com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionBermudaFixedIbor.java Source code

Introduction

Here is the source code for com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionBermudaFixedIbor.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.swaption.derivative;

import java.util.Arrays;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;

/**
 * Class describing a Bermuda swaption on vanilla swaps with physical delivery.
 */
public class SwaptionBermudaFixedIbor implements InstrumentDerivative {

    /**
     * The swaps underlying the swaption. There is one swap for each expiration date. All swaps shoud have the same currency.
     * The swap do not need to be identical; this allow to incorporate fees or changing margins in the description.
     */
    private final SwapFixedCoupon<? extends Coupon>[] _underlyingSwap;
    /**
     * Flag indicating if the option is long (true) or short (false).
     */
    private final boolean _isLong;
    /**
     * The swaption expiration dates.
     */
    private final double[] _expiryTime;
    /**
     * The time (in years) to swaps settlement.
     */
    private final double[] _settlementTime;

    /**
     * Constructor for the Bermuda swaption.
     * @param underlyingSwap The swaps underlying the swaption. There is one swap for each expiration date.
     * @param isLong Flag indicating if the option is long (true) or short (false).
     * @param expiryTime The swaption expiration times.
     * @param settlementTime The times (in year) to the swaps settlement.
     */
    public SwaptionBermudaFixedIbor(SwapFixedCoupon<? extends Coupon>[] underlyingSwap, boolean isLong,
            double[] expiryTime, double[] settlementTime) {
        Validate.notNull(expiryTime, "Expiry time");
        Validate.notNull(underlyingSwap, "Underlying swap");
        Validate.notNull(settlementTime, "Settlement time");
        Validate.isTrue(underlyingSwap.length == expiryTime.length,
                "Number of swaps not in line with number of expiry times");
        Validate.isTrue(underlyingSwap.length == settlementTime.length,
                "Number of swaps not in line with number of settlement times");
        this._underlyingSwap = underlyingSwap;
        this._isLong = isLong;
        this._expiryTime = expiryTime;
        this._settlementTime = settlementTime;
    }

    /**
     * Gets the swaps underlying the swaption. There is one swap for each expiration date. 
     * @return The underlying swaps.
     */
    public SwapFixedCoupon<? extends Coupon>[] getUnderlyingSwap() {
        return _underlyingSwap;
    }

    /**
     * Gets the flag indicating if the option is long (true) or short (false).
     * @return The flag.
     */
    public boolean isLong() {
        return _isLong;
    }

    /**
     * Gets the swaption expiration dates.
     * @return The swaption expiration dates.
     */
    public double[] getExpiryTime() {
        return _expiryTime;
    }

    /**
     * Gets the times (in year) to the swaps settlement.
     * @return The times to the swaps settlement.
     */
    public double[] getSettlementTime() {
        return _settlementTime;
    }

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

    @Override
    public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) {
        return visitor.visitSwaptionBermudaFixedIbor(this);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + Arrays.hashCode(_expiryTime);
        result = prime * result + (_isLong ? 1231 : 1237);
        result = prime * result + Arrays.hashCode(_settlementTime);
        result = prime * result + Arrays.hashCode(_underlyingSwap);
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        SwaptionBermudaFixedIbor other = (SwaptionBermudaFixedIbor) obj;
        if (!Arrays.equals(_expiryTime, other._expiryTime)) {
            return false;
        }
        if (_isLong != other._isLong) {
            return false;
        }
        if (!Arrays.equals(_settlementTime, other._settlementTime)) {
            return false;
        }
        if (!Arrays.equals(_underlyingSwap, other._underlyingSwap)) {
            return false;
        }
        return true;
    }

}