/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.sesame.irfutureoption;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.financial.analytics.model.fixedincome.BucketedCurveSensitivities;
import com.opengamma.sesame.Environment;
import com.opengamma.sesame.trade.IRFutureOptionTrade;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.result.Result;
/**
* Default implementation of the {@link IRFutureOptionFn} that uses a specified calculator function to calculate
* requested values.
*/
public class DefaultIRFutureOptionFn implements IRFutureOptionFn {
/**
* Factory that creates interest rate future option calculators.
*/
private final IRFutureOptionCalculatorFactory _irFutureOptionCalculatorFactory;
/**
* Constructs an instance of {@link IRFutureOptionFn} using a calculator created from a specified factory to compute
* values.
* @param irFutureOptionCalculatorFactory factory that creates a calculator.
*/
public DefaultIRFutureOptionFn(IRFutureOptionCalculatorFactory irFutureOptionCalculatorFactory) {
_irFutureOptionCalculatorFactory = irFutureOptionCalculatorFactory;
}
@Override
public Result<MultipleCurrencyAmount> calculatePV(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculatePV();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<MultipleCurrencyMulticurveSensitivity> calculatePV01(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculatePV01();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<Double> calculateModelPrice(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculateModelPrice();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<Double> calculateDelta(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculateDelta();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<Double> calculateGamma(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculateGamma();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<Double> calculateVega(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculateVega();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<Double> calculateTheta(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculateTheta();
} else {
return Result.failure(calculatorResult);
}
}
@Override
public Result<BucketedCurveSensitivities> calculateBucketedZeroIRDelta(Environment env, IRFutureOptionTrade trade) {
Result<IRFutureOptionCalculator> calculatorResult = _irFutureOptionCalculatorFactory.createCalculator(env, trade);
if (calculatorResult.isSuccess()) {
return calculatorResult.getValue().calculateBucketedZeroIRDelta();
} else {
return Result.failure(calculatorResult);
}
}
}