/**
* Calculates the present value of an inflation instruments by discounting for a given MarketBundle
*/
public final class PresentValueSABRSensitivitySABRSwaptionCalculator
extends InstrumentDerivativeVisitorSameMethodAdapter<
SABRSwaptionProviderInterface, PresentValueSABRSensitivityDataBundle> {
/** The unique instance of the calculator. */
private static final PresentValueSABRSensitivitySABRSwaptionCalculator INSTANCE =
new PresentValueSABRSensitivitySABRSwaptionCalculator();
/**
* Gets the calculator instance.
*
* @return The calculator.
*/
public static PresentValueSABRSensitivitySABRSwaptionCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
private PresentValueSABRSensitivitySABRSwaptionCalculator() {}
/** Pricing methods. */
private static final CouponCMSSABRReplicationMethod METHOD_CMS_CPN =
CouponCMSSABRReplicationMethod.getInstance();
private static final CapFloorCMSSABRReplicationMethod METHOD_CMS_CAP =
CapFloorCMSSABRReplicationMethod.getDefaultInstance();
private static final SwaptionPhysicalFixedIborSABRMethod METHOD_SWT_PHYS =
SwaptionPhysicalFixedIborSABRMethod.getInstance();
private static final SwaptionCashFixedIborSABRMethod METHOD_SWT_CASH =
SwaptionCashFixedIborSABRMethod.getInstance();
@Override
public PresentValueSABRSensitivityDataBundle visit(
final InstrumentDerivative derivative, final SABRSwaptionProviderInterface sabr) {
return derivative.accept(this, sabr);
}
// ----- Payment/Coupon ------
@Override
public PresentValueSABRSensitivityDataBundle visitCouponCMS(
final CouponCMS payment, final SABRSwaptionProviderInterface sabr) {
return METHOD_CMS_CPN.presentValueSABRSensitivity(payment, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(
final CapFloorCMS payment, final SABRSwaptionProviderInterface sabr) {
return METHOD_CMS_CAP.presentValueSABRSensitivity(payment, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visitCapFloorCMSSpread(
final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
// TODO: improve correlation data handling
final SABRInterestRateCorrelationParameters sabrCorrelation =
(SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
final CapFloorCMSSpreadSABRBinormalMethod method =
new CapFloorCMSSpreadSABRBinormalMethod(
sabrCorrelation.getCorrelation(), METHOD_CMS_CAP, METHOD_CMS_CPN);
return method.presentValueSABRSensitivity(payment, sabr);
}
throw new UnsupportedOperationException(
"The PresentValueSABRSensitivitySABRSwaptionCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
}
// ----- Annuity ------
@Override
public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
ArgumentChecker.notNull(annuity, "Annuity");
PresentValueSABRSensitivityDataBundle cs = visit(annuity.getNthPayment(0), sabr);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(visit(annuity.getNthPayment(loopp), sabr));
}
return cs;
}
// ----- Swaption ------
@Override
public PresentValueSABRSensitivityDataBundle visitSwaptionPhysicalFixedIbor(
final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabr) {
return METHOD_SWT_PHYS.presentValueSABRSensitivity(swaption, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visitSwaptionCashFixedIbor(
final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabr) {
return METHOD_SWT_CASH.presentValueSABRSensitivity(swaption, sabr);
}
@Override
public PresentValueSABRSensitivityDataBundle visit(final InstrumentDerivative derivative) {
throw new UnsupportedOperationException();
}
}
@Override
public PresentValueSABRSensitivityDataBundle visitSwaptionPhysicalFixedIbor(
final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabr) {
return METHOD_SWT_PHYS.presentValueSABRSensitivity(swaption, sabr);
}
