/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate; import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor; import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor; import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethod; import com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethod; import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle; import com.opengamma.util.ArgumentChecker; /** * */ @Deprecated public class DeltaBlackCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> { /** * The unique instance of the calculator. */ private static final DeltaBlackCalculator INSTANCE = new DeltaBlackCalculator(); /** * Gets the calculator instance. * @return The calculator. */ public static DeltaBlackCalculator getInstance() { return INSTANCE; } /** * Constructor. */ DeltaBlackCalculator() { } /** * The methods used in the calculator. */ private static final SwaptionPhysicalFixedIborBlackMethod PHYSICAL_SWAPTION = SwaptionPhysicalFixedIborBlackMethod.getInstance(); private static final SwaptionCashFixedIborBlackMethod CASH_SWAPTION = SwaptionCashFixedIborBlackMethod.getInstance(); @Override public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) { ArgumentChecker.notNull(swaption, "swaption"); ArgumentChecker.notNull(curves, "curves"); if (curves instanceof YieldCurveWithBlackSwaptionBundle) { final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves; return CASH_SWAPTION.delta(swaption, curvesBlack).getAmount(); } throw new UnsupportedOperationException("The DeltaBlackCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data."); } @Override public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) { ArgumentChecker.notNull(swaption, "swaption"); ArgumentChecker.notNull(curves, "curves"); if (curves instanceof YieldCurveWithBlackSwaptionBundle) { final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves; return PHYSICAL_SWAPTION.delta(swaption, curvesBlack).getAmount(); } throw new UnsupportedOperationException("The DeltaBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data."); } }