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.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.instrument.payment.PaymentFixedDefinition; import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumSecurity; import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction; import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Description of transaction on an bond future option security with premium paid up-front (CBOT type). */ public class BondFutureOptionPremiumTransactionDefinition implements InstrumentDefinition<BondFutureOptionPremiumTransaction> { /** * The underlying option future security. */ private final BondFutureOptionPremiumSecurityDefinition _underlyingOption; /** * The quantity of the transaction. Can be positive or negative. */ private final int _quantity; /** * The transaction price. The price is in relative number and not in percent. A standard price will be 0.985 and not 98.5. */ private final double _tradePrice; /** * The premium payment: payment date and amount. The premium amount is given by the the transaction price * future notional * future accrual factor. */ private final PaymentFixedDefinition _premium; /** * Constructor of the future option transaction from details. * @param underlyingOption The underlying option future security. * @param quantity The quantity of the transaction. Can be positive or negative. * @param premiumDate The transaction date. * @param premiumAmount The transaction premium amount. */ public BondFutureOptionPremiumTransactionDefinition( final BondFutureOptionPremiumSecurityDefinition underlyingOption, final int quantity, final ZonedDateTime premiumDate, final double premiumAmount) { ArgumentChecker.notNull(underlyingOption, "underlying option"); ArgumentChecker.notNull(premiumDate, "premium date"); ArgumentChecker.isTrue(premiumAmount * quantity <= 0, "Premium amount should have the opposite sign as quantity."); _underlyingOption = underlyingOption; _quantity = quantity; _tradePrice = premiumAmount / (underlyingOption.getUnderlyingFuture().getNotional() * quantity); _premium = new PaymentFixedDefinition(underlyingOption.getCurrency(), premiumDate, premiumAmount); } /** * Builder of the future option transaction from the trade price. * @param underlyingOption The underlying option future security. * @param quantity The quantity of the transaction. Can be positive or negative. * @param premiumDate The transaction date. * @param tradePrice The transaction price. * @return The option. */ public static BondFutureOptionPremiumTransactionDefinition fromTradePrice( final BondFutureOptionPremiumSecurityDefinition underlyingOption, final int quantity, final ZonedDateTime premiumDate, final double tradePrice) { ArgumentChecker.notNull(underlyingOption, "underlying option"); final double premiumAmount = tradePrice * underlyingOption.getUnderlyingFuture().getNotional() * quantity; return new BondFutureOptionPremiumTransactionDefinition(underlyingOption, quantity, premiumDate, premiumAmount); } /** * Gets the underlying option future security. * @return The underlying. */ public BondFutureOptionPremiumSecurityDefinition getUnderlyingOption() { return _underlyingOption; } /** * Gets the quantity of the transaction. Can be positive or negative. * @return The quantity of the transaction. */ public int getQuantity() { return _quantity; } /** * Gets the transaction price. * @return The transaction price. */ public double getTradePrice() { return _tradePrice; } /** * Gets the premium. * @return The premium. */ public PaymentFixedDefinition getPremium() { return _premium; } /** * The future option currency. * @return The currency. */ public Currency getCurrency() { return _underlyingOption.getCurrency(); } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public BondFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) { ArgumentChecker.notNull(date, "Reference date"); ArgumentChecker.notNull(yieldCurveNames, "Curve names"); ArgumentChecker.isTrue(yieldCurveNames.length > 1, "At least two curves required: credit and discounting"); final BondFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date, yieldCurveNames); final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate()); if (premiumTime < 0) { // Premium payment in the past: it is represented by a 0 payment today. return new BondFutureOptionPremiumTransaction(option, _quantity, new PaymentFixed(getCurrency(), 0, 0, yieldCurveNames[1])); } return new BondFutureOptionPremiumTransaction(option, _quantity, _premium.toDerivative(date, yieldCurveNames[1])); } @Override public BondFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date) { ArgumentChecker.notNull(date, "Reference date"); final BondFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date); final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate()); if (premiumTime < 0) { // Premium payment in the past: it is represented by a 0 payment today. return new BondFutureOptionPremiumTransaction(option, _quantity, new PaymentFixed(getCurrency(), 0, 0)); } return new BondFutureOptionPremiumTransaction(option, _quantity, _premium.toDerivative(date)); } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitBondFutureOptionPremiumTransactionDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitBondFutureOptionPremiumTransactionDefinition(this); } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _premium.hashCode(); result = prime * result + _quantity; long temp; temp = Double.doubleToLongBits(_tradePrice); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _underlyingOption.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 BondFutureOptionPremiumTransactionDefinition other = (BondFutureOptionPremiumTransactionDefinition) obj; if (!ObjectUtils.equals(_premium, other._premium)) { return false; } if (_quantity != other._quantity) { return false; } if (Double.doubleToLongBits(_tradePrice) != Double.doubleToLongBits(other._tradePrice)) { return false; } if (!ObjectUtils.equals(_underlyingOption, other._underlyingOption)) { return false; } return true; } }