/** * Copyright (C) 2015 - 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.ForexOptionDigital; import com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorSameMethodAdapter; import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity; /** * Calculates the present value curve sensitivity of forex exotic options instruments by static replication * with vanilla products. */ public final class PresentValueCurveSensitivityForexStaticReplicationSmileCalculator extends InstrumentDerivativeVisitorSameMethodAdapter< BlackForexSmileProviderInterface, MultipleCurrencyMulticurveSensitivity> { /** * The unique instance of the calculator. */ private static final PresentValueCurveSensitivityForexStaticReplicationSmileCalculator INSTANCE = new PresentValueCurveSensitivityForexStaticReplicationSmileCalculator(); private PresentValueCurveSensitivityForexStaticReplicationSmileCalculator() { } /** * Gets the calculator instance. * @return The calculator. */ public static PresentValueCurveSensitivityForexStaticReplicationSmileCalculator getInstance() { return INSTANCE; } /** * Pricing methods. */ private static final ForexOptionDigitalCallSpreadBlackSmileMethod METHOD_DIG = new ForexOptionDigitalCallSpreadBlackSmileMethod(); @Override public MultipleCurrencyMulticurveSensitivity visit(InstrumentDerivative derivative, BlackForexSmileProviderInterface blackSmile) { return derivative.accept(this, blackSmile); } @Override public MultipleCurrencyMulticurveSensitivity visit(InstrumentDerivative derivative) { throw new UnsupportedOperationException(); } // ----- Forex ------ @Override public MultipleCurrencyMulticurveSensitivity visitForexOptionDigital(final ForexOptionDigital option, final BlackForexSmileProviderInterface blackSmile) { return METHOD_DIG.presentValueCurveSensitivity(option, blackSmile); } }