/**
* 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 org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
/**
* Methods for the pricing of interest rate futures generic to all models.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public abstract class InterestRateFutureSecurityMethod implements PricingMethod {
/**
* Compute the price sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param curves The yield curves. Should contain the forward curve associated.
* @return The price rate sensitivity.
*/
public abstract InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureSecurity future, final YieldCurveBundle curves);
public abstract InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureSecurity future, final YieldCurveBundle curves);
/**
* Compute the present value sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param priceSensi Price sensitivity.
* @return The present value rate sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureSecurity future, final InterestRateCurveSensitivity priceSensi) {
Validate.notNull(future, "Future");
final InterestRateCurveSensitivity result = priceSensi.multipliedBy(future.getPaymentAccrualFactor() * future.getNotional());
return result;
}
}