/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.blackforex;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityNodeSensitivityDataBundle;
import com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
/**
* Calculates the bucketed vega matrix (first order derivative with respect to the implied volatility) for Forex derivatives in the
* Black (Garman-Kohlhagen) world. The matrix axes are delta and time to expiry.
*/
public class BucketedVegaForexBlackSmileCalculator extends InstrumentDerivativeVisitorAdapter<BlackForexSmileProviderInterface, PresentValueForexBlackVolatilityNodeSensitivityDataBundle> {
/**
* The unique instance of the calculator.
*/
private static final BucketedVegaForexBlackSmileCalculator INSTANCE = new BucketedVegaForexBlackSmileCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static BucketedVegaForexBlackSmileCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
BucketedVegaForexBlackSmileCalculator() {
}
/**
* The methods used by the different instruments.
*/
private static final ForexOptionVanillaBlackSmileMethod METHOD_FXOPTIONVANILLA = ForexOptionVanillaBlackSmileMethod.getInstance();
@Override
public PresentValueForexBlackVolatilityNodeSensitivityDataBundle visitForexOptionVanilla(final ForexOptionVanilla optionForex, final BlackForexSmileProviderInterface smileMulticurves) {
return METHOD_FXOPTIONVANILLA.presentValueBlackVolatilityNodeSensitivity(optionForex, smileMulticurves);
}
}