/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity;
import com.opengamma.analytics.financial.equity.option.EquityIndexFutureOption;
import com.opengamma.analytics.financial.equity.option.EquityIndexFutureOptionBlackMethod;
import com.opengamma.analytics.financial.equity.option.EquityIndexOption;
import com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod;
import com.opengamma.analytics.financial.equity.option.EquityOption;
import com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the theta (first order sensitivity of price with respect to the time to expiry) using the Black method.
*/
public final class EquityOptionBlackThetaCalculator extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, Double> {
/** Static instance */
private static final EquityOptionBlackThetaCalculator s_instance = new EquityOptionBlackThetaCalculator();
/**
* Gets the (singleton) instance of this calculator
* @return The instance of this calculator
*/
public static EquityOptionBlackThetaCalculator getInstance() {
return s_instance;
}
private EquityOptionBlackThetaCalculator() {
}
@Override
public Double visitEquityIndexOption(final EquityIndexOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final Double thetaBlack = EquityIndexOptionBlackMethod.getInstance().spotTheta(option, data);
return thetaBlack;
}
@Override
public Double visitEquityOption(final EquityOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final Double thetaBlack = EquityOptionBlackMethod.getInstance().spotTheta(option, data);
return thetaBlack;
}
@Override
public Double visitEquityIndexFutureOption(final EquityIndexFutureOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final Double thetaBlack = EquityIndexFutureOptionBlackMethod.getInstance().theta(option, data);
return thetaBlack;
}
}