/**
* 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.sabrswaption;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorSameMethodAdapter;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
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.CouponCMS;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethod;
import com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod;
import com.opengamma.analytics.financial.interestrate.payments.provider.CouponCMSSABRExtrapolationRightReplicationMethod;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionCashFixedIborSABRExtrapolationRightMethod;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the present value of an inflation instruments by discounting for a given MarketBundle
*/
public final class PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator extends
InstrumentDerivativeVisitorSameMethodAdapter<SABRSwaptionProviderInterface, 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;
private final SwaptionCashFixedIborSABRExtrapolationRightMethod _methodSwptCash;
/**
* Constructor.
* @param cutOffStrike The cut-off strike.
* @param mu The tail thickness parameter.
*/
public PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
_mu = mu;
_cutOffStrike = cutOffStrike;
_methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
_methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
_methodSwptCash = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
}
@Override
public PresentValueSABRSensitivityDataBundle visit(final InstrumentDerivative derivative, final SABRSwaptionProviderInterface sabr) {
return derivative.accept(this, sabr);
}
// ----- Payment/Coupon ------
@Override
public PresentValueSABRSensitivityDataBundle visitCouponCMS(final CouponCMS payment, final SABRSwaptionProviderInterface sabr) {
return _methodExtraCMSCpn.presentValueSABRSensitivity(payment, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final SABRSwaptionProviderInterface sabr) {
return _methodExtraCMSCap.presentValueSABRSensitivity(payment, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
// TODO: improve correlation data handling
final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
return method.presentValueSABRSensitivity(payment, sabr);
}
throw new UnsupportedOperationException(
"The PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
}
// ----- Annuity ------
@Override
public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
ArgumentChecker.notNull(annuity, "Annuity");
PresentValueSABRSensitivityDataBundle pvss = visit(annuity.getNthPayment(0), sabr);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
pvss = pvss.plus(visit(annuity.getNthPayment(loopp), sabr));
}
return pvss;
}
// ----- Swaption ------
@Override
public PresentValueSABRSensitivityDataBundle visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabr) {
return _methodSwptCash.presentValueSABRSensitivity(swaption, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visit(final InstrumentDerivative derivative) {
throw new UnsupportedOperationException();
}
}