/**
* 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.normalswaption;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborNormalMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.NormalSwaptionProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
/**
* Calculator of the present value curve sensitivity for multi-curve with normal swaption volatility.
*/
public final class PresentValueCurveSensitivityNormalSwaptionCalculator
extends InstrumentDerivativeVisitorAdapter<NormalSwaptionProviderInterface, MultipleCurrencyMulticurveSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueCurveSensitivityNormalSwaptionCalculator INSTANCE = new PresentValueCurveSensitivityNormalSwaptionCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueCurveSensitivityNormalSwaptionCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueCurveSensitivityNormalSwaptionCalculator() {
}
/** Pricing method for physically-settled swaptions */
private static final SwaptionPhysicalFixedIborNormalMethod METHOD_SWT_PHYS =
SwaptionPhysicalFixedIborNormalMethod.getInstance();
@Override
public MultipleCurrencyMulticurveSensitivity visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption,
final NormalSwaptionProviderInterface normal) {
return METHOD_SWT_PHYS.presentValueCurveSensitivity(swaption, normal);
}
}