Java tutorial
/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.swaption.derivative; import org.apache.commons.lang.ObjectUtils; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity; import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedAccruedCompounding; import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded; import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment; import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a European swaption on a vanilla swap with cash delivery. */ public final class SwaptionCashFixedCompoundedONCompounded extends EuropeanVanillaOption implements InstrumentDerivative { /** * Swap underlying the swaption. The swap should be of vanilla type. */ private final Swap<CouponFixedAccruedCompounding, CouponONCompounded> _underlyingSwap; /** * Flag indicating if the option is long (true) or short (false). */ private final boolean _isLong; /** * The time (in years) to cash settlement. */ private final double _settlementTime; /** * The time in years to maturity. */ private final double _maturityTime; /** * Constructor from the expiry date, the underlying swap and the long/short flqg. * @param expiryTime The expiry time. * @param strike The strike * @param underlyingSwap The underlying swap. * @param settlementTime The time (in years) to cash settlement. * @param isCall Call. * @param isLong The long (true) / short (false) flag. */ private SwaptionCashFixedCompoundedONCompounded(final double expiryTime, final double strike, final Swap<CouponFixedAccruedCompounding, CouponONCompounded> underlyingSwap, final double settlementTime, final boolean isCall, final boolean isLong) { super(strike, expiryTime, isCall); ArgumentChecker.notNull(underlyingSwap, "underlying swap"); _underlyingSwap = underlyingSwap; _settlementTime = settlementTime; _isLong = isLong; final Annuity<? extends Payment> firstLeg = underlyingSwap.getFirstLeg(); _maturityTime = firstLeg.getNthPayment(firstLeg.getNumberOfPayments() - 1).getPaymentTime() - _settlementTime; } /** * Builder from the expiry date, the underlying swap and the long/short flqg. * @param expiryTime The expiry time. * @param underlyingSwap The underlying swap. * @param settlementTime The time (in years) to cash settlement. * @param isLong The long (true) / short (false) flag. * @param strike The strike * @param isCall True if the option is a call * @return The swaption. */ public static SwaptionCashFixedCompoundedONCompounded from(final double expiryTime, final Swap<CouponFixedAccruedCompounding, CouponONCompounded> underlyingSwap, final double settlementTime, final boolean isLong, final double strike, final boolean isCall) { ArgumentChecker.notNull(underlyingSwap, "underlying swap"); // Implementation note: cash-settle swaptions underlying have the same rate on all coupons and standard conventions. return new SwaptionCashFixedCompoundedONCompounded(expiryTime, strike, underlyingSwap, settlementTime, isCall, isLong); } /** * Gets the underlying swap. * @return The underlying swap. */ public Swap<CouponFixedAccruedCompounding, CouponONCompounded> getUnderlyingSwap() { return _underlyingSwap; } /** * Gets the _isLong field. * @return The Long (true)/Short (false) flag. */ public boolean isLong() { return _isLong; } /** * Gets the swaption settlement time (in years). * @return The settlement time. */ public double getSettlementTime() { return _settlementTime; } /** * Gets the time difference between the last fixed leg payment and the settlement. * @return The maturity time. */ public double getMaturityTime() { return _maturityTime; } /** * Gets the swaption currency. * @return The currency. */ public Currency getCurrency() { return _underlyingSwap.getFirstLeg().getCurrency(); } @Override public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitSwaptionCashFixedCompoundedONCompounded(this, data); } @Override public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitSwaptionCashFixedCompoundedONCompounded(this); } @Override public int hashCode() { final int prime = 31; int result = super.hashCode(); result = prime * result + (_isLong ? 1231 : 1237); long temp; temp = Double.doubleToLongBits(_settlementTime); 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; } final SwaptionCashFixedCompoundedONCompounded other = (SwaptionCashFixedCompoundedONCompounded) obj; if (_isLong != other._isLong) { return false; } if (Double.doubleToLongBits(_settlementTime) != Double.doubleToLongBits(other._settlementTime)) { return false; } if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) { return false; } return true; } }