Java tutorial
/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.instrument.cash; import org.apache.commons.lang.ObjectUtils; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor; import com.opengamma.analytics.financial.instrument.index.GeneratorDeposit; import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a cash deposit. */ public class CashDefinition implements InstrumentDefinition<Cash> { /** * The deposit currency. */ private final Currency _currency; /** * The deposit start date (a good business day, adjusted by the business day convention if required). */ private final ZonedDateTime _startDate; /** * The deposit end (or maturity) date (a good business day, adjusted by the business day convention if required). */ private final ZonedDateTime _endDate; /** * The deposit notional. */ private final double _notional; /** * The accrual factor (or year fraction). */ private final double _accrualFactor; /** * The deposit rate. */ private final double _rate; /** * The interest amount to be paid at end date (=_notional * _rate * _ccrualFactor) */ private final double _interestAmount; /** * Constructor from all details. * @param currency The deposit currency. * @param startDate The deposit start date. * @param endDate The deposit end date. * @param notional The deposit notional. * @param rate The deposit rate. * @param accrualFactor The deposit accrual factor. */ public CashDefinition(final Currency currency, final ZonedDateTime startDate, final ZonedDateTime endDate, final double notional, final double rate, final double accrualFactor) { ArgumentChecker.notNull(startDate, "Start date"); ArgumentChecker.notNull(endDate, "End date"); ArgumentChecker.notNull(currency, "Currency"); ArgumentChecker.isTrue(endDate.isAfter(startDate), "End date should be strictly after start date"); _startDate = startDate; _endDate = endDate; _notional = notional; _rate = rate; _currency = currency; _accrualFactor = accrualFactor; _interestAmount = _notional * _rate * _accrualFactor; } /** * Build a deposit from the financial description and the start (or settlement) date. * @param startDate The deposit start date. * @param tenor The deposit tenor. * @param notional The deposit notional. * @param rate The deposit rate. * @param generator The deposit generator. * @return The deposit. */ public static CashDefinition fromStart(final ZonedDateTime startDate, final Period tenor, final double notional, final double rate, final GeneratorDeposit generator) { ArgumentChecker.notNull(startDate, "Start date"); ArgumentChecker.notNull(tenor, "Tenor"); ArgumentChecker.notNull(generator, "Generator"); final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, tenor, generator); final double accrualFactor = generator.getDayCount().getDayCountFraction(startDate, endDate, generator.getCalendar()); return new CashDefinition(generator.getCurrency(), startDate, endDate, notional, rate, accrualFactor); } /** * Build a overnight deposit from the financial description and the start (or settlement) date. * @param startDate The deposit start date. * @param notional The deposit notional. * @param rate The deposit rate. * @param generator The deposit generator. * @return The deposit. */ public static CashDefinition fromStart(final ZonedDateTime startDate, final double notional, final double rate, final GeneratorDeposit generator) { ArgumentChecker.notNull(startDate, "Start date"); ArgumentChecker.notNull(generator, "Generator"); final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, 1, generator.getCalendar()); final double accrualFactor = generator.getDayCount().getDayCountFraction(startDate, endDate, generator.getCalendar()); return new CashDefinition(generator.getCurrency(), startDate, endDate, notional, rate, accrualFactor); } /** * Build a deposit from the financial description and the trade date. * @param tradeDate The deposit trade date. The start date is the trade date plus the generator spot lag. * @param tenor The deposit tenor. * @param notional The deposit notional. * @param rate The deposit rate. * @param generator The deposit generator. * @return The deposit. */ public static CashDefinition fromTrade(final ZonedDateTime tradeDate, final Period tenor, final double notional, final double rate, final GeneratorDeposit generator) { ArgumentChecker.notNull(tradeDate, "Trade date"); ArgumentChecker.notNull(tenor, "Tenor"); ArgumentChecker.notNull(generator, "Generator"); final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(tradeDate, generator.getSpotLag(), generator.getCalendar()); final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, tenor, generator); final double accrualFactor = generator.getDayCount().getDayCountFraction(startDate, endDate, generator.getCalendar()); return new CashDefinition(generator.getCurrency(), startDate, endDate, notional, rate, accrualFactor); } /** * Build an over-night deposit from the financial description and the trade date. * @param tradeDate The deposit trade date. The start date is the trade date plus the generator spot lag. * @param start The number of business days to start date. * @param notional The deposit notional. * @param rate The deposit rate. * @param generator The deposit generator. * @return The deposit. */ public static CashDefinition fromTrade(final ZonedDateTime tradeDate, final int start, final double notional, final double rate, final GeneratorDeposit generator) { ArgumentChecker.notNull(tradeDate, "Trade date"); ArgumentChecker.notNull(generator, "Generator"); final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(tradeDate, start, generator.getCalendar()); final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, 1, generator.getCalendar()); final double accrualFactor = generator.getDayCount().getDayCountFraction(startDate, endDate, generator.getCalendar()); return new CashDefinition(generator.getCurrency(), startDate, endDate, notional, rate, accrualFactor); } /** * Gets the deposit start date. * @return The date. */ public ZonedDateTime getStartDate() { return _startDate; } /** * Gets the deposit end date. * @return The date. */ public ZonedDateTime getEndDate() { return _endDate; } /** * Gets the deposit notional. * @return The notional. */ public double getNotional() { return _notional; } /** * Gets the deposit accrual factor. * @return The accrual factor. */ public double getAccrualFactor() { return _accrualFactor; } /** * Gets the deposit rate. * @return The rate. */ public double getRate() { return _rate; } /** * Gets the interest amount. * @return The amount. */ public double getInterestAmount() { return _interestAmount; } /** * Gets the deposit currency. * @return The currency. */ public Currency getCurrency() { return _currency; } @Override public String toString() { return "Deposit " + _currency + " [" + _startDate + " - " + _endDate + "] - notional: " + _notional + " - rate: " + _rate; } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public Cash toDerivative(final ZonedDateTime date, final String... yieldCurveNames) { ArgumentChecker.isTrue(!date.isAfter(_endDate), "date {} is after end date {}", date, _endDate); final double startTime = TimeCalculator.getTimeBetween(date, _startDate); if (startTime < 0) { return new Cash(_currency, 0, TimeCalculator.getTimeBetween(date, _endDate), _notional, 0, _rate, _accrualFactor, yieldCurveNames[0]); } return new Cash(_currency, startTime, TimeCalculator.getTimeBetween(date, _endDate), _notional, _rate, _accrualFactor, yieldCurveNames[0]); } @Override public Cash toDerivative(final ZonedDateTime date) { // return toDerivative(date, new String[] {""}); ArgumentChecker.isTrue(!date.isAfter(_endDate), "date {} is after end date {}", date, _endDate); final double startTime = TimeCalculator.getTimeBetween(date, _startDate); if (startTime < 0) { return new Cash(_currency, 0, TimeCalculator.getTimeBetween(date, _endDate), _notional, 0, _rate, _accrualFactor); } return new Cash(_currency, startTime, TimeCalculator.getTimeBetween(date, _endDate), _notional, _rate, _accrualFactor); } @Override public int hashCode() { final int prime = 31; int result = 1; long temp; temp = Double.doubleToLongBits(_accrualFactor); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _currency.hashCode(); result = prime * result + _endDate.hashCode(); temp = Double.doubleToLongBits(_notional); result = prime * result + (int) (temp ^ (temp >>> 32)); temp = Double.doubleToLongBits(_rate); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _startDate.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 CashDefinition other = (CashDefinition) obj; if (Double.doubleToLongBits(_accrualFactor) != Double.doubleToLongBits(other._accrualFactor)) { return false; } if (!ObjectUtils.equals(_currency, other._currency)) { return false; } if (!ObjectUtils.equals(_endDate, other._endDate)) { return false; } if (!ObjectUtils.equals(_startDate, other._startDate)) { return false; } if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) { return false; } if (Double.doubleToLongBits(_rate) != Double.doubleToLongBits(other._rate)) { return false; } return true; } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitCashDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitCashDefinition(this); } }