/**
* 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 org.apache.commons.lang.NotImplementedException;
import com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParameters;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.ArgumentChecker;
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 BlackForexVannaVolgaProvider implements BlackForexVannaVolgaProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderInterface _multicurveProvider;
/**
* The volatility model for one currency pair.
*/
private final SmileDeltaTermStructureParameters _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 BlackForexVannaVolgaProvider(final MulticurveProviderInterface multicurves, final SmileDeltaTermStructureParameters smile, final Pair<Currency, Currency> currencyPair) {
_multicurveProvider = multicurves;
_smile = smile;
_currencyPair = currencyPair;
}
@Override
public BlackForexVannaVolgaProvider copy() {
MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
return new BlackForexVannaVolgaProvider(multicurveProvider, _smile, _currencyPair);
}
@Override
public SmileDeltaTermStructureParameters 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 smile for an expiration.
* @param ccy1 The first currency.
* @param ccy2 The second currency.
* @param time The expiration time.
* @return The smile.
*/
@Override
public SmileDeltaParameters getSmile(final Currency ccy1, final Currency ccy2, final double time) {
ArgumentChecker.notNull(ccy1, "first currency");
ArgumentChecker.notNull(ccy2, "second currency");
ArgumentChecker.isTrue(checkCurrencies(ccy1, ccy2), "Incomptabile currencies");
final SmileDeltaParameters smile = _smile.getSmileForTime(time);
if (ccy1.equals(getCurrencyPair().getFirst()) && ccy2.equals(getCurrencyPair().getSecond())) {
return smile;
}
throw new NotImplementedException("Currency pair is not in expected order " + getCurrencyPair().toString());
}
}