/** * 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.inflation; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter; import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponInterpolation; import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponMonthly; import com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethod; import com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponMonthlyBlackSmileMethod; import com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationZeroCouponProviderInterface; import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity; /** * Calculator of the present value curve sensitivity as a multiple currency amount for inflation zero coupon cap floor without convexity adjustment. */ public final class PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator extends InstrumentDerivativeVisitorAdapter<BlackSmileCapInflationZeroCouponProviderInterface, MultipleCurrencyInflationSensitivity> { /** * The unique instance of the calculator. */ private static final PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator INSTANCE = new PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator(); /** * Constructor. */ private PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator() { } /** * Gets the calculator instance. * @return The calculator. */ public static PresentValueCurveSensitivityBlackSmileInflationZeroCouponCalculator getInstance() { return INSTANCE; } /** * Pricing methods. */ private static final CapFloorInflationZeroCouponInterpolationBlackSmileMethod METHOD_CAPFLOOR_INTERPOLATION = CapFloorInflationZeroCouponInterpolationBlackSmileMethod.getInstance(); private static final CapFloorInflationZeroCouponMonthlyBlackSmileMethod METHOD_CAPFLOOR_YEAR_ON_YEAR_MONTHLY = CapFloorInflationZeroCouponMonthlyBlackSmileMethod.getInstance(); //----- Cap/Floor Zero Coupon ----- @Override public MultipleCurrencyInflationSensitivity visitCapFloorInflationZeroCouponInterpolation(final CapFloorInflationZeroCouponInterpolation cap, final BlackSmileCapInflationZeroCouponProviderInterface black) { return METHOD_CAPFLOOR_INTERPOLATION.presentValueCurveSensitivity(cap, black); } @Override public MultipleCurrencyInflationSensitivity visitCapFloorInflationZeroCouponMonthly(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponProviderInterface black) { return METHOD_CAPFLOOR_YEAR_ON_YEAR_MONTHLY.presentValueCurveSensitivity(cap, black); } }