/**
* 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);
}
}