/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.method;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
/**
* Class used to compute the price of a CMS coupon by swaption replication on a SABR formula.
* Reference: Hagan, P. S. (2003). Convexity conundrums: Pricing CMS swaps, caps, and floors. Wilmott Magazine, March, pages 38--44.
* OpenGamma implementation note: Replication pricing for linear and TEC format CMS, Version 1.2, March 2011.
* @deprecated {@link SABRInterestRateDataBundle} is deprecated
*/
@Deprecated
public final class CouponCMSSABRReplicationMethod extends CouponCMSSABRReplicationGenericMethod {
/**
* The method default instance.
*/
private static final CouponCMSSABRReplicationMethod INSTANCE = new CouponCMSSABRReplicationMethod();
/**
* Returns a default instance of the CMS cap/floor replication method. The default integration interval is 1.00 (100%).
* @return The calculation method
*/
public static CouponCMSSABRReplicationMethod getInstance() {
return INSTANCE;
}
/**
* Default constructor. The default integration interval is 1.00 (100%).
*/
private CouponCMSSABRReplicationMethod() {
super(CapFloorCMSSABRReplicationMethod.getDefaultInstance());
}
}