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 org.apache.commons.lang.Validate; import com.opengamma.analytics.financial.instrument.index.IndexON; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.util.money.Currency; /** * Class describing a OIS-like floating coupon. The description is simplified by not creating the full set of fixing times. * Only the start and the end of the fixing period times are described. The description is enough to construct curves from OIS and price OIS coupons (even if some fixing already took place). */ public class CouponOIS extends Coupon { /** * The OIS-like 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). The fixing period does take into account the already fixed period, * i.e. the fixing period start time is the first date for which the coupon is not fixed yet. */ private final double _fixingPeriodStartTime; /** * The fixing period end time (in years). */ private final double _fixingPeriodEndTime; /** * The accrual factor (or year fraction) associated to the fixing period in the Index day count convention. */ private final double _fixingPeriodAccrualFactor; /** * The notional augmented by the interest accrued over the periods already fixed. */ private final double _notionalAccrued; /** * The forward curve name used in to estimate the fixing index. */ private final String _forwardCurveName; /** * Constructor of a generic coupon from details. * @param currency The payment currency. * @param paymentTime Time (in years) up to the payment. * @param fundingCurveName Name of the funding curve. * @param paymentYearFraction The year fraction (or accrual factor) for the coupon payment. * @param notional Coupon notional. * @param index The OIS-like index on which the coupon fixes. Not null. * @param fixingPeriodStartTime The fixing period start time (in years). * @param fixingPeriodEndTime The fixing period end time (in years). * @param fixingPeriodAccrualFactor The accrual factor (or year fraction) associated to the fixing period in the Index day count convention. * @param notionalAccrued The notional accrued by the interest periods already fixed. * @param forwardCurveName The name of the forward curve. */ public CouponOIS(Currency currency, double paymentTime, String fundingCurveName, double paymentYearFraction, double notional, IndexON index, double fixingPeriodStartTime, double fixingPeriodEndTime, double fixingPeriodAccrualFactor, double notionalAccrued, String forwardCurveName) { super(currency, paymentTime, fundingCurveName, paymentYearFraction, notional); Validate.notNull(index, "Coupon OIS: index"); _index = index; _fixingPeriodStartTime = fixingPeriodStartTime; _fixingPeriodEndTime = fixingPeriodEndTime; _fixingPeriodAccrualFactor = fixingPeriodAccrualFactor; _notionalAccrued = notionalAccrued; _forwardCurveName = forwardCurveName; } /** * Gets the OIS index of the instrument. * @return The index. */ public IndexON getIndex() { return _index; } /** * Gets the fixing period start time (in years). * @return The fixing period start time. */ public double getFixingPeriodStartTime() { return _fixingPeriodStartTime; } /** * Gets the fixing period end time (in years). * @return The fixing period end time. */ public double getFixingPeriodEndTime() { return _fixingPeriodEndTime; } /** * Gets the accrual factor for the fixing period. * @return The accrual factor. */ public double getFixingPeriodAccrualFactor() { return _fixingPeriodAccrualFactor; } /** * Gets the notional augmented by the interest accrued over the periods already fixed. * @return The augmented notional. */ public double getNotionalAccrued() { return _notionalAccrued; } /** * Gets the forward curve name. * @return The name. */ public String getForwardCurveName() { return _forwardCurveName; } @Override public CouponOIS withNotional(double notional) { return new CouponOIS(getCurrency(), getPaymentTime(), getFundingCurveName(), getPaymentYearFraction(), notional, _index, _fixingPeriodStartTime, _fixingPeriodEndTime, _fixingPeriodAccrualFactor, _notionalAccrued / getNotional() * notional, _forwardCurveName); } @Override public <S, T> T accept(InstrumentDerivativeVisitor<S, T> visitor, S data) { return visitor.visitCouponOIS(this, data); } @Override public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) { return visitor.visitCouponOIS(this); } @Override public String toString() { return super.toString() + ", period = [" + _fixingPeriodStartTime + ", " + _fixingPeriodEndTime + "/" + _fixingPeriodAccrualFactor + "]"; } @Override public int hashCode() { final int prime = 31; int result = super.hashCode(); long temp; temp = Double.doubleToLongBits(_fixingPeriodAccrualFactor); result = prime * result + (int) (temp ^ (temp >>> 32)); 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(_notionalAccrued); 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; } CouponOIS other = (CouponOIS) obj; if (Double.doubleToLongBits(_fixingPeriodAccrualFactor) != Double .doubleToLongBits(other._fixingPeriodAccrualFactor)) { return false; } 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(_notionalAccrued) != Double.doubleToLongBits(other._notionalAccrued)) { return false; } return true; } }