/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.normalstirfutures;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecurityNormalSmileMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.NormalSTIRFuturesProviderInterface;
/**
* Calculates the vega (first derivative of the price with respect to the volatility) for interest
* rate future options in normal model.
*/
public final class VegaNormalSTIRFutureOptionCalculator extends
InstrumentDerivativeVisitorAdapter<NormalSTIRFuturesProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final VegaNormalSTIRFutureOptionCalculator INSTANCE = new VegaNormalSTIRFutureOptionCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static VegaNormalSTIRFutureOptionCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private VegaNormalSTIRFutureOptionCalculator() {
}
/**
* Pricing methods.
*/
private static final InterestRateFutureOptionMarginSecurityNormalSmileMethod METHOD_STIR_NORMAL = InterestRateFutureOptionMarginSecurityNormalSmileMethod
.getInstance();
@Override
public Double visitInterestRateFutureOptionMarginSecurity(InterestRateFutureOptionMarginSecurity futures,
NormalSTIRFuturesProviderInterface normal) {
return METHOD_STIR_NORMAL.priceVega(futures, normal);
}
@Override
public Double visitInterestRateFutureOptionMarginTransaction(InterestRateFutureOptionMarginTransaction futures,
NormalSTIRFuturesProviderInterface normal) {
return METHOD_STIR_NORMAL.priceVega(futures.getUnderlyingSecurity(), normal);
}
}