/**
* 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.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionBlackSurfaceMethod;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod;
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;
/**
* Interpolates, for interest rate instruments using Black model, and returns the implied volatility required.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class ImpliedVolatilityBlackCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/**
* The method unique instance.
*/
private static final ImpliedVolatilityBlackCalculator INSTANCE = new ImpliedVolatilityBlackCalculator();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static ImpliedVolatilityBlackCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
ImpliedVolatilityBlackCalculator() {
}
/** Physical swaption methods */
private static final SwaptionPhysicalFixedIborBlackMethod METHOD_SWAPTION_PHYSICAL = SwaptionPhysicalFixedIborBlackMethod.getInstance();
/** Cash-settled swaption methods */
private static final SwaptionCashFixedIborBlackMethod METHOD_SWAPTION_CASH = SwaptionCashFixedIborBlackMethod.getInstance();
/** Physical fixed compounded / overnight compounded methods */
private static final SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod PHYSICAL_COMPOUNDED_SWAPTION = SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod.getInstance();
/** Margined interest rate future option methods */
private static final InterestRateFutureOptionMarginTransactionBlackSurfaceMethod METHOD_MARGINED_IR_FUTURE_OPTION_TXN = InterestRateFutureOptionMarginTransactionBlackSurfaceMethod.getInstance();
/** Margined interest rate future option methods */
private static final InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod METHOD_PREMIUM_IR_FUTURE_OPTION_TXN = InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod.getInstance();
@Override
public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
return METHOD_SWAPTION_PHYSICAL.impliedVolatility(swaption, curves);
}
@Override
public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
return METHOD_SWAPTION_CASH.impliedVolatility(swaption, curves);
}
@Override
public Double visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
return PHYSICAL_COMPOUNDED_SWAPTION.impliedVolatility(swaption, curves);
}
@Override
public Double visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveBundle curves) {
return METHOD_MARGINED_IR_FUTURE_OPTION_TXN.impliedVolatility(transaction, curves);
}
@Override
public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
return METHOD_PREMIUM_IR_FUTURE_OPTION_TXN.impliedVolatility(transaction, curves);
}
}