/**
* 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.blackstirfutures;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionBlackSmileMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesProviderInterface;
/**
* Calculates the position delta (first derivative of the price with respect to the underlying future price) for interest rate
* future options.
*/
public final class PositionDeltaSTIRFutureOptionCalculator extends InstrumentDerivativeVisitorAdapter<BlackSTIRFuturesProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final PositionDeltaSTIRFutureOptionCalculator INSTANCE = new PositionDeltaSTIRFutureOptionCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PositionDeltaSTIRFutureOptionCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PositionDeltaSTIRFutureOptionCalculator() {
}
/**
* Pricing methods.
*/
private static final InterestRateFutureOptionMarginTransactionBlackSmileMethod METHOD_STIR = InterestRateFutureOptionMarginTransactionBlackSmileMethod.getInstance();
@Override
public Double visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction futures, final BlackSTIRFuturesProviderInterface black) {
return METHOD_STIR.presentValueDelta(futures, black);
}
}