/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import org.apache.commons.lang.Validate;
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.InterestRateFutureOptionMarginTransactionBlackSurfaceMethod;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.analytics.util.amount.SurfaceValue;
import com.opengamma.util.ArgumentChecker;
/**
* Present value sensitivity to SABR parameters calculator for interest rate instruments using SABR volatility formula.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class PresentValueBlackSensitivityBlackCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, SurfaceValue> {
/**
* The method unique instance.
*/
private static final PresentValueBlackSensitivityBlackCalculator INSTANCE = new PresentValueBlackSensitivityBlackCalculator();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static PresentValueBlackSensitivityBlackCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
PresentValueBlackSensitivityBlackCalculator() {
}
/**
* The methods used in the calculator.
*/
private static final InterestRateFutureOptionMarginTransactionBlackSurfaceMethod METHOD_OPTIONFUTURESMARGIN_BLACK = InterestRateFutureOptionMarginTransactionBlackSurfaceMethod.getInstance();
@Override
public SurfaceValue visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveBundle curves) {
Validate.notNull(transaction);
Validate.notNull(curves);
if (curves instanceof YieldCurveWithBlackCubeBundle) {
final YieldCurveWithBlackCubeBundle curvesBlack = (YieldCurveWithBlackCubeBundle) curves;
return METHOD_OPTIONFUTURESMARGIN_BLACK.presentValueBlackSensitivity(transaction, curvesBlack);
}
throw new UnsupportedOperationException("The PresentValueBlackSensitivityBlackCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a YieldCurveWithBlackCubeBundle as data.");
}
@Override
public SurfaceValue 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 METHOD_OPTIONFUTURESMARGIN_BLACK.presentValueBlackSensitivity(margined, (YieldCurveWithBlackCubeBundle) curves);
}
throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
}
}