@Override
public Double visitInterestRateFutureOptionMarginTransaction(
final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(option, "option");
if (curves instanceof YieldCurveWithBlackCubeBundle) {
return MARGINNED_IR_FUTURE_OPTION.presentValue(option, curves).getAmount();
}
throw new UnsupportedOperationException(
"The PresentValueBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Double visitInterestRateFutureOptionPremiumTransaction(
final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(option, "option");
if (curves instanceof YieldCurveWithBlackCubeBundle) {
final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
final InterestRateFutureOptionMarginSecurity underlyingMarginedOption =
new InterestRateFutureOptionMarginSecurity(
underlyingOption.getUnderlyingFuture(),
underlyingOption.getExpirationTime(),
underlyingOption.getStrike(),
underlyingOption.isCall());
final InterestRateFutureOptionMarginTransaction margined =
new InterestRateFutureOptionMarginTransaction(
underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
return MARGINNED_IR_FUTURE_OPTION.presentValue(margined, curves).getAmount();
}
throw new UnsupportedOperationException(
"The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
}
