com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFXFuturePresentValueCalculator.java Source code

Introduction

Here is the source code for com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFXFuturePresentValueCalculator.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.simpleinstruments.pricing;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleFXFuture;
import com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleFuture;
import com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleInstrument;
import com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleInstrumentVisitor;
import com.opengamma.util.money.CurrencyAmount;

/**
 * 
 */
public class SimpleFXFuturePresentValueCalculator
        implements SimpleInstrumentVisitor<SimpleFXFutureDataBundle, CurrencyAmount> {

    @Override
    public CurrencyAmount visit(final SimpleInstrument derivative, final SimpleFXFutureDataBundle data) {
        Validate.notNull(derivative, "derivative");
        Validate.notNull(data, "data");
        return derivative.accept(this, data);
    }

    @Override
    public CurrencyAmount visitSimpleFuture(final SimpleFuture future, final SimpleFXFutureDataBundle data) {
        throw new UnsupportedOperationException("Cannot price simple FX future with this calculator");
    }

    @Override
    public CurrencyAmount visitSimpleFXFuture(final SimpleFXFuture future, final SimpleFXFutureDataBundle data) {
        final double t = future.getExpiry();
        final double payRate = data.getPayCurve().getInterestRate(t);
        final double receiveRate = data.getReceiveCurve().getInterestRate(t);
        return CurrencyAmount.of(future.getReceiveCurrency(),
                future.getUnitAmount() * data.getSpot() * Math.exp(t * (receiveRate - payRate)));
    }

    @Override
    public CurrencyAmount visit(final SimpleInstrument derivative) {
        throw new UnsupportedOperationException("Cannot price simple future without data");
    }

    @Override
    public CurrencyAmount visitSimpleFuture(final SimpleFuture future) {
        throw new UnsupportedOperationException("Cannot price simple future without data");
    }

    @Override
    public CurrencyAmount visitSimpleFXFuture(final SimpleFXFuture future) {
        throw new UnsupportedOperationException("Cannot price simple future without data");
    }
}