/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.definition;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Class describing the data required to price instruments with the volatility delta and time dependent.
* @deprecated Use {@link BlackForexSmileProviderDiscount}
*/
@Deprecated
public class SmileDeltaTermStructureDataBundle extends ForexOptionDataBundle<SmileDeltaTermStructureParametersStrikeInterpolation> {
public static SmileDeltaTermStructureDataBundle from(final YieldCurveBundle ycBundle, final SmileDeltaTermStructureParametersStrikeInterpolation smile, final Pair<Currency, Currency> currencyPair) {
return new SmileDeltaTermStructureDataBundle(ycBundle, smile, currencyPair);
}
/**
* Constructor from the smile parameters and the curves.
* @param ycBundle The curves bundle.
* @param smile The smile parameters.
* @param currencyPair The currency pair for which the smile is valid.
*/
public SmileDeltaTermStructureDataBundle(final YieldCurveBundle ycBundle, final SmileDeltaTermStructureParametersStrikeInterpolation smile, final Pair<Currency, Currency> currencyPair) {
super(ycBundle, smile, currencyPair);
}
@Override
public SmileDeltaTermStructureDataBundle copy() {
final YieldCurveBundle curves = getCurvesCopy();
final SmileDeltaTermStructureParametersStrikeInterpolation smile = getVolatilityModel().copy();
final Pair<Currency, Currency> currencyPair = Pair.of(getCurrencyPair().getFirst(), getCurrencyPair().getSecond());
return new SmileDeltaTermStructureDataBundle(curves, smile, currencyPair);
}
@Override
public SmileDeltaTermStructureDataBundle with(final YieldCurveBundle ycBundle) {
return new SmileDeltaTermStructureDataBundle(ycBundle, getVolatilityModel(), getCurrencyPair());
}
@Override
public SmileDeltaTermStructureDataBundle with(final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel) {
return new SmileDeltaTermStructureDataBundle(this, volatilityModel, getCurrencyPair());
}
}