/**
* 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.derivative.ForexOptionVanilla;
import com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
import com.opengamma.util.money.CurrencyAmount;
/**
* Calculates the value vanna (second order cross-derivative with respect to the spot rate and implied volatility)
* for Forex derivatives in the Black (Garman-Kohlhagen) world.
*/
public class ValueVannaForexBlackSmileCalculator extends InstrumentDerivativeVisitorAdapter<BlackForexSmileProviderInterface, CurrencyAmount> {
/**
* The unique instance of the calculator.
*/
private static final ValueVannaForexBlackSmileCalculator INSTANCE = new ValueVannaForexBlackSmileCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ValueVannaForexBlackSmileCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
ValueVannaForexBlackSmileCalculator() {
}
/**
* The methods used by the different instruments.
*/
private static final ForexOptionVanillaBlackSmileMethod METHOD_FXOPTIONVANILLA = ForexOptionVanillaBlackSmileMethod.getInstance();
@Override
public CurrencyAmount visitForexOptionVanilla(final ForexOptionVanilla optionForex, final BlackForexSmileProviderInterface smileMulticurves) {
return METHOD_FXOPTIONVANILLA.vanna(optionForex, smileMulticurves);
}
}