/**
* 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.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearInterpolation;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearMonthly;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationYearOnYearInterpolationBlackNormalSmileMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethod;
import com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
/**
* Calculator of the present value curve sensitivity as a multiple currency amount for inflation year on year cap floor without convexity adjustment.
*/
public final class PresentValueCurveSensitivityBlackSmileInflationYearOnYearCalculator extends
InstrumentDerivativeVisitorAdapter<BlackSmileCapInflationYearOnYearProviderInterface, MultipleCurrencyInflationSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueCurveSensitivityBlackSmileInflationYearOnYearCalculator INSTANCE = new PresentValueCurveSensitivityBlackSmileInflationYearOnYearCalculator();
/**
* Constructor.
*/
private PresentValueCurveSensitivityBlackSmileInflationYearOnYearCalculator() {
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueCurveSensitivityBlackSmileInflationYearOnYearCalculator getInstance() {
return INSTANCE;
}
/**
* Pricing methods.
*/
private static final CapFloorInflationYearOnYearInterpolationBlackNormalSmileMethod METHOD_CAPFLOOR_INTERPOLATION = CapFloorInflationYearOnYearInterpolationBlackNormalSmileMethod.getInstance();
private static final CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethod METHOD_CAPFLOOR_YEAR_ON_YEAR_MONTHLY = CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethod.getInstance();
//----- Caplet/Floorlet year on year -----
@Override
public MultipleCurrencyInflationSensitivity visitCapFloorInflationYearOnYearInterpolation(final CapFloorInflationYearOnYearInterpolation cap,
final BlackSmileCapInflationYearOnYearProviderInterface black) {
return METHOD_CAPFLOOR_INTERPOLATION.presentValueCurveSensitivity(cap, black);
}
@Override
public MultipleCurrencyInflationSensitivity visitCapFloorInflationYearOnYearMonthly(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
return METHOD_CAPFLOOR_YEAR_ON_YEAR_MONTHLY.presentValueCurveSensitivity(cap, black);
}
//----- Cap/Floor year on year -----
// TODO : implementation of cap/floor
}