/**
* 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.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
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.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
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.swap.derivative.Swap;
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;
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 PresentValueSABRSensitivitySABRCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, PresentValueSABRSensitivityDataBundle> {
/**
* The unique instance of the SABR sensitivity calculator.
*/
private static final PresentValueSABRSensitivitySABRCalculator s_instance = new PresentValueSABRSensitivitySABRCalculator();
/**
* Returns the instance of the calculator.
* @return The instance.
*/
public static PresentValueSABRSensitivitySABRCalculator getInstance() {
return s_instance;
}
/**
* Private constructor.
*/
private PresentValueSABRSensitivitySABRCalculator() {
}
/**
* Methods.
*/
public static final CapFloorIborSABRMethod METHOD_IBOR_CAP = CapFloorIborSABRMethod.getInstance();
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(cap, "cap");
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
return METHOD_IBOR_CAP.presentValueSABRSensitivity(cap, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(swaption, "swaption");
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
return method.presentValueSABRSensitivity(swaption, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
return method.presentValueSABRSensitivity(swaption, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "payment");
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
return replication.presentValueSABRSensitivity(payment, sabrBundle);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "payment");
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
return replication.presentValueSABRSensitivity(payment, sabrBundle);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "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.presentValueSABRSensitivity(payment, sabrBundle);
}
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(annuity, "annuity");
PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
for (final Payment p : annuity.getPayments()) {
pvss = pvss.plus(p.accept(this, curves));
}
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitCouponFixed(final CouponFixed coupon, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(coupon, "coupon");
final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(swap, "swap");
PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
for (final Payment p : swap.getFirstLeg().getPayments()) {
pvss = pvss.plus(p.accept(this, curves));
}
for (final Payment p : swap.getSecondLeg().getPayments()) {
pvss = pvss.plus(p.accept(this, curves));
}
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitCouponIbor(final CouponIbor coupon, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(coupon, "coupon");
final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitCouponIborSpread(final CouponIborSpread coupon, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(coupon, "coupon");
final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(option);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
final InterestRateFutureOptionMarginTransactionSABRMethod method = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
return method.presentValueSABRSensitivity(option, sabrBundle);
}
throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
}
}