com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableForwardDefinition.java Source code

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

import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;

import com.opengamma.analytics.financial.forex.derivative.ForexNonDeliverableForward;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Class describing a foreign exchange non-deliverable forward transaction.
 * The transaction is XXX/YYY where YYY is the currency for the cash-settlement. A NDF KRW/USD with USD cash settlement is stored with KRW as currency1 and USD as currency2.
 */
// TODO: Review: Should the transaction be stored as KRW/USD or USD/KRW?
// REVIEW: should we have a "fixing process" like we have for CouponIbor?
public class ForexNonDeliverableForwardDefinition implements InstrumentDefinition<InstrumentDerivative> {

    /**
     * First currency of the transaction.
     */
    private final Currency _currency1;
    /**
     * Second currency of the transaction. The cash settlement is done in this currency.
     */
    private final Currency _currency2;
    /**
     * Notional of the transaction (in currency2).
     */
    private final double _notional;
    /**
     * The reference exchange rate for the settlement (1 currency2 = _rate * currency1).
     */
    private final double _exchangeRate;
    /**
     * The exchange rate fixing date.
     */
    private final ZonedDateTime _fixingDate;
    /**
     * The transaction payment or settlement date.
     */
    private final ZonedDateTime _paymentDate;

    /**
     * Constructor.
     * @param currency1 First currency of the transaction.
     * @param currency2 Second currency of the transaction. The cash settlement is done in this currency.
     * @param notional Notional of the transaction (in currency2).
     * @param exchangeRate The reference exchange rate for the settlement (1 currency2 = _rate * currency1).
     * @param fixingDate The exchange rate fixing date.
     * @param paymentDate The transaction payment or settlement date.
     */
    public ForexNonDeliverableForwardDefinition(final Currency currency1, final Currency currency2,
            final double notional, final double exchangeRate, final ZonedDateTime fixingDate,
            final ZonedDateTime paymentDate) {
        ArgumentChecker.notNull(currency1, "First currency");
        ArgumentChecker.notNull(currency2, "Second currency");
        ArgumentChecker.notNull(fixingDate, "Fixing date");
        ArgumentChecker.notNull(paymentDate, "Payment date");
        ArgumentChecker.isTrue(!paymentDate.isBefore(fixingDate), "Payment date should be on or after fixing date");
        _currency1 = currency1;
        _currency2 = currency2;
        _notional = notional;
        _exchangeRate = exchangeRate;
        _fixingDate = fixingDate;
        _paymentDate = paymentDate;
    }

    /**
     * Gets the first currency of the transaction.
     * @return The currency.
     */
    public Currency getCurrency1() {
        return _currency1;
    }

    /**
     * Gets the second currency of the transaction. The cash settlement is done in this currency.
     * @return The currency.
     */
    public Currency getCurrency2() {
        return _currency2;
    }

    /**
     * Gets the notional of the transaction (in currency2).
     * @return The notional.
     */
    public double getNotional() {
        return _notional;
    }

    /**
     * Gets the reference exchange rate for the settlement.
     * @return The rate.
     */
    public double getExchangeRate() {
        return _exchangeRate;
    }

    /**
     * Gets The exchange rate fixing date.
     * @return The date.
     */
    public ZonedDateTime getFixingDate() {
        return _fixingDate;
    }

    /**
     * Gets The transaction payment (or settlement) date.
     * @return The date.
     */
    public ZonedDateTime getPaymentDate() {
        return _paymentDate;
    }

    /**
     * {@inheritDoc}
     * @deprecated Use the method that does not take yield curve names
     */
    @Deprecated
    @Override
    public ForexNonDeliverableForward toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
        ArgumentChecker.isTrue(!date.isAfter(_fixingDate), "Date is after fixing date");
        ArgumentChecker.isTrue(yieldCurveNames.length > 1, "At least two curves required");
        return new ForexNonDeliverableForward(_currency1, _currency2, _notional, _exchangeRate,
                TimeCalculator.getTimeBetween(date, _fixingDate), TimeCalculator.getTimeBetween(date, _paymentDate),
                yieldCurveNames[0], yieldCurveNames[1]);
    }

    @Override
    public ForexNonDeliverableForward toDerivative(final ZonedDateTime date) {
        ArgumentChecker.isTrue(!date.isAfter(_fixingDate), "Date is after fixing date");
        return new ForexNonDeliverableForward(_currency1, _currency2, _notional, _exchangeRate,
                TimeCalculator.getTimeBetween(date, _fixingDate),
                TimeCalculator.getTimeBetween(date, _paymentDate));
    }

    @Override
    public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitForexNonDeliverableForwardDefinition(this, data);
    }

    @Override
    public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitForexNonDeliverableForwardDefinition(this);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + _currency1.hashCode();
        result = prime * result + _currency2.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_exchangeRate);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _fixingDate.hashCode();
        temp = Double.doubleToLongBits(_notional);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _paymentDate.hashCode();
        return result;
    }

    @Override
    public boolean equals(final Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        final ForexNonDeliverableForwardDefinition other = (ForexNonDeliverableForwardDefinition) obj;
        if (!ObjectUtils.equals(_currency1, other._currency1)) {
            return false;
        }
        if (!ObjectUtils.equals(_currency2, other._currency2)) {
            return false;
        }
        if (Double.doubleToLongBits(_exchangeRate) != Double.doubleToLongBits(other._exchangeRate)) {
            return false;
        }
        if (!ObjectUtils.equals(_fixingDate, other._fixingDate)) {
            return false;
        }
        if (!ObjectUtils.equals(_paymentDate, other._paymentDate)) {
            return false;
        }
        if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
            return false;
        }
        return true;
    }

}