/**
* 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.sabrstirfutures;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionSABRMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSTIRFuturesProviderInterface;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculator of the present value as a multiple currency amount.
*/
public final class PresentValueSABRSTIRFuturesCalculator extends InstrumentDerivativeVisitorAdapter<SABRSTIRFuturesProviderInterface, MultipleCurrencyAmount> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueSABRSTIRFuturesCalculator INSTANCE = new PresentValueSABRSTIRFuturesCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueSABRSTIRFuturesCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueSABRSTIRFuturesCalculator() {
}
/**
* Pricing methods.
*/
private static final InterestRateFutureOptionMarginTransactionSABRMethod METHOD_STRIRFUT_MARGIN = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
// ----- Futures ------
@Override
public MultipleCurrencyAmount visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction futures, final SABRSTIRFuturesProviderInterface sabr) {
return METHOD_STRIRFUT_MARGIN.presentValue(futures, sabr);
}
}