/**
* 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 org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.forex.calculator.PresentValueBlackSmileForexCalculator;
import com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
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.analytics.financial.provider.calculator.generic.TodayPaymentCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the change in value of a FX option when the (Black) surface has been
* shifted forward in time without slide.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class VolatilitySurfaceConstantSpreadCalculator {
private static final VolatilitySurfaceConstantSpreadCalculator INSTANCE = new VolatilitySurfaceConstantSpreadCalculator();
public static VolatilitySurfaceConstantSpreadCalculator getInstance() {
return INSTANCE;
}
private VolatilitySurfaceConstantSpreadCalculator() {
}
public MultipleCurrencyAmount getTheta(final ForexOptionVanillaDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames,
final SmileDeltaTermStructureDataBundle data, final int daysForward) {
ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
final ZonedDateTime horizonDate = date.plusDays(daysForward);
final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
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);
}
};
final SmileDeltaTermStructureDataBundle tomorrowData = data.with(smile);
final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
}
private MultipleCurrencyAmount subtract(final MultipleCurrencyAmount a, final MultipleCurrencyAmount b) {
return a.plus(b.multipliedBy(-1));
}
}