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

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Here is the source code for com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity.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.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.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Description of an interest rate future option with up-front margin security.
 */
public class InterestRateFutureOptionMarginSecurity implements InstrumentDerivative {

    /**
     * Underlying future security.
     */
    private final InterestRateFutureSecurity _underlyingFuture;
    /**
     * Expiration date.
     */
    private final double _expirationTime;
    /**
     * Cap (true) / floor (false) flag.
     */
    private final boolean _isCall;
    /**
     * Strike price.
     */
    private final double _strike;
    /**
     * The discounting curve name.
     */
    private String _discountingCurveName;
    /**
     * The forward curve name used in to estimate the fixing index.
     */
    private String _forwardCurveName;

    /**
     * Constructor of the option future from the details.
     * @param underlyingFuture The underlying future security.
     * @param expirationTime The time (in year) to expiration.
     * @param strike The option strike.
     * @param isCall The cap (true) / floor (false) flag.
     */
    @SuppressWarnings("deprecation")
    public InterestRateFutureOptionMarginSecurity(final InterestRateFutureSecurity underlyingFuture,
            final double expirationTime, final double strike, final boolean isCall) {
        ArgumentChecker.notNull(underlyingFuture, "underlying future");
        _underlyingFuture = underlyingFuture;
        _expirationTime = expirationTime;
        _strike = strike;
        _isCall = isCall;
        try {
            _discountingCurveName = underlyingFuture.getDiscountingCurveName();
            _forwardCurveName = underlyingFuture.getForwardCurveName();
        } catch (final IllegalStateException e) {
            _discountingCurveName = null;
            _forwardCurveName = null;
        }
    }

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

    /**
     * Gets the expiration date.
     * @return The expiration date.
     */
    public double getExpirationTime() {
        return _expirationTime;
    }

    /**
     * Gets the cap (true) / floor (false) flag.
     * @return The cap/floor flag.
     */
    public boolean isCall() {
        return _isCall;
    }

    /**
     * Gets the option strike.
     * @return The option strike.
     */
    public double getStrike() {
        return _strike;
    }

    /**
     * The future option currency.
     * @return The currency.
     */
    public Currency getCurrency() {
        return _underlyingFuture.getCurrency();
    }

    /**
     * Gets the discounting curve name.
     * @return The discounting curve name.
     * @deprecated Curve names should not be set in derivatives
     */
    @Deprecated
    public String getDiscountingCurveName() {
        if (_discountingCurveName == null) {
            throw new IllegalStateException("Curve names should not be set in derivatives");
        }
        return _discountingCurveName;
    }

    /**
     * Gets the forward curve name.
     * @return The forward curve name.
     * @deprecated Curve names should not be set in derivatives
     */
    @Deprecated
    public String getForwardCurveName() {
        if (_forwardCurveName == null) {
            throw new IllegalStateException("Curve names should not be set in derivatives");
        }
        return _forwardCurveName;
    }

    @Override
    public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitInterestRateFutureOptionMarginSecurity(this, data);
    }

    @Override
    public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitInterestRateFutureOptionMarginSecurity(this);
    }

    @Override
    public String toString() {
        String result = "Opt. IR future security: ";
        result += "Expiry: " + _expirationTime;
        result += " - Call: " + _isCall;
        result += " - Strike: " + _strike;
        result += " - Underlying: " + _underlyingFuture.toString();
        return result;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + (_discountingCurveName == null ? 0 : _discountingCurveName.hashCode());
        long temp;
        temp = Double.doubleToLongBits(_expirationTime);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + (_forwardCurveName == null ? 0 : _forwardCurveName.hashCode());
        result = prime * result + (_isCall ? 1231 : 1237);
        temp = Double.doubleToLongBits(_strike);
        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 InterestRateFutureOptionMarginSecurity other = (InterestRateFutureOptionMarginSecurity) obj;
        if (!ObjectUtils.equals(_discountingCurveName, other._discountingCurveName)) {
            return false;
        }
        if (Double.doubleToLongBits(_expirationTime) != Double.doubleToLongBits(other._expirationTime)) {
            return false;
        }
        if (!ObjectUtils.equals(_forwardCurveName, other._forwardCurveName)) {
            return false;
        }
        if (_isCall != other._isCall) {
            return false;
        }
        if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
            return false;
        }
        if (!ObjectUtils.equals(_underlyingFuture, other._underlyingFuture)) {
            return false;
        }
        return true;
    }

}