/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
/**
* Method to compute the price for an interest rate future with convexity adjustment from a Hull-White one factor model.
* <p> Reference: Henrard M., Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model. March 2005.
* Available at <a href="http://ssrn.com/abstract=682343">http://ssrn.com/abstract=682343</a>
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureTransactionHullWhiteMethod}
*/
@Deprecated
public final class InterestRateFutureTransactionHullWhiteMethod extends InterestRateFutureTransactionMethod {
/**
* The unique instance of the calculator.
*/
private static final InterestRateFutureTransactionHullWhiteMethod INSTANCE = new InterestRateFutureTransactionHullWhiteMethod();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static InterestRateFutureTransactionHullWhiteMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private InterestRateFutureTransactionHullWhiteMethod() {
}
private static final InterestRateFutureSecurityHullWhiteMethod METHOD_SECURITY = InterestRateFutureSecurityHullWhiteMethod.getInstance();
// /**
// * The Hull-White model.
// */
// private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL = new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
public CurrencyAmount presentValue(final InterestRateFutureTransaction future, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
final double pv = presentValueFromPrice(future, METHOD_SECURITY.price(future.getUnderlyingSecurity(), curves));
return CurrencyAmount.of(future.getCurrency(), pv);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
ArgumentChecker.isTrue(instrument instanceof InterestRateFutureTransaction, "Interest rate future");
ArgumentChecker.isTrue(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle, "Bundle with Hull-White data");
return presentValue((InterestRateFutureTransaction) instrument, (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
}
@Override
public InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
return presentValueCurveSensitivity(future, METHOD_SECURITY.priceCurveSensitivity(future.getUnderlyingSecurity(), curves));
}
}