/**
* 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.hullwhite;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityHullWhiteMethod;
import com.opengamma.analytics.financial.interestrate.future.provider.SwapFuturesPriceDeliverableSecurityHullWhiteMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
/**
* Calculate the convexity adjustment of instruments in the Hull-White one factor model.
*/
public class ConvexityAdjustmentHullWhiteCalculator extends InstrumentDerivativeVisitorAdapter<HullWhiteOneFactorProviderInterface, Double> {
/**
* An instance of the calculator.
*/
private static final ConvexityAdjustmentHullWhiteCalculator INSTANCE = new ConvexityAdjustmentHullWhiteCalculator();
/**
* Constructor.
*/
protected ConvexityAdjustmentHullWhiteCalculator() {
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ConvexityAdjustmentHullWhiteCalculator getInstance() {
return INSTANCE;
}
/**
* Pricing methods.
*/
private static final SwapFuturesPriceDeliverableSecurityHullWhiteMethod METHOD_SWAPFUT = SwapFuturesPriceDeliverableSecurityHullWhiteMethod.getInstance();
private static final InterestRateFutureSecurityHullWhiteMethod METHOD_STIRFUT = InterestRateFutureSecurityHullWhiteMethod.getInstance();
// ----- Futures -----
@Override
public Double visitInterestRateFutureSecurity(final InterestRateFutureSecurity futures, final HullWhiteOneFactorProviderInterface hullWhite) {
return METHOD_STIRFUT.convexityAdjustment(futures, hullWhite);
}
@Override
public Double visitSwapFuturesPriceDeliverableSecurity(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hullWhite) {
return METHOD_SWAPFUT.convexityAdjustment(futures, hullWhite);
}
}