/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.method;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
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.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
/**
* Calculates the value theta of swaptions using the Black model.
* @deprecated {@link YieldCurveBundle} is deprecated.
*/
@Deprecated
public class SwaptionBlackValueThetaCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, CurrencyAmount> {
/**
* The unique instance of the calculator.
*/
private static final SwaptionBlackValueThetaCalculator INSTANCE = new SwaptionBlackValueThetaCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static SwaptionBlackValueThetaCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
SwaptionBlackValueThetaCalculator() {
}
/** Physically-settled swaption methods */
private static final SwaptionPhysicalFixedIborBlackMethod PHYSICAL_SWAPTION = SwaptionPhysicalFixedIborBlackMethod.getInstance();
/** Cash-settled swaption methods */
private static final SwaptionCashFixedIborBlackMethod CASH_SWAPTION = SwaptionCashFixedIborBlackMethod.getInstance();
/** Physical fixed compounded / overnight compounded methods */
private static final SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod PHYSICAL_COMPOUNDED_SWAPTION = SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod.getInstance();
@Override
public CurrencyAmount visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return CASH_SWAPTION.theta(swaption, curvesBlack);
}
throw new UnsupportedOperationException("The SwaptionBlackValueDeltaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public CurrencyAmount visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return PHYSICAL_SWAPTION.theta(swaption, curvesBlack);
}
throw new UnsupportedOperationException("The SwaptionBlackValueDeltaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public CurrencyAmount visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption,
final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return PHYSICAL_COMPOUNDED_SWAPTION.theta(swaption, curvesBlack);
}
throw new UnsupportedOperationException("The SwaptionBlackValueDeltaCalculator visitor visitSwaptionPhysicalFixedCompoundedONCompounded " +
"requires a YieldCurveWithBlackSwaptionBundle as data.");
}
}