/**
* 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.InterestRateFutureOptionMarginTransactionSABRMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS;
import com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
/**
* Present value calculator for interest rate instruments using SABR volatility formula.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class PresentValueSABRCalculator extends PresentValueCalculator {
/**
* Creates the method unique instance.
*/
private static final PresentValueSABRCalculator INSTANCE = new PresentValueSABRCalculator();
/**
* Return the method unique instance.
* @return The instance.
*/
public static PresentValueSABRCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueSABRCalculator() {
}
/**
* The methods used in the calculator.
*/
private static final InterestRateFutureOptionMarginTransactionSABRMethod METHOD_OPTIONFUTURESMARGIN_SABR = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
@Override
public Double visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
Validate.notNull(cap);
Validate.notNull(curves);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
final CapFloorIborSABRMethod method = CapFloorIborSABRMethod.getInstance();
return method.presentValue(cap, sabr).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
Validate.notNull(swaption);
Validate.notNull(curves);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
return method.presentValue(swaption, sabr).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
Validate.notNull(swaption);
Validate.notNull(curves);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
return method.presentValue(swaption, sabr).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public Double visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(payment);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
return replication.presentValue(payment, sabrBundle).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
}
@Override
public Double visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(payment);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
return replication.presentValue(payment, sabrBundle).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
}
@Override
public Double visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(payment);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
CouponCMSSABRReplicationMethod.getInstance());
return method.presentValue(payment, sabrBundle).getAmount();
}
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
}
@Override
public Double visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(option);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
return METHOD_OPTIONFUTURESMARGIN_SABR.presentValue(option, sabrBundle).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
}
@Override
public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(option);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
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_SABR.presentValue(margined, sabrBundle).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a SABRInterestRateDataBundle as data.");
}
}