/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.provider.calculator.singlevalue; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter; import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction; import com.opengamma.analytics.financial.interestrate.sensitivity.PresentValueBlackSTIRFuturesCubeSensitivity; /** * Computes the par rate for different instrument. The meaning of "par rate" is instrument dependent. */ public final class FuturesPVBlackSTIRFuturesSensitivityFromPriceBlackSensitivityCalculator extends InstrumentDerivativeVisitorAdapter<PresentValueBlackSTIRFuturesCubeSensitivity, PresentValueBlackSTIRFuturesCubeSensitivity> { /** * The unique instance of the calculator. */ private static final FuturesPVBlackSTIRFuturesSensitivityFromPriceBlackSensitivityCalculator INSTANCE = new FuturesPVBlackSTIRFuturesSensitivityFromPriceBlackSensitivityCalculator(); /** * Gets the calculator instance. * @return The calculator. */ public static FuturesPVBlackSTIRFuturesSensitivityFromPriceBlackSensitivityCalculator getInstance() { return INSTANCE; } /** * Constructor. */ private FuturesPVBlackSTIRFuturesSensitivityFromPriceBlackSensitivityCalculator() { } // ----- Futures options ----- @Override public PresentValueBlackSTIRFuturesCubeSensitivity visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction futures, final PresentValueBlackSTIRFuturesCubeSensitivity priceSensitivity) { return priceSensitivity.multipliedBy(futures.getUnderlyingSecurity().getUnderlyingFuture().getNotional() * futures.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor() * futures.getQuantity()); } }