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

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Here is the source code for com.opengamma.analytics.financial.instrument.future.BondFuturesTransactionDefinition.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 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.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesTransaction;
import com.opengamma.util.ArgumentChecker;

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

    /**
     * Underlying future security.
     */
    private final BondFuturesSecurityDefinition _underlyingFuture;
    /**
     * Quantity of future. Can be positive or negative.
     */
    private final int _quantity;
    /**
     * Transaction date.
     */
    private final ZonedDateTime _tradeDate;
    /**
     * 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;

    /**
     * Constructor of the future transaction.
     * @param underlyingFuture Underlying future security.
     * @param quantity Quantity of future. Can be positive or negative.
     * @param tradeDate Transaction date.
     * @param tradePrice Transaction price.
     */
    public BondFuturesTransactionDefinition(final BondFuturesSecurityDefinition underlyingFuture,
            final int quantity, final ZonedDateTime tradeDate, final double tradePrice) {
        ArgumentChecker.notNull(underlyingFuture, "Underlying future");
        ArgumentChecker.notNull(tradeDate, "Trade date");
        _underlyingFuture = underlyingFuture;
        _quantity = quantity;
        _tradeDate = tradeDate;
        _tradePrice = tradePrice;
    }

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

    /**
     * Gets the quantity of future. Can be positive or negative.
     * @return The quantity of future.
     */
    public int getQuantity() {
        return _quantity;
    }

    /**
     * Gets the transaction date.
     * @return The transaction date.
     */
    public ZonedDateTime getTradeDate() {
        return _tradeDate;
    }

    /**
     * Gets the transaction price.
     * @return The transaction price.
     */
    public double getTradePrice() {
        return _tradePrice;
    }

    /**
     * {@inheritDoc}
     * @deprecated Use the method that does not take yield curve names
     */
    @Deprecated
    @Override
    public BondFuturesTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
        throw new UnsupportedOperationException(
                "The method toDerivative of BondFutureTransactionDefinition 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 BondFuturesTransaction toDerivative(final ZonedDateTime date, final Double lastMarginPrice,
            final String... yieldCurveNames) {
        ArgumentChecker.notNull(date, "date");
        ArgumentChecker.isTrue(!date.isAfter(getUnderlyingFuture().getDeliveryLastDate()),
                "Date is after last delivery date");
        ArgumentChecker.isTrue(!date.isBefore(_tradeDate), "Date is before trade date");
        final BondFuturesSecurity underlyingFuture = _underlyingFuture.toDerivative(date, yieldCurveNames);
        double referencePrice;
        if (_tradeDate.isBefore(date)) { // Transaction was before last margining.
            referencePrice = lastMarginPrice;
        } else { // Transaction is today
            referencePrice = _tradePrice;
        }
        final BondFuturesTransaction futureTransaction = new BondFuturesTransaction(underlyingFuture, _quantity,
                referencePrice);
        return futureTransaction;
    }

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

    @Override
    public BondFuturesTransaction toDerivative(final ZonedDateTime date, final Double lastMarginPrice) {
        ArgumentChecker.notNull(date, "date");
        ArgumentChecker.isTrue(!date.isAfter(getUnderlyingFuture().getDeliveryLastDate()),
                "Date is after last delivery date");
        ArgumentChecker.isTrue(!date.isBefore(_tradeDate), "Date is before trade date");
        final BondFuturesSecurity underlyingFuture = _underlyingFuture.toDerivative(date);
        double referencePrice;
        if (_tradeDate.isBefore(date)) { // Transaction was before last margining.
            referencePrice = lastMarginPrice;
        } else { // Transaction is today
            referencePrice = _tradePrice;
        }
        final BondFuturesTransaction futureTransaction = new BondFuturesTransaction(underlyingFuture, _quantity,
                referencePrice);
        return futureTransaction;
    }

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

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

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + _quantity;
        result = prime * result + _tradeDate.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_tradePrice);
        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 BondFuturesTransactionDefinition other = (BondFuturesTransactionDefinition) obj;
        if (_quantity != other._quantity) {
            return false;
        }
        if (!ObjectUtils.equals(_tradeDate, other._tradeDate)) {
            return false;
        }
        if (Double.doubleToLongBits(_tradePrice) != Double.doubleToLongBits(other._tradePrice)) {
            return false;
        }
        if (!ObjectUtils.equals(_underlyingFuture, other._underlyingFuture)) {
            return false;
        }
        return true;
    }

}