/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabrcube;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRCalculator;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.DoubleLabelledMatrix2D;
/**
* Calculates sensitivities with respect to the SABR parameters.
* @deprecated The parent of this class is deprecated
*/
@Deprecated
public abstract class SABRNoExtrapolationPVSABRSensitivityFunction extends SABRNoExtrapolationFunction {
private static final PresentValueSABRSensitivitySABRCalculator CALCULATOR = PresentValueSABRSensitivitySABRCalculator.getInstance();
@Override
protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
return getResultAsMatrix(derivative.accept(CALCULATOR, data));
}
protected abstract DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities);
/**
* Function to get the sensitivity to the alpha parameter
*/
public static class Alpha extends SABRNoExtrapolationPVSABRSensitivityFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE_SABR_ALPHA_SENSITIVITY;
}
@Override
protected DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities) {
return SABRCubeUtils.toDoubleLabelledMatrix2D(sensitivities.getAlpha());
}
}
/**
* Function to get the sensitivity to the rho parameter
*/
public static class Rho extends SABRNoExtrapolationPVSABRSensitivityFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE_SABR_RHO_SENSITIVITY;
}
@Override
protected DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities) {
return SABRCubeUtils.toDoubleLabelledMatrix2D(sensitivities.getRho());
}
}
/**
* Function to get the sensitivity to the nu parameter
*/
public static class Nu extends SABRNoExtrapolationPVSABRSensitivityFunction {
@Override
protected String getValueRequirement() {
return ValueRequirementNames.PRESENT_VALUE_SABR_NU_SENSITIVITY;
}
@Override
protected DoubleLabelledMatrix2D getResultAsMatrix(final PresentValueSABRSensitivityDataBundle sensitivities) {
return SABRCubeUtils.toDoubleLabelledMatrix2D(sensitivities.getNu());
}
}
}