/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.bond.calculator; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter; import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedSecurity; import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedTransaction; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction; import com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethod; import com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod; import com.opengamma.util.ArgumentChecker; /** * Calculate modified duration from price. */ public final class ModifiedDurationFromCleanPriceCalculator extends InstrumentDerivativeVisitorAdapter<Double, Double> { /** * The calculator instance. */ private static final ModifiedDurationFromCleanPriceCalculator s_instance = new ModifiedDurationFromCleanPriceCalculator(); /** * Return the calculator instance. * @return The instance. */ public static ModifiedDurationFromCleanPriceCalculator getInstance() { return s_instance; } /** * Private constructor. */ private ModifiedDurationFromCleanPriceCalculator() { } /** * The method used for different instruments. */ private static final BondSecurityDiscountingMethod METHOD_BOND_SECURITY = BondSecurityDiscountingMethod.getInstance(); /** * The method used for different inflation instruments. */ private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_INFLATION_BOND_SECURITY = BondCapitalIndexedSecurityDiscountingMethod.getInstance(); @Override public Double visitBondFixedSecurity(final BondFixedSecurity bond, final Double price) { return METHOD_BOND_SECURITY.modifiedDurationFromCleanPrice(bond, price); } @Override public Double visitBondFixedTransaction(final BondFixedTransaction bond, final Double price) { return METHOD_BOND_SECURITY.modifiedDurationFromCleanPrice(bond.getBondTransaction(), price); } @Override public Double visitBondCapitalIndexedTransaction(final BondCapitalIndexedTransaction bond, final Double price) { ArgumentChecker.notNull(bond, "bond"); ArgumentChecker.notNull(price, "yield"); ArgumentChecker.notNull(bond.getBondStandard() instanceof BondCapitalIndexedSecurity<?>, "the bond should be a BondCapitalIndexedSecurity"); final BondCapitalIndexedSecurity<?> bondSecurity = (BondCapitalIndexedSecurity<?>) bond.getBondStandard(); return METHOD_INFLATION_BOND_SECURITY.modifiedDurationFromCleanPrice(bondSecurity, price); } @Override public Double visitBondCapitalIndexedSecurity(final BondCapitalIndexedSecurity<?> bond, final Double price) { ArgumentChecker.notNull(bond, "bond"); ArgumentChecker.notNull(price, "yield"); ArgumentChecker.notNull(bond instanceof BondCapitalIndexedSecurity<?>, "the bond should be a BondCapitalIndexedSecurity"); return METHOD_INFLATION_BOND_SECURITY.modifiedDurationFromCleanPrice(bond, price); } }