/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.method;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedCompoundedONCompounded;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.util.ArgumentChecker;
/**
* @deprecated {@link YieldCurveBundle} is deprecated.
*/
@Deprecated
public class SwaptionBlackForwardGammaCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/**
* The unique instance of the calculator.
*/
private static final SwaptionBlackForwardGammaCalculator INSTANCE = new SwaptionBlackForwardGammaCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static SwaptionBlackForwardGammaCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
SwaptionBlackForwardGammaCalculator() {
}
/** Physical swaption methods */
private static final SwaptionPhysicalFixedIborBlackMethod METHOD_SWAPTION_PHYSICAL = SwaptionPhysicalFixedIborBlackMethod.getInstance();
/** Cash-settled swaption methods */
private static final SwaptionCashFixedIborBlackMethod METHOD_SWAPTION_CASH = SwaptionCashFixedIborBlackMethod.getInstance();
/** Physical fixed compounded / overnight compounded methods */
private static final SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod PHYSICAL_COMPOUNDED_SWAPTION = SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod.getInstance();
@Override
public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_CASH.forwardGammaTheoretical(swaption, curvesBlack);
}
throw new UnsupportedOperationException("The SwaptionBlackForwardGammaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_PHYSICAL.forwardGammaTheoretical(swaption, curvesBlack);
}
throw new UnsupportedOperationException("The SwaptionBlackForwardGammaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Double visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
return PHYSICAL_COMPOUNDED_SWAPTION.forwardGammaTheoretical(swaption, curvesBlack);
}
throw new UnsupportedOperationException("The SwaptionBlackForwardGammaCalculator visitor visitSwaptionPhysicalFixedCompoundedONCompounded requires a YieldCurveWithBlackSwaptionBundle as data.");
}
}