com.opengamma.analytics.financial.instrument.swaption.SwaptionBermudaFixedIborDefinition.java Source code

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Here is the source code for com.opengamma.analytics.financial.instrument.swaption.SwaptionBermudaFixedIborDefinition.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.instrument.swaption;

import java.util.Arrays;

import javax.time.calendar.ZonedDateTime;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionBermudaFixedIbor;
import com.opengamma.analytics.util.time.TimeCalculator;

/**
 * Class describing a Bermuda swaption on vanilla swaps with physical delivery.
 */
public class SwaptionBermudaFixedIborDefinition implements InstrumentDefinition<SwaptionBermudaFixedIbor> {

    /**
     * The swaps underlying the swaption. There is one swap for each expiration date. 
     * The swap do not need to be identical; this allow to incorporate fees or changing margins in the description.
     */
    private final SwapFixedIborDefinition[] _underlyingSwap;
    /**
     * Flag indicating if the option is long (true) or short (false).
     */
    private final boolean _isLong;
    /**
     * The swaption expiration dates.
     */
    private final ZonedDateTime[] _expiryDate;

    /**
     * Constructor for the Bermuda swaption.
     * @param underlyingSwap The swaps underlying the swaption. There is one swap for each expiration date.
     * @param isLong Flag indicating if the option is long (true) or short (false).
     * @param expiryDate The swaption expiration dates.
     */
    public SwaptionBermudaFixedIborDefinition(final SwapFixedIborDefinition[] underlyingSwap, final boolean isLong,
            final ZonedDateTime[] expiryDate) {
        Validate.notNull(expiryDate, "expiry date");
        Validate.notNull(underlyingSwap, "underlying swap");
        Validate.isTrue(underlyingSwap.length == expiryDate.length,
                "Number of swaps not in line with number of expiry dates");
        this._underlyingSwap = underlyingSwap;
        this._isLong = isLong;
        this._expiryDate = expiryDate;
    }

    /**
     * Creates a Bermudan swaption from a unique swap and the expiry dates. For each expiry dates, a exercise swap with the coupon that start on or 
     * after the exercise date is created.
     * @param underlyingTotalSwap The underlying swap.
     * @param isLong Flag indicating if the option is long (true) or short (false).
     * @param expiryDate The swaption expiration dates.
     * @return The Bermuda swaption.
     */
    public static SwaptionBermudaFixedIborDefinition from(final SwapFixedIborDefinition underlyingTotalSwap,
            final boolean isLong, final ZonedDateTime[] expiryDate) {
        Validate.notNull(expiryDate, "expiry date");
        Validate.notNull(underlyingTotalSwap, "underlying swap");
        final int nbExpiry = underlyingTotalSwap.getFixedLeg().getNumberOfPayments();
        final SwapFixedIborDefinition[] underlyingSwaps = new SwapFixedIborDefinition[nbExpiry];
        for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
            underlyingSwaps[loopexp] = underlyingTotalSwap.trimStart(expiryDate[loopexp]);
        }
        return new SwaptionBermudaFixedIborDefinition(underlyingSwaps, isLong, expiryDate);

    }

    /**
     * Gets the swaps underlying the swaption. There is one swap for each expiration date. 
     * @return The underlying swaps.
     */
    public SwapFixedIborDefinition[] getUnderlyingSwap() {
        return _underlyingSwap;
    }

    /**
     * Gets the flag indicating if the option is long (true) or short (false).
     * @return The flag.
     */
    public boolean isLong() {
        return _isLong;
    }

    /**
     * Gets the swaption expiration dates.
     * @return The swaption expiration dates.
     */
    public ZonedDateTime[] getExpiryDate() {
        return _expiryDate;
    }

    @Override
    public SwaptionBermudaFixedIbor toDerivative(ZonedDateTime date, String... yieldCurveNames) {
        Validate.notNull(date, "date");
        Validate.notNull(yieldCurveNames, "yield curve names");
        final int nbExpiry = _expiryDate.length;
        final double[] expiryTime = new double[nbExpiry];
        final double[] settleTime = new double[nbExpiry];
        @SuppressWarnings("unchecked")
        final SwapFixedCoupon<Coupon>[] expirySwap = new SwapFixedCoupon[nbExpiry];
        for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
            expiryTime[loopexp] = TimeCalculator.getTimeBetween(date, _expiryDate[loopexp]);
            expirySwap[loopexp] = _underlyingSwap[loopexp].toDerivative(date, yieldCurveNames);
            settleTime[loopexp] = TimeCalculator.getTimeBetween(date,
                    _underlyingSwap[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
        }
        return new SwaptionBermudaFixedIbor(expirySwap, _isLong, expiryTime, settleTime);
    }

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

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

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + Arrays.hashCode(_expiryDate);
        result = prime * result + (_isLong ? 1231 : 1237);
        result = prime * result + Arrays.hashCode(_underlyingSwap);
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        SwaptionBermudaFixedIborDefinition other = (SwaptionBermudaFixedIborDefinition) obj;
        if (!Arrays.equals(_expiryDate, other._expiryDate)) {
            return false;
        }
        if (_isLong != other._isLong) {
            return false;
        }
        if (!Arrays.equals(_underlyingSwap, other._underlyingSwap)) {
            return false;
        }
        return true;
    }

}