/**
* 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 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.blackswaption.PresentValueBlackSensitivityBlackSwaptionCalculator;
import com.opengamma.util.ArgumentChecker;
/**
* Present value sensitivity to volatility for interest rate instruments using the Black formula.
* @deprecated {@link YieldCurveBundle} is deprecated. Use classes like
* {@link PresentValueBlackSensitivityBlackSwaptionCalculator}
*/
@Deprecated
public final class PresentValueBlackSwaptionSensitivityBlackCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, PresentValueBlackSwaptionSensitivity> {
/**
* The method unique instance.
*/
private static final PresentValueBlackSwaptionSensitivityBlackCalculator INSTANCE = new PresentValueBlackSwaptionSensitivityBlackCalculator();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static PresentValueBlackSwaptionSensitivityBlackCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
PresentValueBlackSwaptionSensitivityBlackCalculator() {
}
/**
* The methods used in the calculator.
*/
private static final SwaptionPhysicalFixedIborBlackMethod METHOD_SWAPTION_PHYSICAL = SwaptionPhysicalFixedIborBlackMethod.getInstance();
private static final SwaptionCashFixedIborBlackMethod METHOD_SWAPTION_CASH = SwaptionCashFixedIborBlackMethod.getInstance();
private static final SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod METHOD_SWAPTION_PHYSICAL_COMPOUNDED = SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod.getInstance();
@Override
public PresentValueBlackSwaptionSensitivity visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curveBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_CASH.presentValueBlackSensitivity(swaption, curveBlack);
}
throw new UnsupportedOperationException("The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public PresentValueBlackSwaptionSensitivity visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor 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.presentValueBlackSensitivity(swaption, curveBlack);
}
throw new UnsupportedOperationException(
"The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public PresentValueBlackSwaptionSensitivity 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.presentValueBlackSensitivity(swaption, curveBlack);
}
throw new UnsupportedOperationException(
"The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedCompoundedONCompounded requires a YieldCurveWithBlackSwaptionBundle as data.");
}
}