/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.blackstirfutures;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionBlackSmileMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesProviderInterface;
/**
* Calculates the position theta for the interest rate future option.
*/
public final class PositionThetaSTIRFutureOptionCalculator extends InstrumentDerivativeVisitorAdapter<BlackSTIRFuturesProviderInterface, Double> {
/**
* The singleton.
*/
private static final PositionThetaSTIRFutureOptionCalculator INSTANCE = new PositionThetaSTIRFutureOptionCalculator();
/**
* Gets the singleton of the calculator.
* @return the calculator.
*/
public static PositionThetaSTIRFutureOptionCalculator getInstance() {
return INSTANCE;
}
/**
* Singleton constructor.
*/
private PositionThetaSTIRFutureOptionCalculator() {
}
/**
* Pricing methods.
*/
private static final InterestRateFutureOptionMarginTransactionBlackSmileMethod METHOD_STIR = InterestRateFutureOptionMarginTransactionBlackSmileMethod.getInstance();
@Override
public Double visitInterestRateFutureOptionMarginTransaction(InterestRateFutureOptionMarginTransaction option, BlackSTIRFuturesProviderInterface data) {
return METHOD_STIR.presentValueTheta(option, data);
}
}