/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.BondFutureOptionPremiumTransactionBlackSurfaceMethod;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionBlackSurfaceMethod;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedCompoundedONCompounded;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethod;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod;
import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethod;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.analytics.financial.provider.calculator.blackstirfutures.PresentValueCurveSensitivityBlackSTIRFutureOptionCalculator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Present value curve sensitivity calculator for interest rate instruments using the Black formula.
* @deprecated Use {@link PresentValueCurveSensitivityBlackSTIRFutureOptionCalculator}
*/
@Deprecated
public final class PresentValueCurveSensitivityBlackCalculator extends PresentValueCurveSensitivityCalculator {
/**
* The method unique instance.
*/
private static final PresentValueCurveSensitivityBlackCalculator INSTANCE = new PresentValueCurveSensitivityBlackCalculator();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static PresentValueCurveSensitivityBlackCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
PresentValueCurveSensitivityBlackCalculator() {
}
/**
* The methods used in the calculator.
*/
private static final SwaptionPhysicalFixedIborBlackMethod PHYSICAL_SWAPTION = SwaptionPhysicalFixedIborBlackMethod.getInstance();
private static final SwaptionCashFixedIborBlackMethod CASH_SWAPTION = SwaptionCashFixedIborBlackMethod.getInstance();
private static final InterestRateFutureOptionMarginTransactionBlackSurfaceMethod MARGINED_IR_FUTURE_OPTION = InterestRateFutureOptionMarginTransactionBlackSurfaceMethod.getInstance();
private static final BondFutureOptionPremiumTransactionBlackSurfaceMethod PREMIUM_BOND_FUTURE_OPTION = BondFutureOptionPremiumTransactionBlackSurfaceMethod.getInstance();
private static final SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod METHOD_SWAPTION_PHYSICAL_COMPOUNDED = SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod.getInstance();
@Override
public Map<String, List<DoublesPair>> visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return CASH_SWAPTION.presentValueCurveSensitivity(swaption, curvesBlack).getSensitivities();
}
throw new UnsupportedOperationException("The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Map<String, List<DoublesPair>> visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return PHYSICAL_SWAPTION.presentValueCurveSensitivity(swaption, curvesBlack).getSensitivities();
}
throw new UnsupportedOperationException("The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Map<String, List<DoublesPair>> visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curveBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_PHYSICAL_COMPOUNDED.presentValueCurveSensitivity(swaption, curveBlack).getSensitivities();
}
throw new UnsupportedOperationException(
"The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedCompoundedONCompounded requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Map<String, List<DoublesPair>> visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
return MARGINED_IR_FUTURE_OPTION.presentValueCurveSensitivity(transaction, curves).getSensitivities();
}
//TODO check this
@Override
public Map<String, List<DoublesPair>> visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
final InterestRateFutureOptionPremiumSecurity premiumUnderlying = transaction.getUnderlyingOption();
final InterestRateFutureOptionMarginSecurity underlyingOption = new InterestRateFutureOptionMarginSecurity(premiumUnderlying.getUnderlyingFuture(),
premiumUnderlying.getExpirationTime(), premiumUnderlying.getStrike(), premiumUnderlying.isCall());
final InterestRateFutureOptionMarginTransaction marginTransaction = new InterestRateFutureOptionMarginTransaction(underlyingOption, transaction.getQuantity(), transaction.getTradePrice());
return MARGINED_IR_FUTURE_OPTION.presentValueCurveSensitivity(marginTransaction, curves).getSensitivities();
}
//TODO check this
@Override
public Map<String, List<DoublesPair>> visitBondFutureOptionPremiumTransaction(final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
return PREMIUM_BOND_FUTURE_OPTION.presentValueCurveSensitivity(transaction, curves).getSensitivities();
}
}