/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.horizon;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters;
import com.opengamma.analytics.math.surface.Surface;
/**
* Calculates the change in value of a swaption when the curves and (Black) surface have been
* shifted forward in time without slide.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class ConstantSpreadSwaptionBlackRolldown implements RolldownFunction<YieldCurveWithBlackSwaptionBundle> {
private static final ConstantSpreadYieldCurveBundleRolldownFunction CURVES_ROLLDOWN = ConstantSpreadYieldCurveBundleRolldownFunction.getInstance();
private static final ConstantSpreadSurfaceRolldownFunction SURFACE_ROLLDOWN = ConstantSpreadSurfaceRolldownFunction.getInstance();
private static final ConstantSpreadSwaptionBlackRolldown INSTANCE = new ConstantSpreadSwaptionBlackRolldown();
public static ConstantSpreadSwaptionBlackRolldown getInstance() {
return INSTANCE;
}
private ConstantSpreadSwaptionBlackRolldown() {
}
@Override
public YieldCurveWithBlackSwaptionBundle rollDown(final YieldCurveWithBlackSwaptionBundle data, final double time) {
final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, time);
final Surface<Double, Double, Double> surface = data.getBlackParameters().getVolatilitySurface();
final Surface<Double, Double, Double> shiftedVolatilitySurface = SURFACE_ROLLDOWN.rollDown(surface, time);
final BlackFlatSwaptionParameters shiftedParameters = new BlackFlatSwaptionParameters(shiftedVolatilitySurface, data.getBlackParameters().getGeneratorSwap());
return new YieldCurveWithBlackSwaptionBundle(shiftedParameters, shiftedCurves);
}
}