@Override
protected Set<ComputedValue> getResult(
final ForexDerivative fxOption,
final SmileDeltaTermStructureDataBundle data,
final FunctionInputs inputs,
final ComputationTarget target) {
final MultipleCurrencyAmount result = CALCULATOR.visit(fxOption, data);
final int n = result.size();
final Currency[] keys = new Currency[n];
final double[] values = new double[n];
int i = 0;
for (final CurrencyAmount ca : result) {
keys[i] = ca.getCurrency();
values[i++] = ca.getAmount();
}
final ValueProperties properties =
createValueProperties()
.with(ValuePropertyNames.PAY_CURVE, getPutCurveName())
.with(ValuePropertyNames.RECEIVE_CURVE, getCallCurveName())
.with(ValuePropertyNames.SURFACE, getSurfaceName())
.get();
final ValueSpecification spec =
new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties);
return Collections.singleton(
new ComputedValue(spec, new CurrencyLabelledMatrix1D(keys, values)));
}
public static CurrencyLabelledMatrix1D getMultipleCurrencyAmountAsMatrix(
final MultipleCurrencyAmount mca) {
ArgumentChecker.notNull(mca, "multiple currency amount");
final int n = mca.size();
final Currency[] keys = new Currency[n];
final double[] values = new double[n];
int i = 0;
for (final CurrencyAmount ca : mca) {
keys[i] = ca.getCurrency();
values[i++] = ca.getAmount();
}
return new CurrencyLabelledMatrix1D(keys, values);
}
@Override
protected Set<ComputedValue> getResult(
final FunctionInputs inputs,
final BondCapitalIndexedTransaction<?> bond,
final InflationIssuerProviderInterface provider,
final double cleanPrice,
final ValueSpecification spec) {
final String expectedCurrency = spec.getProperty(CURRENCY);
final MultipleCurrencyAmount pvBond =
CALCULATOR.presentValueFromCleanRealPrice(bond.getBondTransaction(), provider, cleanPrice);
final MultipleCurrencyAmount pvSettlement =
bond.getBondTransaction()
.getSettlement()
.accept(PVIC, provider.getInflationProvider())
.multipliedBy(
bond.getQuantity()
* bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
final MultipleCurrencyAmount pv = pvBond.plus(pvSettlement);
if (pv.size() != 1
|| !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) {
throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency);
}
return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount()));
}
