/**
* Copyright (C) 2012 - 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.curve.BlackForexTermStructureParameters;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Class describing a yield curve bundle with Black term structure volatility for Forex options.
* @deprecated Parent class is deprecated
*/
@Deprecated
public class YieldCurveWithBlackForexTermStructureBundle extends ForexOptionDataBundle<BlackForexTermStructureParameters> {
public static YieldCurveWithBlackForexTermStructureBundle from(final YieldCurveBundle ycBundle, final BlackForexTermStructureParameters termStructure, final Pair<Currency, Currency> currencyPair) {
return new YieldCurveWithBlackForexTermStructureBundle(ycBundle, termStructure, currencyPair);
}
/**
* Constructor from the smile parameters and the curves.
* @param ycBundle The curves bundle.
* @param termStructure The term structure parameters.
* @param currencyPair The currency pair for which the smile is valid.
*/
public YieldCurveWithBlackForexTermStructureBundle(final YieldCurveBundle ycBundle, final BlackForexTermStructureParameters termStructure, final Pair<Currency, Currency> currencyPair) {
super(ycBundle, termStructure, currencyPair);
}
@Override
public YieldCurveWithBlackForexTermStructureBundle copy() {
final YieldCurveBundle curves = getCurvesCopy();
final BlackForexTermStructureParameters termStructure = new BlackForexTermStructureParameters(getVolatilityModel().getVolatilityCurve());
final Pair<Currency, Currency> currencyPair = Pair.of(getCurrencyPair().getFirst(), getCurrencyPair().getSecond());
return new YieldCurveWithBlackForexTermStructureBundle(curves, termStructure, currencyPair);
}
@Override
public YieldCurveWithBlackForexTermStructureBundle with(final YieldCurveBundle ycBundle) {
return new YieldCurveWithBlackForexTermStructureBundle(ycBundle, getVolatilityModel(), getCurrencyPair());
}
@Override
public YieldCurveWithBlackForexTermStructureBundle with(final BlackForexTermStructureParameters volatilityModel) {
return new YieldCurveWithBlackForexTermStructureBundle(this, volatilityModel, getCurrencyPair());
}
}