/**
* 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.inflation;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorDelegate;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponInterpolation;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponMonthly;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponMonthlyBlackSmileMethod;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.priceindexmarketmodel.BlackSmileCapInflationZeroCouponProviderAdapter;
import com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationZeroCouponProviderInterface;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculator of the present value as a multiple currency amount for inflation zero coupon cap floor without convexity adjustment.
*/
public final class PresentValueBlackSmileInflationZeroCouponCalculator extends InstrumentDerivativeVisitorDelegate<BlackSmileCapInflationZeroCouponProviderInterface, MultipleCurrencyAmount> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueBlackSmileInflationZeroCouponCalculator INSTANCE = new PresentValueBlackSmileInflationZeroCouponCalculator();
/**
* Constructor.
*/
private PresentValueBlackSmileInflationZeroCouponCalculator() {
super(new BlackSmileCapInflationZeroCouponProviderAdapter<>(PresentValueDiscountingCalculator.getInstance()));
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueBlackSmileInflationZeroCouponCalculator getInstance() {
return INSTANCE;
}
/**
* Pricing methods.
*/
private static final CapFloorInflationZeroCouponInterpolationBlackSmileMethod METHOD_CAPFLOOR_INTERPOLATION = CapFloorInflationZeroCouponInterpolationBlackSmileMethod.getInstance();
private static final CapFloorInflationZeroCouponMonthlyBlackSmileMethod METHOD_CAPFLOOR_YEAR_ON_YEAR_MONTHLY = CapFloorInflationZeroCouponMonthlyBlackSmileMethod.getInstance();
//----- Cap/Floor Zero Coupon -----
@Override
public MultipleCurrencyAmount visitCapFloorInflationZeroCouponInterpolation(final CapFloorInflationZeroCouponInterpolation cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
return METHOD_CAPFLOOR_INTERPOLATION.presentValue(cap, black);
}
@Override
public MultipleCurrencyAmount visitCapFloorInflationZeroCouponMonthly(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
return METHOD_CAPFLOOR_YEAR_ON_YEAR_MONTHLY.presentValue(cap, black);
}
}