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.InstrumentDefinitionVisitor; import com.opengamma.analytics.financial.instrument.InstrumentDefinitionWithData; import com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity; import com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureTransaction; import com.opengamma.timeseries.DoubleTimeSeries; import com.opengamma.util.ArgumentChecker; /** * Description of an transaction on a Federal Funds Futures. */ //CSOFF Check style seems to have a problem with >[]> public class FederalFundsFutureTransactionDefinition implements InstrumentDefinitionWithData<FederalFundsFutureTransaction, DoubleTimeSeries<ZonedDateTime>[]> { //CSON /** * The underlying future security. */ private final FederalFundsFutureSecurityDefinition _underlyingFuture; /** * The quantity of the transaction. Can be positive or negative. */ private final int _quantity; /** * The transaction date. */ private final ZonedDateTime _tradeDate; /** * The transaction price. The price is in relative number and not in percent. This is the quoted price of the future. */ private final double _tradePrice; /** * Constructor. * @param underlyingFuture The underlying future security. * @param quantity The quantity of the transaction. Can be positive or negative. * @param tradeDate The transaction date. * @param tradePrice The transaction price. The price is in relative number and not in percent. This is the quoted price of the future. */ public FederalFundsFutureTransactionDefinition(final FederalFundsFutureSecurityDefinition underlyingFuture, final int quantity, final ZonedDateTime tradeDate, final double tradePrice) { ArgumentChecker.notNull(underlyingFuture, "Future"); ArgumentChecker.notNull(tradeDate, "Trade date"); _underlyingFuture = underlyingFuture; _quantity = quantity; _tradeDate = tradeDate; _tradePrice = tradePrice; } /** * Gets the underlying future security. * @return The future. */ public FederalFundsFutureSecurityDefinition getUnderlyingFuture() { return _underlyingFuture; } /** * Gets the quantity of the transaction. Can be positive or negative. * @return The quantity. */ public int getQuantity() { return _quantity; } /** * Gets the transaction date. * @return The date. */ public ZonedDateTime getTradeDate() { return _tradeDate; } /** * Gets the transaction price. The price is in relative number and not in percent. This is the quoted price of the future. * @return The trade price. */ public double getTradePrice() { return _tradePrice; } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) { throw new UnsupportedOperationException( "The method toDerivative of FederalFundsFutureTransactionDefinition does not support the two argument method (without ON fixing and margin price data)."); } @Override public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date) { throw new UnsupportedOperationException( "The method toDerivative of FederalFundsFutureTransactionDefinition does not support the two argument method (without ON fixing and margin price data)."); } /** * @param date The reference date. * @param data Two time series. The first one with the ON index fixing; the second one with the future closing (margining) prices. * @param yieldCurveNames The yield curve names * The last closing price at a date strictly before "date" is used as last closing. * @return The derivative form * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime>[] data, final String... yieldCurveNames) { ArgumentChecker.notNull(date, "Date"); ArgumentChecker.isTrue(data.length >= 2, "At least two time series: ON index and future closing"); final FederalFundsFutureSecurity underlying = _underlyingFuture.toDerivative(date, data[0], yieldCurveNames); if (_tradeDate.equals(date)) { return new FederalFundsFutureTransaction(underlying, _quantity, _tradePrice); } final DoubleTimeSeries<ZonedDateTime> pastClosing = data[1].subSeries(date.minusMonths(1), date); ArgumentChecker.isTrue(!pastClosing.isEmpty(), "No closing price"); // There should be at least one recent margining. final double lastMargin = pastClosing.getLatestValue(); return new FederalFundsFutureTransaction(underlying, _quantity, lastMargin); } /** * {@inheritDoc} * @param date The reference date. * @param data Two time series. The first one with the ON index fixing; the second one with the future closing (margining) prices. * The last closing price at a date strictly before "date" is used as last closing. * @return The derivative form */ @Override public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime>[] data) { ArgumentChecker.notNull(date, "Date"); ArgumentChecker.isTrue(data.length >= 2, "At least two time series: ON index and future closing"); final FederalFundsFutureSecurity underlying = _underlyingFuture.toDerivative(date, data[0]); if (_tradeDate.equals(date)) { return new FederalFundsFutureTransaction(underlying, _quantity, _tradePrice); } final DoubleTimeSeries<ZonedDateTime> pastClosing = data[1].subSeries(date.minusMonths(1), date); ArgumentChecker.isTrue(!pastClosing.isEmpty(), "No closing price"); // There should be at least one recent margining. final double lastMargin = pastClosing.getLatestValue(); return new FederalFundsFutureTransaction(underlying, _quantity, lastMargin); } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitFederalFundsFutureTransactionDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitFederalFundsFutureTransactionDefinition(this); } @Override public String toString() { final String result = "Quantity: " + _quantity + " of " + _underlyingFuture.toString(); return result; } @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 FederalFundsFutureTransactionDefinition other = (FederalFundsFutureTransactionDefinition) 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; } }