/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.forex;
import com.opengamma.analytics.financial.model.volatility.VolatilityAndBucketedSensitivities;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Interface for Forex Black with smile parameters provider for a currency pair.
*/
public class BlackForexSmileProvider implements BlackForexSmileProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderInterface _multicurveProvider;
/**
* The volatility model for one currency pair.
*/
private final SmileDeltaTermStructureParametersStrikeInterpolation _smile;
/**
* The currency pair for which the volatility data are valid.
*/
private final Pair<Currency, Currency> _currencyPair;
/**
* Constructor from exiting multicurveProvider and volatility model. The given provider and parameters are used for the new provider (the same maps are used, not copied).
* @param multicurves The multi-curves provider.
* @param smile Smile.
* @param currencyPair The currency pair.
*/
public BlackForexSmileProvider(final MulticurveProviderInterface multicurves, final SmileDeltaTermStructureParametersStrikeInterpolation smile, final Pair<Currency, Currency> currencyPair) {
_multicurveProvider = multicurves;
_smile = smile;
_currencyPair = currencyPair;
}
@Override
public BlackForexSmileProvider copy() {
MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
return new BlackForexSmileProvider(multicurveProvider, _smile, _currencyPair);
}
@Override
public SmileDeltaTermStructureParametersStrikeInterpolation getVolatility() {
return _smile;
}
@Override
public Pair<Currency, Currency> getCurrencyPair() {
return _currencyPair;
}
@Override
public boolean checkCurrencies(Currency ccy1, Currency ccy2) {
if ((ccy1.equals(_currencyPair.getFirst())) && ccy2.equals(_currencyPair.getSecond())) {
return true;
}
if ((ccy2.equals(_currencyPair.getFirst())) && ccy1.equals(_currencyPair.getSecond())) {
return true;
}
return false;
}
@Override
public MulticurveProviderInterface getMulticurveProvider() {
return _multicurveProvider;
}
/**
* Returns volatility for a expiration, strike and forward. The volatility take into account the curerncy order.
* @param ccy1 The first currency.
* @param ccy2 The second currency.
* @param time The expiration time.
* @param strike The strike.
* @param forward The forward rate.
* @return The volatility.
*/
@Override
public double getVolatility(Currency ccy1, Currency ccy2, double time, double strike, double forward) {
if ((ccy1 == getCurrencyPair().getFirst()) && (ccy2 == getCurrencyPair().getSecond())) {
return getVolatility().getVolatility(time, strike, forward);
}
if ((ccy2 == getCurrencyPair().getFirst()) && (ccy1 == getCurrencyPair().getSecond())) {
return getVolatility().getVolatility(time, 1.0 / strike, 1.0 / forward);
}
throw new IllegalArgumentException("Currencies not compatible with smile data; asked for " + ccy1 + " and " + ccy2);
}
@Override
public VolatilityAndBucketedSensitivities getVolatilityAndSensitivities(Currency ccy1, Currency ccy2, double time, double strike, double forward) {
if ((ccy1 == getCurrencyPair().getFirst()) && (ccy2 == getCurrencyPair().getSecond())) {
return getVolatility().getVolatilityAndSensitivities(time, strike, forward);
}
if ((ccy2 == getCurrencyPair().getFirst()) && (ccy1 == getCurrencyPair().getSecond())) {
return getVolatility().getVolatilityAndSensitivities(time, 1.0 / strike, 1.0 / forward);
}
throw new IllegalArgumentException("Currencies not compatible with smile data; asked for " + ccy1 + " and " + ccy2);
}
}