/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.discounting;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.payments.provider.PaymentFixedDiscountingMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.util.amount.StringAmount;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the present value sensitivity to parallel curve movements.
*/
public final class PresentValueParallelCurveSensitivityDiscountingCalculator extends InstrumentDerivativeVisitorAdapter<MulticurveProviderInterface, StringAmount> {
// TODO: This calculator is similar (equivalent?) to the PV01Calculator. Should they be merged?
/**
* The unique instance of the calculator.
*/
private static final PresentValueParallelCurveSensitivityDiscountingCalculator INSTANCE = new PresentValueParallelCurveSensitivityDiscountingCalculator();
/**
* Returns the instance of the calculator.
* @return The instance.
*/
public static PresentValueParallelCurveSensitivityDiscountingCalculator getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private PresentValueParallelCurveSensitivityDiscountingCalculator() {
}
/**
* Methods.
*/
private static final PaymentFixedDiscountingMethod METHOD_PAYMENTFIXED = PaymentFixedDiscountingMethod.getInstance();
// ----- Payment/Coupon ------
@Override
public StringAmount visitFixedPayment(final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
return METHOD_PAYMENTFIXED.presentValueParallelCurveSensitivity(payment, multicurves);
}
@Override
public StringAmount visitCouponFixed(final CouponFixed payment, final MulticurveProviderInterface multicurves) {
return visitFixedPayment(payment.toPaymentFixed(), multicurves);
}
// ----- Annuity ------
@Override
public StringAmount visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(annuity, "Annuity");
ArgumentChecker.notNull(multicurves, "multicurve");
StringAmount pvpcs = new StringAmount();
for (final Payment p : annuity.getPayments()) {
pvpcs = StringAmount.plus(pvpcs, p.accept(this, multicurves));
}
return pvpcs;
}
@Override
public StringAmount visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final MulticurveProviderInterface multicurves) {
return visitGenericAnnuity(annuity, multicurves);
}
}