com.opengamma.analytics.financial.instrument.future.BondFutureDefinition.java Source code

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Here is the source code for com.opengamma.analytics.financial.instrument.future.BondFutureDefinition.java

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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.instrument.future;

import java.util.Arrays;

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

import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionWithData;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Description of a bond future (definition version).
 */
public class BondFutureDefinition implements InstrumentDefinitionWithData<BondFuture, Double> {

    /**
     * The last trading date.
     */
    private final ZonedDateTime _tradingLastDate;
    /**
     * The first notice date.
     */
    private final ZonedDateTime _noticeFirstDate;
    /**
     * The last notice date.
     */
    private final ZonedDateTime _noticeLastDate;
    /**
     * The first delivery date. It is the first notice date plus the settlement days.
     */
    private final ZonedDateTime _deliveryFirstDate;
    /**
     * The last delivery date. It is the last notice date plus the settlement days.
     */
    private final ZonedDateTime _deliveryLastDate;
    /**
     * The number of days between notice date and delivery date.
     */
    private final int _settlementDays;
    /**
     * The basket of deliverable bonds.
     */
    private final BondFixedSecurityDefinition[] _deliveryBasket;
    /**
     * The conversion factor of each bond in the basket.
     */
    private final double[] _conversionFactor;
    /**
     * The notional of the bond future (also called face value or contract value).
     */
    private final double _notional;

    /**
     * Constructor from the trading and notice dates and the basket.
     * @param tradingLastDate The last trading date.
     * @param noticeFirstDate The first notice date.
     * @param noticeLastDate The last notice date.
     * @param notional The bond future notional.
     * @param deliveryBasket The basket of deliverable bonds.
     * @param conversionFactor The conversion factor of each bond in the basket.
     */
    public BondFutureDefinition(final ZonedDateTime tradingLastDate, final ZonedDateTime noticeFirstDate,
            final ZonedDateTime noticeLastDate, final double notional,
            final BondFixedSecurityDefinition[] deliveryBasket, final double[] conversionFactor) {
        ArgumentChecker.notNull(tradingLastDate, "Last trading date");
        ArgumentChecker.notNull(noticeFirstDate, "First notice date");
        ArgumentChecker.notNull(noticeLastDate, "Last notice date");
        ArgumentChecker.notNull(deliveryBasket, "Delivery basket");
        ArgumentChecker.notNull(conversionFactor, "Conversion factor");
        ArgumentChecker.isTrue(deliveryBasket.length > 0, "At least one bond in basket");
        ArgumentChecker.isTrue(deliveryBasket.length == conversionFactor.length, "Conversion factor size");
        _tradingLastDate = tradingLastDate;
        _noticeFirstDate = noticeFirstDate;
        _noticeLastDate = noticeLastDate;
        _notional = notional;
        _deliveryBasket = deliveryBasket;
        _conversionFactor = conversionFactor;
        _settlementDays = _deliveryBasket[0].getSettlementDays();
        final Calendar calendar = _deliveryBasket[0].getCalendar();
        _deliveryFirstDate = ScheduleCalculator.getAdjustedDate(_noticeFirstDate, _settlementDays, calendar);
        _deliveryLastDate = ScheduleCalculator.getAdjustedDate(_noticeLastDate, _settlementDays, calendar);
    }

    /**
     * Gets the last trading date.
     * @return The last trading date.
     */
    public ZonedDateTime getTradingLastDate() {
        return _tradingLastDate;
    }

    /**
     * Gets the first notice date.
     * @return The first notice date.
     */
    public ZonedDateTime getNoticeFirstDate() {
        return _noticeFirstDate;
    }

    /**
     * Gets the last notice date.
     * @return The last notice date.
     */
    public ZonedDateTime getNoticeLastDate() {
        return _noticeLastDate;
    }

    /**
     * Gets the first delivery date. It is the first notice date plus the settlement days.
     * @return The first delivery date.
     */
    public ZonedDateTime getDeliveryFirstDate() {
        return _deliveryFirstDate;
    }

    /**
     * Gets the last delivery date. It is the last notice date plus the settlement days.
     * @return The last delivery date.
     */
    public ZonedDateTime getDeliveryLastDate() {
        return _deliveryLastDate;
    }

    /**
     * Gets the number of days between notice date and delivery date.
     * @return The number of days between notice date and delivery date.
     */
    public int getSettlementDays() {
        return _settlementDays;
    }

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

    /**
     * Gets the basket of deliverable bonds.
     * @return The basket of deliverable bonds.
     */
    public BondFixedSecurityDefinition[] getDeliveryBasket() {
        return _deliveryBasket;
    }

    /**
     * Gets the conversion factor of each bond in the basket.
     * @return The conversion factors.
     */
    public double[] getConversionFactor() {
        return _conversionFactor;
    }

    /**
     * The future currency.
     * @return The currency.
     */
    public Currency getCurrency() {
        return _deliveryBasket[0].getCurrency();
    }

    /**
     * {@inheritDoc}
     * @deprecated Use the method that does not take yield curve names
     */
    @Deprecated
    @Override
    public BondFuture toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
        throw new UnsupportedOperationException("The method toDerivative of " + getClass().getSimpleName()
                + " does not support the two argument method (without margin price data).");
    }

    /**
     * {@inheritDoc}
     * @deprecated Use the method that does not take yield curve names
     */
    @Deprecated
    @Override
    public BondFuture toDerivative(final ZonedDateTime valDate, final Double referencePrice,
            final String... yieldCurveNames) {
        ArgumentChecker.notNull(valDate, "valDate must always be provided to form a Derivative from a Definition");
        ArgumentChecker.isTrue(!valDate.isAfter(getDeliveryLastDate()),
                "Valuation date is after last delivery date");
        ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
        ArgumentChecker.isTrue(yieldCurveNames.length > 1, "at least two curves required");

        final double lastTradingTime = TimeCalculator.getTimeBetween(valDate, getTradingLastDate());
        final double firstNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeFirstDate());
        final double lastNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeLastDate());
        final double firstDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryFirstDate());
        final double lastDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryLastDate());

        final BondFixedSecurity[] basket = new BondFixedSecurity[_deliveryBasket.length];
        for (int loopbasket = 0; loopbasket < _deliveryBasket.length; loopbasket++) {
            basket[loopbasket] = _deliveryBasket[loopbasket].toDerivative(valDate, _deliveryLastDate,
                    yieldCurveNames);
        }

        final BondFuture futureDeriv = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime,
                firstDeliveryTime, lastDeliveryTime, _notional, basket, _conversionFactor, referencePrice);
        return futureDeriv;
    }

    @Override
    public BondFuture toDerivative(final ZonedDateTime date) {
        throw new UnsupportedOperationException("The method toDerivative of " + getClass().getSimpleName()
                + " does not support the two argument method (without margin price data).");
    }

    @Override
    public BondFuture toDerivative(final ZonedDateTime valDate, final Double referencePrice) {
        ArgumentChecker.notNull(valDate, "valDate must always be provided to form a Derivative from a Definition");
        ArgumentChecker.isTrue(!valDate.isAfter(getDeliveryLastDate()),
                "Valuation date is after last delivery date");

        final double lastTradingTime = TimeCalculator.getTimeBetween(valDate, getTradingLastDate());
        final double firstNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeFirstDate());
        final double lastNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeLastDate());
        final double firstDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryFirstDate());
        final double lastDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryLastDate());

        final BondFixedSecurity[] basket = new BondFixedSecurity[_deliveryBasket.length];
        for (int loopbasket = 0; loopbasket < _deliveryBasket.length; loopbasket++) {
            basket[loopbasket] = _deliveryBasket[loopbasket].toDerivative(valDate, _deliveryLastDate);
        }

        final BondFuture futureDeriv = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime,
                firstDeliveryTime, lastDeliveryTime, _notional, basket, _conversionFactor, referencePrice);
        return futureDeriv;
    }

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

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

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + Arrays.hashCode(_conversionFactor);
        result = prime * result + Arrays.hashCode(_deliveryBasket);
        result = prime * result + _deliveryFirstDate.hashCode();
        result = prime * result + _deliveryLastDate.hashCode();
        result = prime * result + _noticeFirstDate.hashCode();
        result = prime * result + _noticeLastDate.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_notional);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _settlementDays;
        result = prime * result + _tradingLastDate.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 BondFutureDefinition other = (BondFutureDefinition) obj;
        if (!Arrays.equals(_conversionFactor, other._conversionFactor)) {
            return false;
        }
        if (!Arrays.equals(_deliveryBasket, other._deliveryBasket)) {
            return false;
        }
        if (!ObjectUtils.equals(_noticeFirstDate, other._noticeFirstDate)) {
            return false;
        }
        if (!ObjectUtils.equals(_noticeLastDate, other._noticeLastDate)) {
            return false;
        }
        if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
            return false;
        }
        if (!ObjectUtils.equals(_tradingLastDate, other._tradingLastDate)) {
            return false;
        }
        return true;
    }

}