/**
* Copyright (C) 2012 - 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.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginSecurityBlackSurfaceMethod;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.util.ArgumentChecker;
/**
* InstrumentDerivativeVisitor that calculates theoretical vega
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public class PresentValueBlackTheoreticalVegaCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/** A static instance */
private static final PresentValueBlackTheoreticalVegaCalculator INSTANCE = new PresentValueBlackTheoreticalVegaCalculator();
/** The margined interest rate future option calculator */
private static final InterestRateFutureOptionMarginSecurityBlackSurfaceMethod MARGINED_IR_FUTURE_OPTION = InterestRateFutureOptionMarginSecurityBlackSurfaceMethod.getInstance();
/** The interest rate future option with premium calculator */
private static final InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod PREMIUM_IR_FUTURE_OPTION = InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod.getInstance();
/**
* Gets an instance.
* @return The instance
*/
public static PresentValueBlackTheoreticalVegaCalculator getInstance() {
return INSTANCE;
}
@Override
public Double visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackCubeBundle, "Yield curve bundle should contain Black cube");
return MARGINED_IR_FUTURE_OPTION.optionPriceVega(transaction.getUnderlyingSecurity(), (YieldCurveWithBlackCubeBundle) curves);
}
@Override
public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackCubeBundle, "Yield curve bundle should contain Black cube");
return PREMIUM_IR_FUTURE_OPTION.optionPriceVega(transaction.getUnderlyingSecurity(), (YieldCurveWithBlackCubeBundle) curves);
}
}