/**
* 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 org.apache.commons.lang.NotImplementedException;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParameters;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexVannaVolgaProvider;
import com.opengamma.util.ArgumentChecker;
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 BlackForexVannaVolgaProvider}
*/
@Deprecated
public class SmileDeltaTermStructureVannaVolgaDataBundle extends ForexOptionDataBundle<SmileDeltaTermStructureParameters> {
public static SmileDeltaTermStructureVannaVolgaDataBundle from(final YieldCurveBundle ycBundle, final SmileDeltaTermStructureParameters smile, final Pair<Currency, Currency> currencyPair) {
return new SmileDeltaTermStructureVannaVolgaDataBundle(ycBundle, smile, currencyPair);
}
/**
* Constructor from the smile parameters and the curves.
* @param ycBundle The curves bundle, not null
* @param smile The smile parameters, not null
* @param currencyPair The currency pair for which the smile is valid, not null
*/
public SmileDeltaTermStructureVannaVolgaDataBundle(final YieldCurveBundle ycBundle, final SmileDeltaTermStructureParameters smile, final Pair<Currency, Currency> currencyPair) {
super(ycBundle, smile, currencyPair);
ArgumentChecker.isTrue(smile.getNumberStrike() == 3, "Vanna-volga methods work only with three strikes; have {}", smile.getNumberStrike());
}
@Override
/**
* Create a copy of the bundle.
* @return The bundle.
*/
public SmileDeltaTermStructureVannaVolgaDataBundle copy() {
final YieldCurveBundle curves = getCurvesCopy();
final SmileDeltaTermStructureParameters smile = getVolatilityModel().copy();
final Pair<Currency, Currency> currencyPair = Pair.of(getCurrencyPair().getFirst(), getCurrencyPair().getSecond());
return new SmileDeltaTermStructureVannaVolgaDataBundle(curves, smile, currencyPair);
}
/**
* Get the volatility at a given time/strike/forward taking the currency pair order in account. See {@link SmileDeltaTermStructureParametersStrikeInterpolation} for the interpolation/extrapolation.
* @param ccy1 The first currency.
* @param ccy2 The second currency.
* @param time The time to expiration.
* @return The volatility.
*/
public SmileDeltaParameters getSmile(final Currency ccy1, final Currency ccy2, final double time) {
ArgumentChecker.notNull(ccy1, "first currency");
ArgumentChecker.notNull(ccy2, "second currency");
final SmileDeltaParameters smile = getVolatilityModel().getSmileForTime(time);
if (ccy1.equals(getCurrencyPair().getFirst()) && ccy2.equals(getCurrencyPair().getSecond())) {
return smile;
}
throw new NotImplementedException("Currency pair is not in expected order " + getCurrencyPair().toString());
}
@Override
public SmileDeltaTermStructureVannaVolgaDataBundle with(final YieldCurveBundle ycBundle) {
return new SmileDeltaTermStructureVannaVolgaDataBundle(ycBundle, getVolatilityModel(), getCurrencyPair());
}
@Override
public SmileDeltaTermStructureVannaVolgaDataBundle with(final SmileDeltaTermStructureParameters volatilityModel) {
return new SmileDeltaTermStructureVannaVolgaDataBundle(this, volatilityModel, getCurrencyPair());
}
}