/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.calculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecurityNormalSmileMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.NormalSTIRFuturesProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Computes the price for different types of futures.
*/
public final class FuturesPriceNormalSTIRFuturesCalculator extends
InstrumentDerivativeVisitorAdapter<NormalSTIRFuturesProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final FuturesPriceNormalSTIRFuturesCalculator INSTANCE = new FuturesPriceNormalSTIRFuturesCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static FuturesPriceNormalSTIRFuturesCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private FuturesPriceNormalSTIRFuturesCalculator() {
}
/** The Black function used in the pricing. */
private static final InterestRateFutureOptionMarginSecurityNormalSmileMethod METHOD_RATE_FUTURE_OPTION = InterestRateFutureOptionMarginSecurityNormalSmileMethod
.getInstance();
// ----- Futures options -----
@Override
public Double visitInterestRateFutureOptionMarginSecurity(InterestRateFutureOptionMarginSecurity security,
NormalSTIRFuturesProviderInterface normalData) {
ArgumentChecker.notNull(security, "Option security");
ArgumentChecker.notNull(normalData, "normal data");
return METHOD_RATE_FUTURE_OPTION.price(security, normalData);
}
@Override
public Double visitInterestRateFutureOptionMarginTransaction(InterestRateFutureOptionMarginTransaction option,
NormalSTIRFuturesProviderInterface normalData) {
return visitInterestRateFutureOptionMarginSecurity(option.getUnderlyingSecurity(), normalData);
}
}