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.cash; 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.InterestRate; import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.daycount.DayCount; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a deposit where the rate is expressed in a specific composition convention. * Used mainly for curve construction with rates directly provided (not calibrated). */ public class DepositZeroDefinition implements InstrumentDefinition<DepositZero> { /** * 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 _paymentAccrualFactor; /** * The interest rate and its composition type. */ private final InterestRate _rate; /** * The interest amount to be paid at end date. */ private final double _interestAmount; /** * Constructor from all details. * @param currency The currency. * @param startDate The start date. * @param endDate The end date. * @param notional The notional. * @param paymentAccrualFactor The accrual factor (or year fraction). * @param rate The interest rate and its composition type. */ public DepositZeroDefinition(final Currency currency, final ZonedDateTime startDate, final ZonedDateTime endDate, final double notional, final double paymentAccrualFactor, final InterestRate rate) { ArgumentChecker.notNull(currency, "Currency"); ArgumentChecker.notNull(startDate, "Start date"); ArgumentChecker.notNull(endDate, "End date"); ArgumentChecker.notNull(rate, "Rate"); _currency = currency; _startDate = startDate; _endDate = endDate; _notional = notional; _paymentAccrualFactor = paymentAccrualFactor; _rate = rate; _interestAmount = (1.0 / rate.getDiscountFactor(paymentAccrualFactor) - 1.0) * notional; } /** * Builder. The day count is used to compute the accrual factor. The notional is 1. * @param currency The currency. * @param startDate The start date. * @param endDate The end date. * @param daycount The day count. * @param rate The interest rate and its composition type. * @param calendar The holiday calendar. * @return The deposit. */ public static DepositZeroDefinition from(final Currency currency, final ZonedDateTime startDate, final ZonedDateTime endDate, final DayCount daycount, final InterestRate rate, final Calendar calendar) { ArgumentChecker.notNull(daycount, "day count"); return new DepositZeroDefinition(currency, startDate, endDate, 1.0, daycount.getDayCountFraction(startDate, endDate, calendar), rate); } /** * Gets the deposit currency. * @return The currency. */ public Currency getCurrency() { return _currency; } /** * 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 accrual factor (or year fraction). * @return The factor. */ public double getPaymentAccrualFactor() { return _paymentAccrualFactor; } /** * Gets the rate (figure and composition rule). * @return The rate. */ public InterestRate getRate() { return _rate; } /** * Gets the interest rate amount. * @return The amount. */ public double getInterestAmount() { return _interestAmount; } @Override public String toString() { return "DepositZero " + _currency + " [" + _startDate + " - " + _endDate + "] - notional: " + _notional + " - rate: " + _rate; } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public DepositZero toDerivative(final ZonedDateTime date, final String... yieldCurveNames) { ArgumentChecker.isTrue(!date.isAfter(_endDate), "date is after end date"); final double startTime = TimeCalculator.getTimeBetween(date.toLocalDate(), _startDate.toLocalDate()); if (startTime < 0) { return new DepositZero(_currency, 0, TimeCalculator.getTimeBetween(date, _endDate), 0, _notional, _paymentAccrualFactor, _rate, _interestAmount, yieldCurveNames[0]); } return new DepositZero(_currency, startTime, TimeCalculator.getTimeBetween(date, _endDate), _notional, _notional, _paymentAccrualFactor, _rate, _interestAmount, yieldCurveNames[0]); } @Override public DepositZero toDerivative(final ZonedDateTime date) { ArgumentChecker.isTrue(!date.isAfter(_endDate), "date is after end date"); final double startTime = TimeCalculator.getTimeBetween(date.toLocalDate(), _startDate.toLocalDate()); if (startTime < 0) { return new DepositZero(_currency, 0, TimeCalculator.getTimeBetween(date, _endDate), 0, _notional, _paymentAccrualFactor, _rate, _interestAmount); } return new DepositZero(_currency, startTime, TimeCalculator.getTimeBetween(date, _endDate), _notional, _notional, _paymentAccrualFactor, _rate, _interestAmount); } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitDepositZeroDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitDepositZeroDefinition(this); } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _currency.hashCode(); result = prime * result + _endDate.hashCode(); long temp; temp = Double.doubleToLongBits(_interestAmount); result = prime * result + (int) (temp ^ (temp >>> 32)); temp = Double.doubleToLongBits(_notional); result = prime * result + (int) (temp ^ (temp >>> 32)); temp = Double.doubleToLongBits(_paymentAccrualFactor); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _rate.hashCode(); 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 DepositZeroDefinition other = (DepositZeroDefinition) obj; 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(_interestAmount) != Double.doubleToLongBits(other._interestAmount)) { return false; } if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) { return false; } if (Double.doubleToLongBits(_paymentAccrualFactor) != Double .doubleToLongBits(other._paymentAccrualFactor)) { return false; } if (!ObjectUtils.equals(_rate, other._rate)) { return false; } return true; } }