/**
* Present value curve sensitivity calculator for interest rate instruments using SABR volatility
* formula.
*/
public final class PresentValueCurveSensitivityBlackSwaptionCalculator
extends PresentValueCurveSensitivityCalculator {
/** The instance of the calculator. */
private static final PresentValueCurveSensitivityBlackSwaptionCalculator s_instance =
new PresentValueCurveSensitivityBlackSwaptionCalculator();
/**
* Return the instance of the calculator.
*
* @return The calculator.
*/
public static PresentValueCurveSensitivityBlackSwaptionCalculator getInstance() {
return s_instance;
}
/** Private constructor. */
private PresentValueCurveSensitivityBlackSwaptionCalculator() {}
/** Methods. */
private static final SwaptionPhysicalFixedIborBlackMethod METHOD_SWAPTION_PHYSICAL =
SwaptionPhysicalFixedIborBlackMethod.getInstance();
private static final SwaptionCashFixedIborBlackMethod METHOD_SWAPTION_CASH =
SwaptionCashFixedIborBlackMethod.getInstance();
@Override
public Map<String, List<DoublesPair>> visitSwaptionCashFixedIbor(
final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
Validate.notNull(swaption);
Validate.notNull(curves);
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack =
(YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_CASH
.presentValueCurveSensitivity(swaption, curvesBlack)
.getSensitivities();
}
throw new UnsupportedOperationException(
"The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
@Override
public Map<String, List<DoublesPair>> visitSwaptionPhysicalFixedIbor(
final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
Validate.notNull(swaption);
Validate.notNull(curves);
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack =
(YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_PHYSICAL
.presentValueCurveSensitivity(swaption, curvesBlack)
.getSensitivities();
}
throw new UnsupportedOperationException(
"The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}
}
@Override
public Map<String, List<DoublesPair>> visitSwaptionCashFixedIbor(
final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
Validate.notNull(swaption);
Validate.notNull(curves);
if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
final YieldCurveWithBlackSwaptionBundle curvesBlack =
(YieldCurveWithBlackSwaptionBundle) curves;
return METHOD_SWAPTION_CASH
.presentValueCurveSensitivity(swaption, curvesBlack)
.getSensitivities();
}
throw new UnsupportedOperationException(
"The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
}