/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.commodity.calculator;
import com.opengamma.analytics.financial.commodity.CommodityFutureOptionSameMethodVisitorAdapter;
import com.opengamma.analytics.financial.commodity.derivative.CommodityFutureOption;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.BaroneAdesiWhaleyModel;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the present value of a commodity future option using the Barone-Adesi Whaley model {@link BaroneAdesiWhaleyModel}.
*/
public final class ComFutOptBAWPresentValueCalculator extends CommodityFutureOptionSameMethodVisitorAdapter<StaticReplicationDataBundle, Double> {
/** Static instance of this calculator */
private static final ComFutOptBAWPresentValueCalculator INSTANCE = new ComFutOptBAWPresentValueCalculator();
/** The pricing model */
private static final BaroneAdesiWhaleyModel MODEL = new BaroneAdesiWhaleyModel();
/**
* @return A static instance of this class
*/
public static ComFutOptBAWPresentValueCalculator getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private ComFutOptBAWPresentValueCalculator() {
}
@Override
public Double visit(final CommodityFutureOption<?> option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final double b = r;
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final boolean isCall = option.isCall();
return MODEL.price(s, k, r, b, t, volatility, isCall);
}
}