com.opengamma.analytics.financial.interestrate.future.derivative.DeliverableSwapFuturesSecurity.java Source code

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Here is the source code for com.opengamma.analytics.financial.interestrate.future.derivative.DeliverableSwapFuturesSecurity.java

Source

/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.interestrate.future.derivative;

import org.apache.commons.lang.ObjectUtils;

import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Description of Deliverable Interest Rate Swap Futures as traded on CME.
 */
public class DeliverableSwapFuturesSecurity implements InstrumentDerivative {

    /**
     * The futures last trading time. The date for which the delivery date is the spot date.
     */
    private final double _lastTradingTime;
    /**
     * The delivery time. Usually the third Wednesday of the month is the spot date.
     */
    private final double _deliveryTime;
    /**
     * 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 SwapFixedCoupon<? extends Coupon> _underlyingSwap;
    /**
     * The notional of the future (also called face value or contract value).
     */
    private final double _notional;

    /**
     * Constructor.
     * @param lastTradingTime The futures last trading time.
     * @param deliveryTime The delivery time.
     * @param underlyingSwap The futures underlying swap.
     * @param notional The notional of the future (also called face value or contract value).
     */
    public DeliverableSwapFuturesSecurity(double lastTradingTime, double deliveryTime,
            SwapFixedCoupon<? extends Coupon> underlyingSwap, double notional) {
        ArgumentChecker.notNull(underlyingSwap, "Underlying swap");
        _lastTradingTime = lastTradingTime;
        _deliveryTime = deliveryTime;
        _underlyingSwap = underlyingSwap;
        _notional = notional;
    }

    /**
     * Gets the futures last trading time.
     * @return The time.
     */
    public double getLastTradingTime() {
        return _lastTradingTime;
    }

    /**
     * Gets the delivery time.
     * @return The time.
     */
    public double getDeliveryTime() {
        return _deliveryTime;
    }

    /**
     * Gets the futures underlying swap.
     * @return The underlying swap.
     */
    public SwapFixedCoupon<? extends Coupon> getUnderlyingSwap() {
        return _underlyingSwap;
    }

    /**
     * Gets the notional of the future (also called face value or contract value).
     * @return The notional.
     */
    public double getNotional() {
        return _notional;
    }

    /**
     * Gets the futures currency.
     * @return The currency.
     */
    public Currency getCurrency() {
        return _underlyingSwap.getFirstLeg().getCurrency();
    }

    @Override
    public <S, T> T accept(InstrumentDerivativeVisitor<S, T> visitor, S data) {
        return null;
    }

    @Override
    public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) {
        return null;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        long temp;
        temp = Double.doubleToLongBits(_deliveryTime);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_lastTradingTime);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_notional);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _underlyingSwap.hashCode();
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        DeliverableSwapFuturesSecurity other = (DeliverableSwapFuturesSecurity) obj;
        if (Double.doubleToLongBits(_deliveryTime) != Double.doubleToLongBits(other._deliveryTime)) {
            return false;
        }
        if (Double.doubleToLongBits(_lastTradingTime) != Double.doubleToLongBits(other._lastTradingTime)) {
            return false;
        }
        if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
            return false;
        }
        if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) {
            return false;
        }
        return true;
    }

}