Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.instrument.bond; import org.apache.commons.lang.ObjectUtils; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor; import com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.daycount.DayCount; import com.opengamma.financial.convention.yield.YieldConvention; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Describes a (Treasury) Bill security. A bills pays a fixed amount (notional) at a given date. There are no coupon or interest payments. */ public class BillSecurityDefinition implements InstrumentDefinition<BillSecurity> { /** * The bill currency. */ private final Currency _currency; /** * The bill end or maturity date. */ private final ZonedDateTime _endDate; /** * The bill nominal. */ private final double _notional; /** * The standard number of days between trade date and trade settlement. Used for price and yield computation. */ private final int _settlementDays; /** * The calendar used to compute the standard settlement date. */ private final Calendar _calendar; /** * The yield (to maturity) computation convention. */ private final YieldConvention _yieldConvention; /** * The yield day count convention. */ private final DayCount _dayCount; /** * The bill issuer name. */ private final String _issuer; /** * Constructor from all details. * @param currency The bill currency. * @param endDate The bill end or maturity date. * @param notional The bill nominal. * @param settlementDays The standard number of days between trade date and trade settlement. * @param calendar The calendar used to compute the standard settlement date. * @param yieldConvention The yield (to maturity) computation convention. * @param dayCount The yield day count convention. * @param issuer The bill issuer name. */ public BillSecurityDefinition(final Currency currency, final ZonedDateTime endDate, final double notional, final int settlementDays, final Calendar calendar, final YieldConvention yieldConvention, final DayCount dayCount, final String issuer) { ArgumentChecker.notNull(currency, "Currency"); ArgumentChecker.notNull(endDate, "End date"); ArgumentChecker.notNull(calendar, "Calendar"); ArgumentChecker.notNull(yieldConvention, "Yield convention"); ArgumentChecker.notNull(dayCount, "Day count"); ArgumentChecker.notNull(issuer, "Issuer"); ArgumentChecker.isTrue(notional > 0.0, "Notional should be positive"); _currency = currency; _endDate = endDate; _notional = notional; _settlementDays = settlementDays; _calendar = calendar; _issuer = issuer; _yieldConvention = yieldConvention; _dayCount = dayCount; } /** * Get the bill currency. * @return The currency. */ public Currency getCurrency() { return _currency; } /** * Gets the bill end or maturity date. * @return The date. */ public ZonedDateTime getEndDate() { return _endDate; } /** * Gets the bill notional. * @return The notional. */ public double getNotional() { return _notional; } /** * Gets the standard number of days between trade date and trade settlement. Used for price and yield computation. * @return The number of days between trade date and trade settlement. */ public int getSettlementDays() { return _settlementDays; } /** * Gets the calendar used to compute the standard settlement date. * @return The calendar. */ public Calendar getCalendar() { return _calendar; } /** * Gets the yield (to maturity) computation convention. * @return The convention. */ public YieldConvention getYieldConvention() { return _yieldConvention; } /** * Gets the yield day count convention. * @return The convention. */ public DayCount getDayCount() { return _dayCount; } /** * Gets the bill issuer name. * @return The name. */ public String getIssuer() { return _issuer; } @Override public String toString() { return "Bill " + _issuer + " " + _currency + ": maturity " + _endDate.toString() + " - notional " + _notional; } /** * Convert the "Definition" version to the "Derivative" version. * @param date The reference date. * @param settlementDate The bill settlement date. * @param yieldCurveNames The yield curves names. [0] discounting curve, [1] credit curve. * @return The bill security. * @deprecated Use the version without yield curve names */ @Deprecated public BillSecurity toDerivative(final ZonedDateTime date, final ZonedDateTime settlementDate, final String... yieldCurveNames) { ArgumentChecker.notNull(date, "Reference date"); ArgumentChecker.notNull(settlementDate, "Settlement date"); ArgumentChecker.notNull(yieldCurveNames, "Yield curve names"); ArgumentChecker.isTrue(!date.isAfter(_endDate), "Reference date {} is after end date {}", date, _endDate); double settlementTime = TimeCalculator.getTimeBetween(date, settlementDate); settlementTime = Math.max(settlementTime, 0.0); final double endTime = TimeCalculator.getTimeBetween(date, _endDate); final double accrualFactor = _dayCount.getDayCountFraction(settlementDate, _endDate, _calendar); return new BillSecurity(_currency, settlementTime, endTime, _notional, _yieldConvention, accrualFactor, _issuer, yieldCurveNames[1], yieldCurveNames[0]); } /** * Convert the "Definition" version to the "Derivative" version. * @param date The reference date. * @param settlementDate The bill settlement date. * @return The bill security. */ public BillSecurity toDerivative(final ZonedDateTime date, final ZonedDateTime settlementDate) { ArgumentChecker.notNull(date, "Reference date"); ArgumentChecker.notNull(settlementDate, "Settlement date"); ArgumentChecker.isTrue(!date.isAfter(_endDate), "Reference date {} is after end date {}", date, _endDate); double settlementTime = TimeCalculator.getTimeBetween(date, settlementDate); settlementTime = Math.max(settlementTime, 0.0); final double endTime = TimeCalculator.getTimeBetween(date, _endDate); final double accrualFactor = _dayCount.getDayCountFraction(settlementDate, _endDate, _calendar); return new BillSecurity(_currency, settlementTime, endTime, _notional, _yieldConvention, accrualFactor, _issuer); } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public BillSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) { ArgumentChecker.notNull(date, "Reference date"); ArgumentChecker.notNull(yieldCurveNames, "Yield curve names"); ArgumentChecker.isTrue(!date.isAfter(_endDate), "Reference date {} is after end date {}", date, _endDate); ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(date, _settlementDays, _calendar); settlementDate = (settlementDate.isAfter(_endDate)) ? _endDate : settlementDate; return toDerivative(date, settlementDate, yieldCurveNames); } @Override public BillSecurity toDerivative(final ZonedDateTime date) { ArgumentChecker.notNull(date, "Reference date"); ArgumentChecker.isTrue(!date.isAfter(_endDate), "Reference date {} is after end date {}", date, _endDate); ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(date, _settlementDays, _calendar); settlementDate = (settlementDate.isAfter(_endDate)) ? _endDate : settlementDate; return toDerivative(date, settlementDate); } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitBillSecurityDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitBillSecurityDefinition(this); } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _calendar.hashCode(); result = prime * result + _currency.hashCode(); result = prime * result + _dayCount.hashCode(); result = prime * result + _endDate.hashCode(); result = prime * result + _issuer.hashCode(); long temp; temp = Double.doubleToLongBits(_notional); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _settlementDays; result = prime * result + _yieldConvention.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 BillSecurityDefinition other = (BillSecurityDefinition) obj; if (!ObjectUtils.equals(_calendar, other._calendar)) { return false; } if (!ObjectUtils.equals(_currency, other._currency)) { return false; } if (!ObjectUtils.equals(_dayCount, other._dayCount)) { return false; } if (!ObjectUtils.equals(_endDate, other._endDate)) { return false; } if (!ObjectUtils.equals(_issuer, other._issuer)) { return false; } if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) { return false; } if (_settlementDays != other._settlementDays) { return false; } if (!ObjectUtils.equals(_yieldConvention, other._yieldConvention)) { return false; } return true; } }