/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.bond;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction;
import com.opengamma.analytics.financial.interestrate.bond.provider.BillSecurityDiscountingMethod;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.ArgumentChecker;
/**
* Describes a (Treasury) Bill transaction.
*/
public class BillTransactionDefinition implements InstrumentDefinition<BillTransaction> {
/**
* The Bill security underlying the transaction.
*/
private final BillSecurityDefinition _underlying;
/**
* The bill quantity.
*/
private final double _quantity;
/**
* The date at which the bill transaction is settled.
*/
private final ZonedDateTime _settlementDate;
/**
* The amount paid at settlement date for the bill transaction. The amount is negative for a purchase (_quantity>0) and positive for a sell (_quantity<0).
*/
private final double _settlementAmount;
/**
* The method used to create
*/
private static final BillSecurityDiscountingMethod METHOD_BILL_SECURITY = BillSecurityDiscountingMethod.getInstance();
/**
* Constructor.
* @param underlying The Bill security underlying the transaction.
* @param quantity The bill quantity.
* @param settlementDate The date at which the bill transaction is settled.
* @param settlementAmount The amount paid at settlement date for the bill transaction. The amount is negative for a purchase (_quantity>0) and positive for a sell (_quantity<0).
*/
public BillTransactionDefinition(final BillSecurityDefinition underlying, final double quantity, final ZonedDateTime settlementDate, final double settlementAmount) {
ArgumentChecker.notNull(underlying, "Underlying");
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.isTrue(quantity * settlementAmount <= 0, "Quantity and settlement amount should have opposite signs");
_underlying = underlying;
_quantity = quantity;
_settlementDate = settlementDate;
_settlementAmount = settlementAmount;
}
/**
* Builder from the yield.
* @param underlying The Bill security underlying the transaction.
* @param quantity The bill quantity.
* @param settlementDate The date at which the bill transaction is settled.
* @param yield The transaction yield. The yield should be in the bill convention.
* @param calendar The holiday calendar
* @return The bill transaction.
*/
public static BillTransactionDefinition fromYield(final BillSecurityDefinition underlying, final double quantity, final ZonedDateTime settlementDate, final double yield,
final Calendar calendar) {
ArgumentChecker.notNull(underlying, "Underlying");
ArgumentChecker.notNull(settlementDate, "Settlement date");
final double accrualFactor = underlying.getDayCount().getDayCountFraction(settlementDate, underlying.getEndDate(), calendar);
final double settlementAmount = -quantity * underlying.getNotional() * METHOD_BILL_SECURITY.priceFromYield(underlying.getYieldConvention(), yield, accrualFactor);
return new BillTransactionDefinition(underlying, quantity, settlementDate, settlementAmount);
}
/**
* Gets the Bill security underlying the transaction.
* @return The bill.
*/
public BillSecurityDefinition getUnderlying() {
return _underlying;
}
/**
* Gets the bill quantity.
* @return The quantity.
*/
public double getQuantity() {
return _quantity;
}
/**
* Gets the date at which the bill transaction is settled.
* @return The date.
*/
public ZonedDateTime getSettlementDate() {
return _settlementDate;
}
/**
* Gets the amount paid at settlement date for the bill transaction.
* @return The amount.
*/
public double getSettlementAmount() {
return _settlementAmount;
}
@Override
public String toString() {
return "Transaction: " + _quantity + " of " + _underlying.toString();
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public BillTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
ArgumentChecker.notNull(date, "Reference date");
ArgumentChecker.notNull(yieldCurveNames, "Yield curve names");
final BillSecurity purchased = _underlying.toDerivative(date, _settlementDate, yieldCurveNames);
final BillSecurity standard = _underlying.toDerivative(date, yieldCurveNames);
final double amount = (_settlementDate.isBefore(date)) ? 0.0 : _settlementAmount;
return new BillTransaction(purchased, _quantity, amount, standard);
}
@Override
public BillTransaction toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "Reference date");
final BillSecurity purchased = _underlying.toDerivative(date, _settlementDate);
final BillSecurity standard = _underlying.toDerivative(date);
final double amount = (_settlementDate.isBefore(date)) ? 0.0 : _settlementAmount;
return new BillTransaction(purchased, _quantity, amount, standard);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBillTransactionDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBillTransactionDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
long temp;
temp = Double.doubleToLongBits(_quantity);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_settlementAmount);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _settlementDate.hashCode();
result = prime * result + _underlying.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final BillTransactionDefinition other = (BillTransactionDefinition) obj;
if (Double.doubleToLongBits(_quantity) != Double.doubleToLongBits(other._quantity)) {
return false;
}
if (Double.doubleToLongBits(_settlementAmount) != Double.doubleToLongBits(other._settlementAmount)) {
return false;
}
if (!ObjectUtils.equals(_settlementDate, other._settlementDate)) {
return false;
}
if (!ObjectUtils.equals(_underlying, other._underlying)) {
return false;
}
return true;
}
}