/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.forex;
import java.util.List;
import java.util.Set;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.model.volatility.VolatilityAndBucketedSensitivities;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.Pair;
/**
* Interface for Forex Black with smile parameters provider for a currency pair.
*/
public class BlackForexSmileProvider implements BlackForexSmileProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderInterface _multicurveProvider;
/**
* The volatility model for one currency pair.
*/
private final SmileDeltaTermStructureParametersStrikeInterpolation _smile;
/**
* The currency pair for which the volatility data are valid.
*/
private final Pair<Currency, Currency> _currencyPair;
/**
* Constructor from exiting multicurveProvider and volatility model. The given provider and parameters are used for the new provider (the same maps are used, not copied).
* @param multicurves The multi-curves provider, not null
* @param smile Smile, not null
* @param currencyPair The currency pair, not null
*/
public BlackForexSmileProvider(final MulticurveProviderInterface multicurves, final SmileDeltaTermStructureParametersStrikeInterpolation smile, final Pair<Currency, Currency> currencyPair) {
ArgumentChecker.notNull(multicurves, "multicurves");
ArgumentChecker.notNull(smile, "smile");
ArgumentChecker.notNull(currencyPair, "currencyPair");
_multicurveProvider = multicurves;
_smile = smile;
_currencyPair = currencyPair;
}
@Override
public BlackForexSmileProvider copy() {
final MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
return new BlackForexSmileProvider(multicurveProvider, _smile, _currencyPair);
}
@Override
public SmileDeltaTermStructureParametersStrikeInterpolation getVolatility() {
return _smile;
}
@Override
public Pair<Currency, Currency> getCurrencyPair() {
return _currencyPair;
}
@Override
public boolean checkCurrencies(final Currency ccy1, final Currency ccy2) {
if ((ccy1.equals(_currencyPair.getFirst())) && ccy2.equals(_currencyPair.getSecond())) {
return true;
}
if ((ccy2.equals(_currencyPair.getFirst())) && ccy1.equals(_currencyPair.getSecond())) {
return true;
}
return false;
}
@Override
public MulticurveProviderInterface getMulticurveProvider() {
return _multicurveProvider;
}
/**
* Returns volatility for a expiration, strike and forward. The volatility take into account the currency order.
* @param ccy1 The first currency.
* @param ccy2 The second currency.
* @param time The expiration time.
* @param strike The strike.
* @param forward The forward rate.
* @return The volatility.
*/
@Override
public double getVolatility(final Currency ccy1, final Currency ccy2, final double time, final double strike, final double forward) {
if (getCurrencyPair().getFirst().equals(ccy1) && getCurrencyPair().getSecond().equals(ccy2)) {
return getVolatility().getVolatility(time, strike, forward);
}
if (getCurrencyPair().getFirst().equals(ccy2) && getCurrencyPair().getSecond().equals(ccy1)) {
return getVolatility().getVolatility(time, 1.0 / strike, 1.0 / forward);
}
throw new IllegalArgumentException("Currencies not compatible with smile data; asked for " + ccy1 + " and " + ccy2);
}
@Override
public VolatilityAndBucketedSensitivities getVolatilityAndSensitivities(final Currency ccy1, final Currency ccy2, final double time, final double strike, final double forward) {
if (getCurrencyPair().getFirst().equals(ccy1) && getCurrencyPair().getSecond().equals(ccy2)) {
return getVolatility().getVolatilityAndSensitivities(time, strike, forward);
}
if (getCurrencyPair().getFirst().equals(ccy2) && getCurrencyPair().getSecond().equals(ccy1)) {
return getVolatility().getVolatilityAndSensitivities(time, 1.0 / strike, 1.0 / forward);
}
throw new IllegalArgumentException("Currencies not compatible with smile data; asked for " + ccy1 + " and " + ccy2);
}
@Override
public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
return _multicurveProvider.parameterSensitivity(name, pointSensitivity);
}
@Override
public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
return _multicurveProvider.parameterForwardSensitivity(name, pointSensitivity);
}
@Override
public Set<String> getAllCurveNames() {
return _multicurveProvider.getAllCurveNames();
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _currencyPair.hashCode();
result = prime * result + _multicurveProvider.hashCode();
result = prime * result + _smile.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof BlackForexSmileProvider)) {
return false;
}
final BlackForexSmileProvider other = (BlackForexSmileProvider) obj;
if (!ObjectUtils.equals(_currencyPair, other._currencyPair)) {
return false;
}
if (!ObjectUtils.equals(_multicurveProvider, other._multicurveProvider)) {
return false;
}
if (!ObjectUtils.equals(_smile, other._smile)) {
return false;
}
return true;
}
}