/**
* Copyright (C) 2013 - 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.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
/**
*
*/
public class CouponAccrualDiscountFactorVisitor extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, double[]> {
@Override
public double[] visitCouponIbor(final CouponIbor payment, final YieldCurveBundle curves) {
final YieldAndDiscountCurve forwardCurve = curves.getCurve(payment.getForwardCurveName());
return new double[] {forwardCurve.getDiscountFactor(payment.getFixingPeriodStartTime()), forwardCurve.getDiscountFactor(payment.getFixingPeriodEndTime())};
}
@Override
public double[] visitCouponIborSpread(final CouponIborSpread payment, final YieldCurveBundle curves) {
final YieldAndDiscountCurve forwardCurve = curves.getCurve(payment.getForwardCurveName());
return new double[] {forwardCurve.getDiscountFactor(payment.getFixingPeriodStartTime()), forwardCurve.getDiscountFactor(payment.getFixingPeriodEndTime())};
}
@Override
public double[] visitCouponIborGearing(final CouponIborGearing payment, final YieldCurveBundle curves) {
final YieldAndDiscountCurve forwardCurve = curves.getCurve(payment.getForwardCurveName());
return new double[] {forwardCurve.getDiscountFactor(payment.getFixingPeriodStartTime()), forwardCurve.getDiscountFactor(payment.getFixingPeriodEndTime())};
}
}