/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.interestrate;
import java.util.List;
import java.util.Set;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Implementation of a provider of normal volatility (Bachelier model) smile for options on STIR futures.
* The volatility is time to expiration/strike dependent.
*/
public class NormalSTIRFuturesExpStrikeProvider implements NormalSTIRFuturesProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderInterface _multicurveProvider;
/**
* The normal volatility surface. Not null.
*/
private final Surface<Double, Double, Double> _parameters;
/**
* The underlying swaps generators.
*/
private final IborIndex _index;
/**
* @param multicurveProvider The multicurve provider.
* @param parameters The normal volatility parameters.
* @param index The cap/floor index.
*/
public NormalSTIRFuturesExpStrikeProvider(final MulticurveProviderInterface multicurveProvider,
final Surface<Double, Double, Double> parameters, final IborIndex index) {
ArgumentChecker.notNull(multicurveProvider, "multicurveProvider");
ArgumentChecker.notNull(parameters, "parameters");
ArgumentChecker.notNull(index, "index");
_multicurveProvider = multicurveProvider;
_parameters = parameters;
_index = index;
}
@Override
public NormalSTIRFuturesExpStrikeProvider copy() {
final MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
return new NormalSTIRFuturesExpStrikeProvider(multicurveProvider, _parameters, _index);
}
@Override
public double getVolatility(final double expiry, final double delay, final double strike, final double priceFutures) {
// delay is not used.
return _parameters.getZValue(expiry, strike);
}
@Override
public IborIndex getFuturesIndex() {
return _index;
}
@Override
public MulticurveProviderInterface getMulticurveProvider() {
return _multicurveProvider;
}
/**
* Returns the Normal parameters.
* @return The parameters.
*/
public Surface<Double, Double, Double> getNormalParameters() {
return _parameters;
}
@Override
public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
return _multicurveProvider.parameterSensitivity(name, pointSensitivity);
}
@Override
public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
return _multicurveProvider.parameterForwardSensitivity(name, pointSensitivity);
}
@Override
public Set<String> getAllCurveNames() {
return _multicurveProvider.getAllCurveNames();
}
@Override
public NormalSTIRFuturesProviderInterface withMulticurve(MulticurveProviderInterface multicurveProvider) {
return new NormalSTIRFuturesExpStrikeProvider(multicurveProvider, _parameters, _index);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _index.hashCode();
result = prime * result + _multicurveProvider.hashCode();
result = prime * result + _parameters.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof NormalSTIRFuturesExpStrikeProvider)) {
return false;
}
final NormalSTIRFuturesExpStrikeProvider other = (NormalSTIRFuturesExpStrikeProvider) obj;
if (!ObjectUtils.equals(_index, other._index)) {
return false;
}
if (!ObjectUtils.equals(_multicurveProvider, other._multicurveProvider)) {
return false;
}
if (!ObjectUtils.equals(_parameters, other._parameters)) {
return false;
}
return true;
}
}