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

Introduction

Here is the source code for com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor.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 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.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
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 SwaptionCashFixedIbor extends EuropeanVanillaOption implements InstrumentDerivative {

    /**
     * Swap underlying the swaption. The swap should be of vanilla type.
     */
    private final SwapFixedCoupon<? extends Payment> _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;

    /**
     * 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 SwaptionCashFixedIbor(final double expiryTime, final double strike,
            final SwapFixedCoupon<? extends Payment> underlyingSwap, final double settlementTime,
            final boolean isCall, final boolean isLong) {
        super(strike, expiryTime, isCall);
        ArgumentChecker.notNull(underlyingSwap, "underlying swap");
        ArgumentChecker.isTrue(
                Double.doubleToLongBits(underlyingSwap.getFixedLeg().getNthPayment(0).getFixedRate()) == Double
                        .doubleToLongBits(strike),
                "Strike not in line with underlying");
        ArgumentChecker.isTrue(isCall == underlyingSwap.getFixedLeg().isPayer(),
                "Call flag not in line with underlying");
        _underlyingSwap = underlyingSwap;
        _settlementTime = settlementTime;
        _isLong = isLong;
    }

    /**
     * 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.
     * @return The swaption.
     */
    public static SwaptionCashFixedIbor from(final double expiryTime,
            final SwapFixedCoupon<? extends Payment> underlyingSwap, final double settlementTime,
            final boolean isLong) {
        ArgumentChecker.notNull(underlyingSwap, "underlying swap");
        final double strike = underlyingSwap.getFixedLeg().getNthPayment(0).getFixedRate();
        // Implementation note: cash-settle swaptions underlying have the same rate on all coupons and standard conventions.
        return new SwaptionCashFixedIbor(expiryTime, strike, underlyingSwap, settlementTime,
                underlyingSwap.getFixedLeg().isPayer(), isLong);
    }

    /**
     * Gets the underlying swap.
     * @return The underlying swap.
     */
    public SwapFixedCoupon<? extends Payment> 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 _underlyingSwap.getFixedLeg().getNthPayment(_underlyingSwap.getFixedLeg().getNumberOfPayments() - 1)
                .getPaymentTime() - _settlementTime;
    }

    /**
     * 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.visitSwaptionCashFixedIbor(this, data);
    }

    @Override
    public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitSwaptionCashFixedIbor(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 SwaptionCashFixedIbor other = (SwaptionCashFixedIbor) 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;
    }

}