/**
* 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.provider.ForexOptionVanillaBlackSmileMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
/**
* Calculates the value gamma (second order derivative with respect to the spot rate) for Forex derivatives in the Black (Garman-Kohlhagen) world.
*/
public class ValueGammaForexBlackSmileCalculator extends InstrumentDerivativeVisitorAdapter<BlackForexSmileProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final ValueGammaForexBlackSmileCalculator INSTANCE = new ValueGammaForexBlackSmileCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ValueGammaForexBlackSmileCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
ValueGammaForexBlackSmileCalculator() {
}
/**
* The methods used by the different instruments.
*/
private static final ForexOptionVanillaBlackSmileMethod METHOD_FXOPTIONVANILLA = ForexOptionVanillaBlackSmileMethod.getInstance();
/**
* The value gamma is provided with "direct quote", i.e. (1 foreign = x domestic) and not the reverse quote (1 domestic = x foreign).
* @param optionForex The Forex option.
* @param smileMulticurves The curve and smile data.
* @return The value gamma.
*/
@Override
public Double visitForexOptionVanilla(final ForexOptionVanilla optionForex, final BlackForexSmileProviderInterface smileMulticurves) {
return METHOD_FXOPTIONVANILLA.gammaRelative(optionForex, smileMulticurves, true);
}
}