/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.hullwhite;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorSameMethodAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecurityHullWhiteMethod;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityHullWhiteMethod;
import com.opengamma.analytics.financial.interestrate.future.provider.SwapFuturesPriceDeliverableSecurityHullWhiteMethod;
import com.opengamma.analytics.financial.provider.calculator.discounting.MarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
/**
* Calculate the market quote of instruments dependent of a Hull-White one factor provider.
*/
public class MarketQuoteHullWhiteCalculator extends InstrumentDerivativeVisitorSameMethodAdapter<HullWhiteOneFactorProviderInterface, Double> {
/**
* An instance of the calculator.
*/
private static final MarketQuoteHullWhiteCalculator INSTANCE = new MarketQuoteHullWhiteCalculator();
/**
* Constructor.
*/
protected MarketQuoteHullWhiteCalculator() {
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static MarketQuoteHullWhiteCalculator getInstance() {
return INSTANCE;
}
/**
* Pricing methods.
*/
private static final SwapFuturesPriceDeliverableSecurityHullWhiteMethod METHOD_SWAP_FUT = SwapFuturesPriceDeliverableSecurityHullWhiteMethod.getInstance();
private static final InterestRateFutureSecurityHullWhiteMethod METHOD_STIRFUT = InterestRateFutureSecurityHullWhiteMethod.getInstance();
private static final InterestRateFutureOptionMarginSecurityHullWhiteMethod METHOD_OPT_STIRFUT_MARG = InterestRateFutureOptionMarginSecurityHullWhiteMethod.getInstance();
@Override
public Double visit(final InstrumentDerivative derivative, final HullWhiteOneFactorProviderInterface multicurves) {
return derivative.accept(MarketQuoteDiscountingCalculator.getInstance(), multicurves.getMulticurveProvider());
}
// ----- Futures -----
@Override
public Double visitInterestRateFutureSecurity(final InterestRateFutureSecurity futures, final HullWhiteOneFactorProviderInterface hullWhite) {
return METHOD_STIRFUT.price(futures, hullWhite);
}
@Override
public Double visitInterestRateFutureTransaction(final InterestRateFutureTransaction futures, final HullWhiteOneFactorProviderInterface hullWhite) {
return METHOD_STIRFUT.price(futures.getUnderlyingSecurity(), hullWhite);
}
@Override
public Double visitSwapFuturesPriceDeliverableSecurity(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hullWhite) {
return METHOD_SWAP_FUT.price(futures, hullWhite);
}
@Override
public Double visitInterestRateFutureOptionMarginSecurity(final InterestRateFutureOptionMarginSecurity option, final HullWhiteOneFactorProviderInterface hullWhite) {
return METHOD_OPT_STIRFUT_MARG.price(option, hullWhite);
}
@Override
public Double visit(final InstrumentDerivative derivative) {
throw new UnsupportedOperationException();
}
}