/**
* 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 com.opengamma.analytics.financial.model.option.parameters.BlackSmileCapParameters;
/**
* 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 BlackSmileCapProviderDiscount extends BlackSmileCapProvider {
/**
* @param multicurveProvider The multi-curve provider.
* @param parameters The Black parameters.
*/
public BlackSmileCapProviderDiscount(final MulticurveProviderDiscount multicurveProvider, final BlackSmileCapParameters parameters) {
super(multicurveProvider, parameters);
}
@Override
public BlackSmileCapProviderDiscount copy() {
final MulticurveProviderDiscount multicurveProvider = getMulticurveProvider().copy();
return new BlackSmileCapProviderDiscount(multicurveProvider, getBlackParameters());
}
@Override
public MulticurveProviderDiscount getMulticurveProvider() {
return (MulticurveProviderDiscount) super.getMulticurveProvider();
}
}