/**
* 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.SmileDeltaTermStructureDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the change in value of a FX option when the curves and (Black) surface have been
* shifted forward in time.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class ForwardSlideFXOptionBlackRolldown implements RolldownFunction<SmileDeltaTermStructureDataBundle> {
private static final ConstantSpreadYieldCurveBundleRolldownFunction CURVES_ROLLDOWN = ConstantSpreadYieldCurveBundleRolldownFunction.getInstance();
private static final ForwardSlideFXOptionBlackRolldown INSTANCE = new ForwardSlideFXOptionBlackRolldown();
public static ForwardSlideFXOptionBlackRolldown getInstance() {
return INSTANCE;
}
private ForwardSlideFXOptionBlackRolldown() {
}
@Override
public SmileDeltaTermStructureDataBundle rollDown(final SmileDeltaTermStructureDataBundle data, final double shiftTime) {
final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
final Pair<Currency, Currency> currencyPair = data.getCurrencyPair();
final SmileDeltaTermStructureParametersStrikeInterpolation volatilityData = data.getVolatilityModel();
final SmileDeltaTermStructureParametersStrikeInterpolation smile = new SmileDeltaTermStructureParametersStrikeInterpolation(volatilityData.getVolatilityTerm(),
volatilityData.getStrikeInterpolator()) {
@Override
public double getVolatility(final double time, final double strike, final double forward) {
return volatilityData.getVolatility(time + shiftTime, strike, forward);
}
};
return new SmileDeltaTermStructureDataBundle(shiftedCurves, smile, currencyPair);
}
}