/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.bond;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.daycount.AccruedInterestCalculator;
import com.opengamma.util.ArgumentChecker;
/**
* Describes a transaction on a fixed coupon bond issue.
*/
public class BondFixedTransactionDefinition extends BondTransactionDefinition<PaymentFixedDefinition, CouponFixedDefinition> {
/**
* Accrued interest at settlement date.
*/
private double _accruedInterestAtSettlement;
/**
* Constructor of a fixed coupon bond transaction from all the transaction details.
* @param underlyingBond The fixed coupon bond underlying the transaction.
* @param quantity The number of bonds purchased (can be negative or positive).
* @param settlementDate Transaction settlement date.
* @param dirtyPrice The (dirty) price of the transaction in relative term (i.e. 0.90 if the dirty price is 90% of nominal).
*/
public BondFixedTransactionDefinition(final BondFixedSecurityDefinition underlyingBond, final double quantity, final ZonedDateTime settlementDate, final double dirtyPrice) {
super(underlyingBond, quantity, settlementDate, dirtyPrice);
_accruedInterestAtSettlement = 0;
final int nbCoupon = underlyingBond.getCoupons().getNumberOfPayments();
final double accruedInterest = AccruedInterestCalculator.getAccruedInterest(getUnderlyingBond().getDayCount(), getCouponIndex(), nbCoupon, getPreviousAccrualDate(),
settlementDate, getNextAccrualDate(), underlyingBond.getCoupons().getNthPayment(getCouponIndex()).getRate(), underlyingBond.getCouponPerYear(),
underlyingBond.isEOM());
if (underlyingBond.getExCouponDays() != 0 && getNextAccrualDate().minusDays(underlyingBond.getExCouponDays()).isBefore(settlementDate)) {
_accruedInterestAtSettlement = accruedInterest - underlyingBond.getCoupons().getNthPayment(getCouponIndex()).getRate();
} else {
_accruedInterestAtSettlement = accruedInterest;
}
}
/**
* Gets the accrued interest at transaction settlement.
* @return The accrued interest at settlement.
*/
public double getAccruedInterestAtSettlement() {
return _accruedInterestAtSettlement;
}
/**
* Gets the bond underlying the transaction.
* @return The underlying bond.
*/
@Override
public BondFixedSecurityDefinition getUnderlyingBond() {
return (BondFixedSecurityDefinition) super.getUnderlyingBond();
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public BondFixedTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
// Implementation note: First yield curve used for coupon and notional (credit), the second for risk free settlement.
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
ArgumentChecker.isTrue(yieldCurveNames.length > 0, "at least one curve required");
final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getUnderlyingBond().getSettlementDays(), getUnderlyingBond().getCalendar());
final BondFixedSecurity bondPurchase = getUnderlyingBond().toDerivative(date, getSettlementDate(), yieldCurveNames);
final BondFixedSecurity bondStandard = getUnderlyingBond().toDerivative(date, yieldCurveNames);
final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
int couponIndex = 0; // The index of the coupon of the spot date.
for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
couponIndex = loopcpn;
break;
}
}
final double notionalStandard = getUnderlyingBond().getCoupons().getNthPayment(couponIndex).getNotional();
double price;
if (getSettlementDate().isBefore(date)) { // If settlement already took place, the price is set to 0.
price = 0.0;
} else {
price = getPrice();
}
final BondFixedTransaction result = new BondFixedTransaction(bondPurchase, getQuantity(), price, bondStandard, notionalStandard);
return result;
}
@Override
public BondFixedTransaction toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "date");
final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getUnderlyingBond().getSettlementDays(), getUnderlyingBond().getCalendar());
final BondFixedSecurity bondPurchase = getUnderlyingBond().toDerivative(date, getSettlementDate());
final BondFixedSecurity bondStandard = getUnderlyingBond().toDerivative(date);
final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
int couponIndex = 0; // The index of the coupon of the spot date.
for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
couponIndex = loopcpn;
break;
}
}
final double notionalStandard = getUnderlyingBond().getCoupons().getNthPayment(couponIndex).getNotional();
double price;
if (getSettlementDate().isBefore(date)) { // If settlement already took place, the price is set to 0.
price = 0.0;
} else {
price = getPrice();
}
final BondFixedTransaction result = new BondFixedTransaction(bondPurchase, getQuantity(), price, bondStandard, notionalStandard);
return result;
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFixedTransactionDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFixedTransactionDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_accruedInterestAtSettlement);
result = prime * result + (int) (temp ^ (temp >>> 32));
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 BondFixedTransactionDefinition other = (BondFixedTransactionDefinition) obj;
if (Double.doubleToLongBits(_accruedInterestAtSettlement) != Double.doubleToLongBits(other._accruedInterestAtSettlement)) {
return false;
}
return true;
}
}