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.Period; 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.index.GeneratorSwapFixedIbor; import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition; import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity; import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon; import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.util.ArgumentChecker; /** * Description of Deliverable Interest Rate Swap Futures as traded on CME. */ public class SwapFuturesPriceDeliverableSecurityDefinition implements InstrumentDefinitionWithData<SwapFuturesPriceDeliverableSecurity, Double> { /** * The futures last trading date. The date for which the delivery date is the spot date. */ private final ZonedDateTime _lastTradingDate; /** * The delivery date. Usually the third Wednesday of the month is the spot date. */ private final ZonedDateTime _deliveryDate; /** * The futures underlying swap. The delivery date should be the first accrual date of the underlying swap. The swap should be a receiver swap of notional 1. */ private final SwapFixedIborDefinition _underlyingSwap; /** * The notional of the future (also called face value or contract value). */ private final double _notional; /** * Constructor. The delivery date is the accrual start date of the first coupon of the swap fixed leg. * @param lastTradingDate The futures last trading date. * @param underlyingSwap The futures underlying swap. * @param notional The notional of the future. */ public SwapFuturesPriceDeliverableSecurityDefinition(final ZonedDateTime lastTradingDate, final SwapFixedIborDefinition underlyingSwap, final double notional) { ArgumentChecker.notNull(lastTradingDate, "Last trading date"); ArgumentChecker.notNull(underlyingSwap, "Swap"); ArgumentChecker.isTrue( Math.abs(underlyingSwap.getFixedLeg().getNthPayment(0).getNotional() - 1.0) < 1.0E-10, "Swap should be receiver of notional 1"); _lastTradingDate = lastTradingDate; _deliveryDate = underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate(); _underlyingSwap = underlyingSwap; _notional = notional; } /** * Builder from the financial details. * @param effectiveDate The underlying swap effective date (delivery date). * @param generator The swap generator. * @param tenor The underlying swap tenor. * @param notional The futures notional. * @param rate The underlying swap rate. * @return The futures. */ public static SwapFuturesPriceDeliverableSecurityDefinition from(final ZonedDateTime effectiveDate, final GeneratorSwapFixedIbor generator, final Period tenor, final double notional, final double rate) { ArgumentChecker.notNull(effectiveDate, "Effective date"); ArgumentChecker.notNull(generator, "Generator"); final ZonedDateTime lastTradingDate = ScheduleCalculator.getAdjustedDate(effectiveDate, -generator.getSpotLag(), generator.getCalendar()); final SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(effectiveDate, tenor, generator, 1.0, rate, false); return new SwapFuturesPriceDeliverableSecurityDefinition(lastTradingDate, swap, notional); } /** * Returns the futures last trading date. * @return The date. */ public ZonedDateTime getLastTradingDate() { return _lastTradingDate; } /** * Returns the delivery date. * @return The date. */ public ZonedDateTime getDeliveryDate() { return _deliveryDate; } /** * Returns the futures underlying swap. * @return The swap. */ public SwapFixedIborDefinition getUnderlyingSwap() { return _underlyingSwap; } /** * Returns the notional of the future * @return The notional. */ public double getNotional() { return _notional; } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public SwapFuturesPriceDeliverableSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) { final double lastTradingTime = TimeCalculator.getTimeBetween(date, _lastTradingDate); final double deliveryTime = TimeCalculator.getTimeBetween(date, _deliveryDate); final SwapFixedCoupon<? extends Coupon> underlyingSwap = _underlyingSwap.toDerivative(date, yieldCurveNames); return new SwapFuturesPriceDeliverableSecurity(lastTradingTime, deliveryTime, underlyingSwap, _notional); } @Override public SwapFuturesPriceDeliverableSecurity toDerivative(final ZonedDateTime date) { final double lastTradingTime = TimeCalculator.getTimeBetween(date, _lastTradingDate); final double deliveryTime = TimeCalculator.getTimeBetween(date, _deliveryDate); final SwapFixedCoupon<? extends Coupon> underlyingSwap = _underlyingSwap.toDerivative(date); return new SwapFuturesPriceDeliverableSecurity(lastTradingTime, deliveryTime, underlyingSwap, _notional); } /** * {@inheritDoc} * @deprecated Use the method that does not take yield curve names */ @Deprecated @Override public SwapFuturesPriceDeliverableSecurity toDerivative(final ZonedDateTime date, final Double data, final String... yieldCurveNames) { return toDerivative(date, data); } @Override public SwapFuturesPriceDeliverableSecurity toDerivative(final ZonedDateTime date, final Double data) { return toDerivative(date); } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitDeliverableSwapFuturesSecurityDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitDeliverableSwapFuturesSecurityDefinition(this); } @Override public String toString() { String result = "Swap : \n"; result += "First leg: \n" + _underlyingSwap.getFirstLeg().toString(); result += "\nSecond leg: \n" + _underlyingSwap.getSecondLeg().toString(); return result; } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _deliveryDate.hashCode(); result = prime * result + _lastTradingDate.hashCode(); long temp; temp = Double.doubleToLongBits(_notional); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _underlyingSwap.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 SwapFuturesPriceDeliverableSecurityDefinition other = (SwapFuturesPriceDeliverableSecurityDefinition) obj; if (!ObjectUtils.equals(_deliveryDate, other._deliveryDate)) { return false; } if (!ObjectUtils.equals(_lastTradingDate, other._lastTradingDate)) { return false; } if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) { return false; } if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) { return false; } return true; } }