com.opengamma.analytics.financial.interestrate.PeriodicInterestRate.java Source code

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Here is the source code for com.opengamma.analytics.financial.interestrate.PeriodicInterestRate.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.interestrate;

import org.apache.commons.lang.Validate;

import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class PeriodicInterestRate extends InterestRate {
    private final int _compoundingPeriodsPerYear;
    private final double _oneYearValue;

    public PeriodicInterestRate(final double rate, final int compoundingPeriodsPerYear) {
        super(rate);
        ArgumentChecker.notNegativeOrZero(compoundingPeriodsPerYear, "compounding periods per year");
        _compoundingPeriodsPerYear = compoundingPeriodsPerYear;
        _oneYearValue = Math.pow(1 + rate / compoundingPeriodsPerYear, compoundingPeriodsPerYear);
    }

    public int getCompoundingPeriodsPerYear() {
        return _compoundingPeriodsPerYear;
    }

    @Override
    public InterestRate fromContinuous(final ContinuousInterestRate continuous) {
        Validate.notNull(continuous, "continuous");
        final int m = getCompoundingPeriodsPerYear();
        return new PeriodicInterestRate(m * (Math.exp(continuous.getRate() / m) - 1), m);
    }

    @Override
    public double fromContinuousDerivative(final ContinuousInterestRate continuous) {
        Validate.notNull(continuous);
        return Math.exp(continuous.getRate() / getCompoundingPeriodsPerYear());
    }

    @Override
    public InterestRate fromPeriodic(final PeriodicInterestRate periodic) {
        Validate.notNull(periodic, "periodic");
        final int n = periodic.getCompoundingPeriodsPerYear();
        final double oneYearValue = Math.pow(1 + periodic.getRate() / n, n);
        final double r = getCompoundingPeriodsPerYear()
                * (Math.pow(oneYearValue, 1. / getCompoundingPeriodsPerYear()) - 1);
        return new PeriodicInterestRate(r, getCompoundingPeriodsPerYear());
    }

    @Override
    public double getDiscountFactor(final double t) {
        return Math.pow(_oneYearValue, -t);
    }

    @Override
    public ContinuousInterestRate toContinuous() {
        return new ContinuousInterestRate(Math.log(_oneYearValue));
    }

    @Override
    public PeriodicInterestRate toPeriodic(final int periodsPerYear) {
        ArgumentChecker.notNegativeOrZero(periodsPerYear, "periods per year");
        final double r = periodsPerYear * (Math.pow(_oneYearValue, 1. / periodsPerYear) - 1);
        return new PeriodicInterestRate(r, periodsPerYear);
    }

    @Override
    public String toString() {
        return "Periodic[r = " + getRate() + ", m = " + getCompoundingPeriodsPerYear() + "]";
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        result = prime * result + _compoundingPeriodsPerYear;
        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 PeriodicInterestRate other = (PeriodicInterestRate) obj;
        if (_compoundingPeriodsPerYear != other._compoundingPeriodsPerYear) {
            return false;
        }
        return true;
    }

}