/**
* 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.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.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.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.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 sensitivity to SABR parameters calculator for interest rate instruments using SABR volatility formula.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class PresentValueSABRSensitivitySABRRightExtrapolationCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, PresentValueSABRSensitivityDataBundle> {
/**
* 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 PresentValueSABRSensitivitySABRRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
_mu = mu;
_cutOffStrike = cutOffStrike;
_methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
_methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
}
@Override
public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(cap, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(swaption, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(swaption, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(payment);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
return _methodExtraCMSCpn.presentValueSABRSensitivity(payment, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(payment);
if (curves instanceof SABRInterestRateDataBundle) {
final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
return _methodExtraCMSCap.presentValueSABRSensitivity(payment, sabr);
}
throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(payment, sabrBundle);
}
}
throw new UnsupportedOperationException(
"The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
}
@Override
public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(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) {
Validate.notNull(curves);
Validate.notNull(coupon);
final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(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) {
Validate.notNull(curves);
Validate.notNull(coupon);
final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
return pvss;
}
@Override
public PresentValueSABRSensitivityDataBundle visitCouponIborSpread(final CouponIborSpread coupon, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(coupon);
final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
return pvss;
}
}