/**
* 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.interestrate;
import java.util.List;
import java.util.Set;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Implementation of a provider of Black smile for options on STIR futures. The volatility is time to expiration/strike/delay dependent.
* The "delay" is the time between expiration of the option and last trading date of the underlying futures.
*/
public class BlackSTIRFuturesSmileProvider implements BlackSTIRFuturesProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderInterface _multicurveProvider;
/**
* The Black volatility cube. Not null.
* TODO: Change to a cube (with the delay dimension).
*/
private final Surface<Double, Double, Double> _parameters;
/**
* The underlying swaps generators.
*/
private final IborIndex _index;
/**
* @param multicurveProvider The multicurve provider, not null
* @param parameters The Black parameters, not null
* @param index The cap/floor index, not null
*/
public BlackSTIRFuturesSmileProvider(final MulticurveProviderInterface multicurveProvider, final Surface<Double, Double, Double> parameters, final IborIndex index) {
ArgumentChecker.notNull(multicurveProvider, "multicurveProvider");
ArgumentChecker.notNull(parameters, "parameters");
ArgumentChecker.notNull(index, "index");
_multicurveProvider = multicurveProvider;
_parameters = parameters;
_index = index;
}
@Override
public BlackSTIRFuturesSmileProvider copy() {
final MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
return new BlackSTIRFuturesSmileProvider(multicurveProvider, _parameters, _index);
}
@Override
public double getVolatility(final double expiry, final double delay, final double strike, double futuresPrice) {
return _parameters.getZValue(expiry, strike);
}
@Override
public IborIndex getFuturesIndex() {
return _index;
}
@Override
public MulticurveProviderInterface getMulticurveProvider() {
return _multicurveProvider;
}
/**
* Returns the Black parameters.
* @return The parameters.
*/
public Surface<Double, Double, Double> getBlackParameters() {
return _parameters;
}
@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 + _index.hashCode();
result = prime * result + _multicurveProvider.hashCode();
result = prime * result + _parameters.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (!(obj instanceof BlackSTIRFuturesSmileProvider)) {
return false;
}
final BlackSTIRFuturesSmileProvider other = (BlackSTIRFuturesSmileProvider) obj;
if (!ObjectUtils.equals(_index, other._index)) {
return false;
}
if (!ObjectUtils.equals(_multicurveProvider, other._multicurveProvider)) {
return false;
}
if (!ObjectUtils.equals(_parameters, other._parameters)) {
return false;
}
return true;
}
}