@Override
public Double visitMetalFutureOption(
final MetalFutureOption derivative, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(derivative, "derivative");
ArgumentChecker.notNull(data, "data");
return PRICER.forwardGamma(derivative, data);
}
@Override
public Double visitEnergyFutureOption(
final EnergyFutureOption derivative, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(derivative, "derivative");
ArgumentChecker.notNull(data, "data");
return PRICER.presentValue(derivative, data);
}
/** Calculates the forward gamma of commodity future options using the Black method. */
public final class CommodityFutureOptionBlackForwardGammaCalculator
extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, Double> {
/** A static instance of this calculator */
private static final CommodityFutureOptionBlackForwardGammaCalculator s_instance =
new CommodityFutureOptionBlackForwardGammaCalculator();
/** The Black pricer */
private static final CommodityFutureOptionBlackMethod PRICER =
CommodityFutureOptionBlackMethod.getInstance();
/** @return The static instance of this calculator */
public static CommodityFutureOptionBlackForwardGammaCalculator getInstance() {
return s_instance;
}
private CommodityFutureOptionBlackForwardGammaCalculator() {}
@Override
public Double visitAgricultureFutureOption(
final AgricultureFutureOption derivative, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(derivative, "derivative");
ArgumentChecker.notNull(data, "data");
return PRICER.forwardGamma(derivative, data);
}
@Override
public Double visitEnergyFutureOption(
final EnergyFutureOption derivative, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(derivative, "derivative");
ArgumentChecker.notNull(data, "data");
return PRICER.forwardGamma(derivative, data);
}
@Override
public Double visitMetalFutureOption(
final MetalFutureOption derivative, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(derivative, "derivative");
ArgumentChecker.notNull(data, "data");
return PRICER.forwardGamma(derivative, data);
}
}
