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

Introduction

Here is the source code for com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction.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.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.util.ArgumentChecker;

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

    /**
     * The underlying option future security.
     */
    private final InterestRateFutureOptionPremiumSecurity _underlyingOption;
    /**
     * The quantity of the transaction. Can be positive or negative.
     */
    private final int _quantity;
    /**
     * The transaction price. The price is in relative number and not in percent. A standard price will be 0.985 and not 98.5.
     */
    private final double _tradePrice;
    /**
     * The premium payment. If the payment is in the past, the paymentTime is 0 and the amount 0.
     * If the payment is today or in the future, the premium amount is given by the the transaction price * future notional * future accrual factor.
     */
    private PaymentFixed _premium;

    /**
    * Constructor of the future option transaction from details.
    * @param underlyingOption The underlying option future security.
    * @param quantity The quantity of the transaction. Can be positive or negative.
    * @param premiumTime The transaction date.
    * @param tradePrice The transaction price.
    */
    @SuppressWarnings("deprecation")
    public InterestRateFutureOptionPremiumTransaction(
            final InterestRateFutureOptionPremiumSecurity underlyingOption, final int quantity,
            final double premiumTime, final double tradePrice) {
        ArgumentChecker.notNull(underlyingOption, "underlying option");
        _underlyingOption = underlyingOption;
        _quantity = quantity;
        _tradePrice = tradePrice;
        final double premiumAmount = -_tradePrice * _quantity
                * _underlyingOption.getUnderlyingFuture().getNotional()
                * _underlyingOption.getUnderlyingFuture().getPaymentAccrualFactor();
        try {
            _premium = new PaymentFixed(underlyingOption.getCurrency(), premiumTime, premiumAmount,
                    underlyingOption.getDiscountingCurveName());
        } catch (final IllegalStateException e) {
            _premium = new PaymentFixed(underlyingOption.getCurrency(), premiumTime, premiumAmount);
        }
    }

    /**
     * Gets the underlying option future security.
     * @return The underlying option.
     */
    public InterestRateFutureOptionPremiumSecurity getUnderlyingOption() {
        return _underlyingOption;
    }

    /**
     * Gets the quantity of the transaction.
     * @return The quantity.
     */
    public int getQuantity() {
        return _quantity;
    }

    /**
     * Gets the transaction price.
     * @return The transaction price.
     */
    public double getTradePrice() {
        return _tradePrice;
    }

    /**
     * Gets the premium payment.
     * @return The premium.
     */
    public PaymentFixed getPremium() {
        return _premium;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + ((_premium == null) ? 0 : _premium.hashCode());
        result = prime * result + _quantity;
        long temp;
        temp = Double.doubleToLongBits(_tradePrice);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _underlyingOption.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 InterestRateFutureOptionPremiumTransaction other = (InterestRateFutureOptionPremiumTransaction) obj;
        if (!ObjectUtils.equals(_premium, other._premium)) {
            return false;
        }
        if (_quantity != other._quantity) {
            return false;
        }
        if (Double.doubleToLongBits(_tradePrice) != Double.doubleToLongBits(other._tradePrice)) {
            return false;
        }
        if (!ObjectUtils.equals(_underlyingOption, other._underlyingOption)) {
            return false;
        }
        return true;
    }

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

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

}