/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
/**
* Method for the pricing of interest rate future options with up-front premium. The pricing is done with a SABR approach on the future rate (1.0-price).
* The SABR parameters are represented by (expiration-delay) surfaces. The "delay" is the time between option expiration and future last trading date,
* i.e. 0 for normal options and x for x-year mid-curve options.
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionSABRMethod}
*/
@Deprecated
public final class InterestRateFutureOptionMarginTransactionSABRMethod extends InterestRateFutureOptionMarginTransactionMethod {
/**
* Creates the method unique instance.
*/
private static final InterestRateFutureOptionMarginTransactionSABRMethod INSTANCE = new InterestRateFutureOptionMarginTransactionSABRMethod();
/**
* Return the method unique instance.
* @return The instance.
*/
public static InterestRateFutureOptionMarginTransactionSABRMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private InterestRateFutureOptionMarginTransactionSABRMethod() {
super(InterestRateFutureOptionMarginSecuritySABRMethod.getInstance());
}
/**
* Computes the present value curve sensitivity of a transaction.
* @param transaction The future option transaction.
* @param sabrData The SABR data bundle.
* @return The present value curve sensitivity.
*/
public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final SABRInterestRateDataBundle sabrData) {
PresentValueSABRSensitivityDataBundle securitySensitivity = ((InterestRateFutureOptionMarginSecuritySABRMethod) getSecurityMethod()).priceSABRSensitivity(transaction.getUnderlyingOption(),
sabrData);
securitySensitivity = securitySensitivity.multiplyBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
return securitySensitivity;
}
}