/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.blackforex;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorSameMethodAdapter;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
/**
* Calculates the bucketed vega matrix (first order derivative with respect to the implied volatility) for Forex derivatives in the
* Black (Garman-Kohlhagen) world. The matrix axes are (time to expiry, ATM / risk reversal / butterfly).
*/
public class QuoteBucketedVegaForexBlackSmileCalculator extends
InstrumentDerivativeVisitorSameMethodAdapter<BlackForexSmileProviderInterface, PresentValueForexBlackVolatilityQuoteSensitivityDataBundle> {
/**
* The unique instance of the calculator.
*/
private static final QuoteBucketedVegaForexBlackSmileCalculator INSTANCE = new QuoteBucketedVegaForexBlackSmileCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static QuoteBucketedVegaForexBlackSmileCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
QuoteBucketedVegaForexBlackSmileCalculator() {
}
/**
* The bucketed vega calculator.
*/
private static final BucketedVegaForexBlackSmileCalculator VEGA_CALCULATOR = BucketedVegaForexBlackSmileCalculator.getInstance();
@Override
public PresentValueForexBlackVolatilityQuoteSensitivityDataBundle visit(final InstrumentDerivative derivative) {
throw new UnsupportedOperationException("Cannot calculated bucketed vega quote matrix without market data");
}
@Override
public PresentValueForexBlackVolatilityQuoteSensitivityDataBundle visit(final InstrumentDerivative derivative, final BlackForexSmileProviderInterface data) {
return derivative.accept(VEGA_CALCULATOR, data).quoteSensitivity();
}
}