Java tutorial
/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.payments.derivative; import org.apache.commons.lang.ObjectUtils; import com.opengamma.analytics.financial.instrument.payment.CapFloor; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a caplet/floorlet on CMS rate. */ public class CapFloorCMS extends CouponFloating implements CapFloor { /** * Swap underlying the CMS definition. The rate and notional are not used. The swap should be of vanilla type. */ private final SwapFixedCoupon<? extends Payment> _underlyingSwap; /** * The time (in years) to underlying swap settlement. */ private final double _settlementTime; /** * The cap/floor strike. */ private final double _strike; /** * The cap (true) / floor (false) flag. */ private final boolean _isCap; /** * Constructor from floating coupon details and underlying swap. * @param currency The payment currency. * @param paymentTime Time (in years) up to the payment. * @param paymentYearFraction The year fraction (or accrual factor) for the coupon payment. * @param fundingCurveName The funding curve name, not null * @param notional Coupon notional. * @param fixingTime Time (in years) up to fixing. * @param underlyingSwap A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type. * @param settlementTime The time (in years) to underlying swap settlement. * @param strike The strike. * @param isCap The cap (true) /floor (false) flag. * @deprecated Use the constructor that does not take a yield curve name */ @Deprecated public CapFloorCMS(final Currency currency, final double paymentTime, final String fundingCurveName, final double paymentYearFraction, final double notional, final double fixingTime, final SwapFixedCoupon<? extends Payment> underlyingSwap, final double settlementTime, final double strike, final boolean isCap) { super(currency, paymentTime, fundingCurveName, paymentYearFraction, notional, fixingTime); ArgumentChecker.notNull(underlyingSwap, "underlying swap"); ArgumentChecker.isTrue(underlyingSwap.isIborOrFixed(), "underlying swap not of vanilla type"); _underlyingSwap = underlyingSwap; _settlementTime = settlementTime; _strike = strike; _isCap = isCap; } /** * Constructor from floating coupon details and underlying swap. * @param currency The payment currency. * @param paymentTime Time (in years) up to the payment. * @param paymentYearFraction The year fraction (or accrual factor) for the coupon payment. * @param notional Coupon notional. * @param fixingTime Time (in years) up to fixing. * @param underlyingSwap A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type. * @param settlementTime The time (in years) to underlying swap settlement. * @param strike The strike. * @param isCap The cap (true) /floor (false) flag. */ public CapFloorCMS(final Currency currency, final double paymentTime, final double paymentYearFraction, final double notional, final double fixingTime, final SwapFixedCoupon<? extends Payment> underlyingSwap, final double settlementTime, final double strike, final boolean isCap) { super(currency, paymentTime, paymentYearFraction, notional, fixingTime); ArgumentChecker.notNull(underlyingSwap, "underlying swap"); ArgumentChecker.isTrue(underlyingSwap.isIborOrFixed(), "underlying swap not of vanilla type"); _underlyingSwap = underlyingSwap; _settlementTime = settlementTime; _strike = strike; _isCap = isCap; } /** * Cap/floor CMS builder from a CMS coupon, the strike and the cap/floor flag. * @param coupon The CMS coupon. * @param strike The strike. * @param isCap The cap (true) /floor (false) flag. * @return The CMS cap/floor. */ @SuppressWarnings("deprecation") public static CapFloorCMS from(final CouponCMS coupon, final double strike, final boolean isCap) { try { return new CapFloorCMS(coupon.getCurrency(), coupon.getPaymentTime(), coupon.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getFundingCurveName(), coupon.getPaymentYearFraction(), coupon.getNotional(), coupon.getFixingTime(), coupon.getUnderlyingSwap(), coupon.getSettlementTime(), strike, isCap); } catch (final IllegalStateException e) { return new CapFloorCMS(coupon.getCurrency(), coupon.getPaymentTime(), coupon.getPaymentYearFraction(), coupon.getNotional(), coupon.getFixingTime(), coupon.getUnderlyingSwap(), coupon.getSettlementTime(), strike, isCap); } } /** * Gets the underlying swap. * @return The underlying swap. */ public SwapFixedCoupon<? extends Payment> getUnderlyingSwap() { return _underlyingSwap; } /** * Gets the underlying swap settlement time. * @return The swap settlement time. */ public double getSettlementTime() { return _settlementTime; } @Override public double getStrike() { return _strike; } @Override public boolean isCap() { return _isCap; } @Override public double payOff(final double fixing) { final double omega = (_isCap) ? 1.0 : -1.0; return Math.max(omega * (fixing - _strike), 0); } @Override @SuppressWarnings("deprecation") public Coupon withNotional(final double notional) { try { return new CapFloorCMS(getCurrency(), getPaymentTime(), getFundingCurveName(), getPaymentYearFraction(), notional, getFixingTime(), _underlyingSwap, _settlementTime, _strike, _isCap); } catch (final IllegalStateException e) { return new CapFloorCMS(getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getFixingTime(), _underlyingSwap, _settlementTime, _strike, _isCap); } } @Override public int hashCode() { final int prime = 31; int result = super.hashCode(); result = prime * result + (_isCap ? 1231 : 1237); long temp; temp = Double.doubleToLongBits(_settlementTime); result = prime * result + (int) (temp ^ (temp >>> 32)); temp = Double.doubleToLongBits(_strike); 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 (!super.equals(obj)) { return false; } if (getClass() != obj.getClass()) { return false; } final CapFloorCMS other = (CapFloorCMS) obj; if (_isCap != other._isCap) { return false; } if (Double.doubleToLongBits(_settlementTime) != Double.doubleToLongBits(other._settlementTime)) { return false; } if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) { return false; } if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) { return false; } return true; } @Override public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) { return visitor.visitCapFloorCMS(this, data); } @Override public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) { return visitor.visitCapFloorCMS(this); } }