/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.BondFutureOptionPremiumTransactionBlackSurfaceMethod;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginSecurityBlackSurfaceMethod;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionBlackSurfaceMethod;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.util.ArgumentChecker;
/**
* Calculator of the value gamma, second order derivative of present value with respect to the futures rate,
* for InterestRateFutureOptions in the Black world.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public class PresentValueBlackGammaCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueBlackGammaCalculator INSTANCE = new PresentValueBlackGammaCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueBlackGammaCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
PresentValueBlackGammaCalculator() {
}
/**
* The methods used in the calculator.
*/
private static final InterestRateFutureOptionMarginTransactionBlackSurfaceMethod MARGINED_IR_FUTURE_OPTION_TXN = InterestRateFutureOptionMarginTransactionBlackSurfaceMethod.getInstance();
private static final InterestRateFutureOptionMarginSecurityBlackSurfaceMethod MARGINED_IR_FUTURE_OPTION_SEC = InterestRateFutureOptionMarginSecurityBlackSurfaceMethod.getInstance();
private static final BondFutureOptionPremiumTransactionBlackSurfaceMethod PREMIUM_BOND_FUTURE_OPTION = BondFutureOptionPremiumTransactionBlackSurfaceMethod.getInstance();
@Override
public Double visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackCubeBundle, "Yield curve bundle should contain Black cube");
return MARGINED_IR_FUTURE_OPTION_TXN.presentValueGamma(transaction, (YieldCurveWithBlackCubeBundle) curves);
}
@Override
public Double visitInterestRateFutureOptionMarginSecurity(final InterestRateFutureOptionMarginSecurity security, final YieldCurveBundle curves) {
ArgumentChecker.notNull(security, "security");
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackCubeBundle, "Yield curve bundle should contain Black cube");
return MARGINED_IR_FUTURE_OPTION_SEC.optionPriceGamma(security, (YieldCurveWithBlackCubeBundle) curves);
}
@Override
public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(option, "option");
if (curves instanceof YieldCurveWithBlackCubeBundle) {
final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
underlyingOption.getStrike(), underlyingOption.isCall());
final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
return MARGINED_IR_FUTURE_OPTION_TXN.presentValueGamma(margined, (YieldCurveWithBlackCubeBundle) curves);
}
throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
}
@Override
public Double visitBondFutureOptionPremiumTransaction(final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackCubeBundle, "Yield curve bundle should contain Black cube");
return PREMIUM_BOND_FUTURE_OPTION.presentValueGamma(transaction, (YieldCurveWithBlackCubeBundle) curves);
}
}