/**
* 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.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.CapFloorCMSSABRExtrapolationRightReplicationMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRExtrapolationRightReplicationMethod;
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.SwaptionCashFixedIborSABRExtrapolationRightMethod;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod;
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 with extrapolation for high strikes.
* OpenGamma implementation note for the extrapolation: Smile extrapolation, version 1.2, May 2011.
* @deprecated {@link PresentValueCalculator} is deprecated
*/
@Deprecated
public final class PresentValueSABRExtrapolationCalculator extends PresentValueCalculator {
/**
* The cut-off strike. The smile is extrapolated above that level.
*/
private final double _cutOffStrike;
/**
* The tail thickness parameter.
*/
private final double _mu;
/**
* The methods.
*/
private final CouponCMSSABRExtrapolationRightReplicationMethod _methodExtraCMSCpn;
private final CapFloorCMSSABRExtrapolationRightReplicationMethod _methodExtraCMSCap;
/**
* Constructor.
* @param cutOffStrike The cut-off strike.
* @param mu The tail thickness parameter.
*/
public PresentValueSABRExtrapolationCalculator(final double cutOffStrike, final double mu) {
_mu = mu;
_cutOffStrike = cutOffStrike;
_methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
_methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
}
@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 CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
return method.presentValue(cap, sabr).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator 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 SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
return method.presentValue(swaption, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator 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 SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
return method.presentValue(swaption, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator 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 sabr = (SABRInterestRateDataBundle) curves;
return _methodExtraCMSCpn.presentValue(payment, sabr).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator 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 sabr = (SABRInterestRateDataBundle) curves;
return _methodExtraCMSCap.presentValue(payment, sabr).getAmount();
}
throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator 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(), _methodExtraCMSCap, _methodExtraCMSCpn);
return method.presentValue(payment, sabrBundle).getAmount();
}
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
}
}