com.opengamma.analytics.financial.instrument.cash.CashDefinition.java Source code

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/**
 * 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);
    }

}