com.opengamma.analytics.financial.forex.calculator.PV01ForexCalculator.java Source code

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Here is the source code for com.opengamma.analytics.financial.forex.calculator.PV01ForexCalculator.java

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.forex.calculator;

import java.util.List;
import java.util.Map;

import com.google.common.collect.Maps;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionSingleBarrier;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;

/**
 * Returns the change in present value of an instrument due to a parallel move of the yield curve, scaled so that the move is 1bp.
 * This calculator is Forex instrument-specific, and assumes that the list of sensitivities are in the currency appropriate for
 * the yield curve.
 * @deprecated Curve builders that use and populate {@link YieldCurveBundle}s are deprecated.
 */
@Deprecated
public final class PV01ForexCalculator
        extends InstrumentDerivativeVisitorAdapter<Map<String, List<DoublesPair>>, Map<String, Double>> {
    private static final PV01ForexCalculator INSTANCE = new PV01ForexCalculator();
    private static final double ONE_BASIS_POINT = 1.0E-4;

    public static PV01ForexCalculator getInstance() {
        return INSTANCE;
    }

    private PV01ForexCalculator() {
    }

    @Override
    public Map<String, Double> visitForex(final Forex forex,
            final Map<String, List<DoublesPair>> curveSensitivities) {
        return visit(curveSensitivities);
    }

    @Override
    public Map<String, Double> visitForexOptionDigital(final ForexOptionDigital option,
            final Map<String, List<DoublesPair>> curveSensitivities) {
        return visit(curveSensitivities);
    }

    @Override
    public Map<String, Double> visitForexOptionVanilla(final ForexOptionVanilla option,
            final Map<String, List<DoublesPair>> curveSensitivities) {
        return visit(curveSensitivities);
    }

    @Override
    public Map<String, Double> visitForexOptionSingleBarrier(final ForexOptionSingleBarrier option,
            final Map<String, List<DoublesPair>> curveSensitivities) {
        return visit(curveSensitivities);
    }

    private Map<String, Double> visit(final Map<String, List<DoublesPair>> curveSensitivities) {
        ArgumentChecker.notNull(curveSensitivities, "curve sensitivities");
        final Map<String, Double> result = Maps.newHashMapWithExpectedSize(curveSensitivities.size());
        for (final Map.Entry<String, List<DoublesPair>> entry : curveSensitivities.entrySet()) {
            final String name = entry.getKey();
            final double sum = sumListPair(entry.getValue()) * ONE_BASIS_POINT;
            result.put(name, sum);
        }
        return result;
    }

    private double sumListPair(final List<DoublesPair> list) {
        double sum = 0.0;
        for (final DoublesPair pair : list) {
            sum += pair.getSecond();
        }
        return sum;
    }
}