Package com.opengamma.analytics.financial.interestrate.future.method

Examples of com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod


  public Map<String, List<DoublesPair>> visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionMarginTransactionSABRMethod method = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
      return method.presentValueCurveSensitivity(option, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
  }
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  public PresentValueSABRSensitivityDataBundle visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionMarginTransactionSABRMethod method = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
      return method.presentValueSABRSensitivity(option, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
  }
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