/** * 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.model.option.definition.SABRInterestRateParameters; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.tuple.DoublesPair; /** * Implementation for STIR futures SABR parameters provider for one underlying when multi-curves are described by a MulticurveProviderDiscount. */ public class SABRSTIRFuturesProvider implements SABRSTIRFuturesProviderInterface { /** * The multicurve provider. */ private final MulticurveProviderInterface _multicurveProvider; /** * The SABR parameters. */ private final SABRInterestRateParameters _parameters; /** * The underlying swaps generators. */ private final IborIndex _index; /** * @param multicurveProvider The multicurve provider, not null * @param parameters The SABR parameters, not null * @param index The underlying index, not null */ public SABRSTIRFuturesProvider(final MulticurveProviderInterface multicurveProvider, final SABRInterestRateParameters parameters, final IborIndex index) { ArgumentChecker.notNull(multicurveProvider, "multicurveProvider"); ArgumentChecker.notNull(parameters, "parameters"); ArgumentChecker.notNull(index, "index"); _multicurveProvider = multicurveProvider; _parameters = parameters; _index = index; } @Override public SABRSTIRFuturesProvider copy() { final MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy(); return new SABRSTIRFuturesProvider(multicurveProvider, _parameters, _index); } @Override public SABRInterestRateParameters getSABRParameters() { return _parameters; } @Override public IborIndex getSABRIndex() { return _index; } @Override public MulticurveProviderInterface getMulticurveProvider() { return _multicurveProvider; } @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 instanceof SABRSTIRFuturesProvider)) { return false; } final SABRSTIRFuturesProvider other = (SABRSTIRFuturesProvider) 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; } }