/** * 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.inflationissuer; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorDelegate; import com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction; import com.opengamma.analytics.financial.interestrate.bond.provider.BillTransactionDiscountingMethod; import com.opengamma.analytics.financial.interestrate.bond.provider.BondTransactionDiscountingMethod; import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositCounterpart; import com.opengamma.analytics.financial.interestrate.cash.provider.DepositCounterpartDiscountingMethod; import com.opengamma.analytics.financial.provider.calculator.inflation.InflationIssuerProviderAdapter; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteDiscountingCalculator; import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationIssuerProviderInterface; /** * Calculates the par spread (to the market quote) of issuer-specific instruments by discounting. * This calculator requires the transaction version of instruments like bonds and bills, as the * purchase price information is necessary to calculate a meaningful par spread. */ public final class ParSpreadInflationMarketQuoteIssuerDiscountingCalculator extends InstrumentDerivativeVisitorDelegate<ParameterInflationIssuerProviderInterface, Double> { /** * The unique instance of the calculator. */ private static final ParSpreadInflationMarketQuoteIssuerDiscountingCalculator INSTANCE = new ParSpreadInflationMarketQuoteIssuerDiscountingCalculator(); /** * Gets the calculator instance. * @return The calculator. */ public static ParSpreadInflationMarketQuoteIssuerDiscountingCalculator getInstance() { return INSTANCE; } /** * Private constructor. */ private ParSpreadInflationMarketQuoteIssuerDiscountingCalculator() { super(new InflationIssuerProviderAdapter<>(ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance())); } /** Calculator for deposits */ private static final DepositCounterpartDiscountingMethod METHOD_DEPO_CTPY = DepositCounterpartDiscountingMethod.getInstance(); /** Calculator for bill transactions */ private static final BillTransactionDiscountingMethod METHOD_BILL_TR = BillTransactionDiscountingMethod.getInstance(); /** Calculator for bond transactions */ private static final BondTransactionDiscountingMethod METHOD_BOND_TR = BondTransactionDiscountingMethod.getInstance(); // ----- Deposit ----- @Override public Double visitDepositCounterpart(final DepositCounterpart deposit, final ParameterInflationIssuerProviderInterface issuercurves) { return METHOD_DEPO_CTPY.parSpread(deposit, issuercurves.getIssuerProvider()); } // ----- Bond/Bill ----- @Override public Double visitBillTransaction(final BillTransaction bill, final ParameterInflationIssuerProviderInterface issuercurves) { return METHOD_BILL_TR.parSpread(bill, issuercurves.getIssuerProvider()); } @Override public Double visitBondFixedTransaction(final BondFixedTransaction bond, final ParameterInflationIssuerProviderInterface issuercurves) { return METHOD_BOND_TR.parSpread(bond, issuercurves.getIssuerProvider()); } //TODO : add inflation bonds }