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

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

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.instrument.future;

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.future.derivative.BondFuture;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumSecurity;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Description of an bond future option security with premium paid up-front (CBOT type). The option is of American type.
 */
public class BondFutureOptionPremiumSecurityDefinition
        implements InstrumentDefinition<BondFutureOptionPremiumSecurity> {

    /**
     * Underlying future security.
     */
    private final BondFutureDefinition _underlyingFuture;
    /**
     * Expiration date.
     */
    private final ZonedDateTime _expirationDate;
    /**
     * Cap (true) / floor (false) flag.
     */
    private final boolean _isCall;
    /**
     * Strike price.
     */
    private final double _strike;

    /**
     * Constructor of the option future from the details.
     * @param underlyingFuture The underlying future security.
     * @param expirationDate The expiration date.
     * @param strike The option strike.
     * @param isCall The call (true) / put (false) flag.
     */
    public BondFutureOptionPremiumSecurityDefinition(final BondFutureDefinition underlyingFuture,
            final ZonedDateTime expirationDate, final double strike, final boolean isCall) {
        ArgumentChecker.notNull(underlyingFuture, "underlying future");
        ArgumentChecker.notNull(expirationDate, "expiration");
        _underlyingFuture = underlyingFuture;
        _expirationDate = expirationDate;
        _strike = strike;
        _isCall = isCall;
    }

    /**
     * Gets the underlying future security.
     * @return The underlying future security.
     */
    public BondFutureDefinition getUnderlyingFuture() {
        return _underlyingFuture;
    }

    /**
     * Gets the expiration date.
     * @return The expiration date.
     */
    public ZonedDateTime getExpirationDate() {
        return _expirationDate;
    }

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

    /**
     * Gets the cap (true) / floor (false) flag.
     * @return The cap/floor flag.
     */
    public boolean isCall() {
        return _isCall;
    }

    /**
     * Gets the option strike.
     * @return The option strike.
     */
    public double getStrike() {
        return _strike;
    }

    /**
     * The future option currency.
     * @return The currency.
     */
    public Currency getCurrency() {
        return _underlyingFuture.getCurrency();
    }

    /**
     * {@inheritDoc}
     * @deprecated Use the method that does not take yield curve names
     */
    @Deprecated
    @Override
    public BondFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
        ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
        final Double referencePrice = 0.0; // FIXME Bond future should have a "Security" version, without transaction price.
        final BondFuture underlyingFuture = _underlyingFuture.toDerivative(date, referencePrice, yieldCurveNames);
        final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
        return new BondFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
    }

    @Override
    public BondFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date) {
        ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
        final Double referencePrice = 0.0; // FIXME Bond future should have a "Security" version, without transaction price.
        final BondFuture underlyingFuture = _underlyingFuture.toDerivative(date, referencePrice);
        final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
        return new BondFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
    }

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

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

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + _expirationDate.hashCode();
        result = prime * result + (_isCall ? 1231 : 1237);
        long temp;
        temp = Double.doubleToLongBits(_strike);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _underlyingFuture.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 BondFutureOptionPremiumSecurityDefinition other = (BondFutureOptionPremiumSecurityDefinition) obj;
        if (!ObjectUtils.equals(_expirationDate, other._expirationDate)) {
            return false;
        }
        if (_isCall != other._isCall) {
            return false;
        }
        if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
            return false;
        }
        if (!ObjectUtils.equals(_underlyingFuture, other._underlyingFuture)) {
            return false;
        }
        return true;
    }

}