@Override
public MultipleCurrencyCurveSensitivityMarket visitCouponOIS(
final CouponOIS payment, final IMarketBundle market) {
return METHOD_CPN_ON.presentValueMarketSensitivity(payment, market);
}
/**
* Calculator of the present value curve sensitivity as multiple currency interest rate curve
* sensitivity.
*/
public final class PresentValueCurveSensitivityMarketCalculator
extends AbstractInstrumentDerivativeVisitor<
IMarketBundle, MultipleCurrencyCurveSensitivityMarket> {
/** The unique instance of the calculator. */
private static final PresentValueCurveSensitivityMarketCalculator INSTANCE =
new PresentValueCurveSensitivityMarketCalculator();
/**
* Gets the calculator instance.
*
* @return The calculator.
*/
public static PresentValueCurveSensitivityMarketCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
private PresentValueCurveSensitivityMarketCalculator() {}
/** The methods used by the different instruments. */
private static final CouponFixedDiscountingMarketMethod METHOD_CPN_FIXED =
CouponFixedDiscountingMarketMethod.getInstance();
private static final CouponIborDiscountingMarketMethod METHOD_CPN_IBOR =
CouponIborDiscountingMarketMethod.getInstance();
private static final CouponOISDiscountingMarketMethod METHOD_CPN_ON =
CouponOISDiscountingMarketMethod.getInstance();
// ----- Payment/Coupon ------
@Override
public MultipleCurrencyCurveSensitivityMarket visitCouponFixed(
final CouponFixed payment, final IMarketBundle market) {
return METHOD_CPN_FIXED.presentValueMarketSensitivity(payment, market);
}
@Override
public MultipleCurrencyCurveSensitivityMarket visitCouponIbor(
final CouponIbor payment, final IMarketBundle market) {
return METHOD_CPN_IBOR.presentValueMarketSensitivity(payment, market);
}
@Override
public MultipleCurrencyCurveSensitivityMarket visitCouponOIS(
final CouponOIS payment, final IMarketBundle market) {
return METHOD_CPN_ON.presentValueMarketSensitivity(payment, market);
}
// ----- Annuity ------
@Override
public MultipleCurrencyCurveSensitivityMarket visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final IMarketBundle market) {
ArgumentChecker.notNull(annuity, "Annuity");
ArgumentChecker.notNull(market, "Market");
MultipleCurrencyCurveSensitivityMarket cs = visit(annuity.getNthPayment(0), market);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(visit(annuity.getNthPayment(loopp), market));
}
return cs;
}
@Override
public MultipleCurrencyCurveSensitivityMarket visitFixedCouponAnnuity(
final AnnuityCouponFixed annuity, final IMarketBundle market) {
return visitGenericAnnuity(annuity, market);
}
// ----- Swap ------
@Override
public MultipleCurrencyCurveSensitivityMarket visitSwap(
final Swap<?, ?> swap, final IMarketBundle market) {
final MultipleCurrencyCurveSensitivityMarket sensitivity1 = visit(swap.getFirstLeg(), market);
final MultipleCurrencyCurveSensitivityMarket sensitivity2 = visit(swap.getSecondLeg(), market);
return sensitivity1.plus(sensitivity2);
}
@Override
public MultipleCurrencyCurveSensitivityMarket visitFixedCouponSwap(
final SwapFixedCoupon<?> swap, final IMarketBundle market) {
return visitSwap(swap, market);
}
}