com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpreadSimplified.java Source code

Introduction

Here is the source code for com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpreadSimplified.java

Source

/**
 * Copyright (C) 2013 - 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.index.IndexON;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Class describing a Fed Fund swap-like floating coupon (arithmetic average on overnight rates).
 */
public final class CouponArithmeticAverageONSpreadSimplified extends Coupon {

    /**
     * The overnight index on which the coupon fixes. The index currency should be the same as the coupon currency. Not null.
     */
    private final IndexON _index;
    /**
     * The fixing period start time (in years).
     */
    private final double _fixingPeriodStartTime;
    /**
     * The fixing period end time (in years).
     */
    private final double _fixingPeriodEndTime;
    /**
     * The spread rate paid above the arithmetic average.
     */
    private final double _spread;
    /**
     * The fixed amount related to the spread.
     */
    private final double _spreadAmount;

    /**
     * Constructor.
     * @param currency The coupon currency.
     * @param paymentTime The coupon payment time.
     * @param paymentAccrualFactor The year fraction of the full coupon.
     * @param notional The coupon notional.
     * @param index The index associated to the coupon.
     * @param fixingPeriodStartTime The fixing period start time (in years).
     * @param fixingPeriodEndTime The spread rate paid above the arithmetic average.
     * @param spread The spread rate paid above the arithmetic average.
     */
    private CouponArithmeticAverageONSpreadSimplified(Currency currency, double paymentTime,
            double paymentYearFraction, double notional, IndexON index, final double fixingPeriodStartTime,
            double fixingPeriodEndTime, final double spread) {
        super(currency, paymentTime, paymentYearFraction, notional);
        _index = index;
        _fixingPeriodStartTime = fixingPeriodStartTime;
        _fixingPeriodEndTime = fixingPeriodEndTime;
        _spread = spread;
        _spreadAmount = spread * paymentYearFraction * notional;
    }

    /**
     * Builder from financial details.
     * @param paymentTime The coupon payment time.
     * @param paymentAccrualFactor The year fraction of the full coupon.
     * @param notional The coupon notional.
     * @param index The index associated to the coupon.
     * @param fixingPeriodStartTime The fixing period start time (in years).
     * @param fixingPeriodEndTime The spread rate paid above the arithmetic average.
     * @param spread The spread rate paid above the arithmetic average.
     * @return The coupon.
     */
    public static CouponArithmeticAverageONSpreadSimplified from(double paymentTime, double paymentAccrualFactor,
            double notional, IndexON index, final double fixingPeriodStartTime, double fixingPeriodEndTime,
            final double spread) {
        ArgumentChecker.notNull(index, "Index");
        return new CouponArithmeticAverageONSpreadSimplified(index.getCurrency(), paymentTime, paymentAccrualFactor,
                notional, index, fixingPeriodStartTime, fixingPeriodEndTime, spread);
    }

    /**
     * Gets the index.
     * @return The index.
     */
    public IndexON getIndex() {
        return _index;
    }

    /**
     * Returns the spread rate paid above the arithmetic average.
     * @return The spread.
     */
    public double getSpread() {
        return _spread;
    }

    /**
     * Returns the fixed amount related to the spread.
     * @return The amount.
     */
    public double getSpreadAmount() {
        return _spreadAmount;
    }

    /**
     * Returns the fixing period start time (in years).
     * @return The time.
     */
    public double getFixingPeriodStartTime() {
        return _fixingPeriodStartTime;
    }

    /**
     * Returns the spread rate paid above the arithmetic average.
     * @return The time.
     */
    public double getFixingPeriodEndTime() {
        return _fixingPeriodEndTime;
    }

    @Override
    public Coupon withNotional(double notional) {
        return null; // TODO
    }

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

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

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_fixingPeriodEndTime);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_fixingPeriodStartTime);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _index.hashCode();
        temp = Double.doubleToLongBits(_spread);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_spreadAmount);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (!super.equals(obj)) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        CouponArithmeticAverageONSpreadSimplified other = (CouponArithmeticAverageONSpreadSimplified) obj;
        if (Double.doubleToLongBits(_fixingPeriodEndTime) != Double.doubleToLongBits(other._fixingPeriodEndTime)) {
            return false;
        }
        if (Double.doubleToLongBits(_fixingPeriodStartTime) != Double
                .doubleToLongBits(other._fixingPeriodStartTime)) {
            return false;
        }
        if (!ObjectUtils.equals(_index, other._index)) {
            return false;
        }
        if (Double.doubleToLongBits(_spread) != Double.doubleToLongBits(other._spread)) {
            return false;
        }
        if (Double.doubleToLongBits(_spreadAmount) != Double.doubleToLongBits(other._spreadAmount)) {
            return false;
        }
        return true;
    }

}