@Override
public Double visitSwaptionCashFixedIbor(
final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack =
(YieldCurveWithBlackSwaptionBundle) curves;
return CASH_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
}
throw new UnsupportedOperationException(
"The PresentValueBlackCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
/**
* Present value calculator for interest rate instruments using Black model with implied
* volatilities.
*/
public final class PresentValueBlackCalculator extends PresentValueCalculator {
/** The method unique instance. */
private static final PresentValueBlackCalculator INSTANCE = new PresentValueBlackCalculator();
/**
* Return the unique instance of the class.
*
* @return The instance.
*/
public static PresentValueBlackCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
PresentValueBlackCalculator() {}
/** The methods used in the calculator. */
private static final SwaptionPhysicalFixedIborBlackMethod PHYSICAL_SWAPTION =
SwaptionPhysicalFixedIborBlackMethod.getInstance();
private static final SwaptionCashFixedIborBlackMethod CASH_SWAPTION =
SwaptionCashFixedIborBlackMethod.getInstance();
private static final InterestRateFutureOptionMarginTransactionBlackSurfaceMethod
MARGINNED_IR_FUTURE_OPTION =
InterestRateFutureOptionMarginTransactionBlackSurfaceMethod.getInstance();
private static final BondFutureOptionPremiumTransactionBlackSurfaceMethod
PREMIUM_BOND_FUTURE_OPTION =
BondFutureOptionPremiumTransactionBlackSurfaceMethod.getInstance();
@Override
public Double visitSwaptionCashFixedIbor(
final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack =
(YieldCurveWithBlackSwaptionBundle) curves;
return CASH_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
}
throw new UnsupportedOperationException(
"The PresentValueBlackCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Double visitSwaptionPhysicalFixedIbor(
final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(swaption, "swaption");
ArgumentChecker.notNull(curves, "curves");
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack =
(YieldCurveWithBlackSwaptionBundle) curves;
return PHYSICAL_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
}
throw new UnsupportedOperationException(
"The PresentValueBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@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.");
}
@Override
public Double visitBondFutureOptionPremiumTransaction(
final BondFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(option, "option");
return PREMIUM_BOND_FUTURE_OPTION.presentValue(option, curves).getAmount();
// if (curves instanceof YieldCurveWithBlackCubeBundle) {
// return PREMIUM_BOND_FUTURE_OPTION.presentValue(option, curves).getAmount();
// } else if (curves instanceof YieldCurveWithBlackCubeAndForwardBundle) {
// return PREMIUM_BOND_FUTURE_OPTION.presentValueFromPrice(option, curves,
// ((YieldCurveWithBlackCubeAndForwardBundle) curves).getForward()).getAmount();
// }
// throw new UnsupportedOperationException(
// "The PresentValueBlackCalculator visitor visitBondFutureOptionPremiumTransaction
// requires a YieldCurveWithBlackCubeBundle as data.");
}
}