption, final SABRInterestRateDataBundle data) {
        final double pv = irFutureOption.accept(CALCULATOR, data);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy()
                .with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
        final ValueSpecification spec = new ValueSpecification(getValueRequirementNames()[0],
                target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, pv));
    }

}