/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.provider;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
/**
* Method for the pricing of interest rate future options with daily margining. The pricing is done with a Black approach on the future rate (1.0-price).
* The Black parameters are represented by (expiration-strike-delay) surfaces. The "delay" is the time between option expiration and future last trading date,
* i.e. 0 for quarterly options and x for x-year mid-curve options. The future prices are computed without convexity adjustments.
*/
public final class InterestRateFutureOptionMarginTransactionHullWhiteMethod extends InterestRateFutureOptionMarginTransactionGenericMethod<HullWhiteOneFactorProviderInterface> {
/**
* Creates the method unique instance.
*/
private static final InterestRateFutureOptionMarginTransactionHullWhiteMethod INSTANCE = new InterestRateFutureOptionMarginTransactionHullWhiteMethod();
/**
* Constructor.
*/
private InterestRateFutureOptionMarginTransactionHullWhiteMethod() {
super(InterestRateFutureOptionMarginSecurityHullWhiteMethod.getInstance());
}
/**
* Return the method unique instance.
* @return The instance.
*/
public static InterestRateFutureOptionMarginTransactionHullWhiteMethod getInstance() {
return INSTANCE;
}
/**
* Returns the method to compute the underlying security price and price curve sensitivity.
* @return The method.
*/
@Override
public InterestRateFutureOptionMarginSecurityHullWhiteMethod getSecurityMethod() {
return (InterestRateFutureOptionMarginSecurityHullWhiteMethod) super.getSecurityMethod();
}
}