/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.sabrcap;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorSameMethodAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborSABRCapExtrapolationRightMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRCapProviderInterface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the present value of an inflation instruments by discounting for a given MarketBundle
*/
public final class PresentValueSABRCapRightExtrapolationCalculator extends InstrumentDerivativeVisitorSameMethodAdapter<SABRCapProviderInterface, MultipleCurrencyAmount> {
/**
* 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 CapFloorIborSABRCapExtrapolationRightMethod _methodExtraCap;
/**
* Constructor.
* @param cutOffStrike The cut-off strike.
* @param mu The tail thickness parameter.
*/
public PresentValueSABRCapRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
_mu = mu;
_cutOffStrike = cutOffStrike;
_methodExtraCap = new CapFloorIborSABRCapExtrapolationRightMethod(_cutOffStrike, _mu);
}
@Override
public MultipleCurrencyAmount visit(final InstrumentDerivative derivative, final SABRCapProviderInterface sabr) {
return derivative.accept(this, sabr);
}
// ----- Payment/Coupon ------
@Override
public MultipleCurrencyAmount visitCapFloorIbor(final CapFloorIbor cap, final SABRCapProviderInterface sabr) {
return _methodExtraCap.presentValue(cap, sabr);
}
// ----- Annuity ------
@Override
public MultipleCurrencyAmount visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRCapProviderInterface sabr) {
ArgumentChecker.notNull(annuity, "Annuity");
MultipleCurrencyAmount pv = visit(annuity.getNthPayment(0), sabr);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
pv = pv.plus(visit(annuity.getNthPayment(loopp), sabr));
}
return pv;
}
@Override
public MultipleCurrencyAmount visit(final InstrumentDerivative derivative) {
throw new UnsupportedOperationException();
}
}