/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
import java.util.Arrays;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionWithData;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Description of a bond future (definition version).
*/
public class BondFutureDefinition implements InstrumentDefinitionWithData<BondFuture, Double> {
/**
* The last trading date.
*/
private final ZonedDateTime _tradingLastDate;
/**
* The first notice date.
*/
private final ZonedDateTime _noticeFirstDate;
/**
* The last notice date.
*/
private final ZonedDateTime _noticeLastDate;
/**
* The first delivery date. It is the first notice date plus the settlement days.
*/
private final ZonedDateTime _deliveryFirstDate;
/**
* The last delivery date. It is the last notice date plus the settlement days.
*/
private final ZonedDateTime _deliveryLastDate;
/**
* The number of days between notice date and delivery date.
*/
private final int _settlementDays;
/**
* The basket of deliverable bonds.
*/
private final BondFixedSecurityDefinition[] _deliveryBasket;
/**
* The conversion factor of each bond in the basket.
*/
private final double[] _conversionFactor;
/**
* The notional of the bond future (also called face value or contract value).
*/
private final double _notional;
/**
* Constructor from the trading and notice dates and the basket.
* @param tradingLastDate The last trading date.
* @param noticeFirstDate The first notice date.
* @param noticeLastDate The last notice date.
* @param notional The bond future notional.
* @param deliveryBasket The basket of deliverable bonds.
* @param conversionFactor The conversion factor of each bond in the basket.
*/
public BondFutureDefinition(final ZonedDateTime tradingLastDate, final ZonedDateTime noticeFirstDate, final ZonedDateTime noticeLastDate, final double notional,
final BondFixedSecurityDefinition[] deliveryBasket, final double[] conversionFactor) {
ArgumentChecker.notNull(tradingLastDate, "Last trading date");
ArgumentChecker.notNull(noticeFirstDate, "First notice date");
ArgumentChecker.notNull(noticeLastDate, "Last notice date");
ArgumentChecker.notNull(deliveryBasket, "Delivery basket");
ArgumentChecker.notNull(conversionFactor, "Conversion factor");
ArgumentChecker.isTrue(deliveryBasket.length > 0, "At least one bond in basket");
ArgumentChecker.isTrue(deliveryBasket.length == conversionFactor.length, "Conversion factor size");
_tradingLastDate = tradingLastDate;
_noticeFirstDate = noticeFirstDate;
_noticeLastDate = noticeLastDate;
_notional = notional;
_deliveryBasket = deliveryBasket;
_conversionFactor = conversionFactor;
_settlementDays = _deliveryBasket[0].getSettlementDays();
final Calendar calendar = _deliveryBasket[0].getCalendar();
_deliveryFirstDate = ScheduleCalculator.getAdjustedDate(_noticeFirstDate, _settlementDays, calendar);
_deliveryLastDate = ScheduleCalculator.getAdjustedDate(_noticeLastDate, _settlementDays, calendar);
}
/**
* Gets the last trading date.
* @return The last trading date.
*/
public ZonedDateTime getTradingLastDate() {
return _tradingLastDate;
}
/**
* Gets the first notice date.
* @return The first notice date.
*/
public ZonedDateTime getNoticeFirstDate() {
return _noticeFirstDate;
}
/**
* Gets the last notice date.
* @return The last notice date.
*/
public ZonedDateTime getNoticeLastDate() {
return _noticeLastDate;
}
/**
* Gets the first delivery date. It is the first notice date plus the settlement days.
* @return The first delivery date.
*/
public ZonedDateTime getDeliveryFirstDate() {
return _deliveryFirstDate;
}
/**
* Gets the last delivery date. It is the last notice date plus the settlement days.
* @return The last delivery date.
*/
public ZonedDateTime getDeliveryLastDate() {
return _deliveryLastDate;
}
/**
* Gets the number of days between notice date and delivery date.
* @return The number of days between notice date and delivery date.
*/
public int getSettlementDays() {
return _settlementDays;
}
/**
* Gets the notional.
* @return The notional.
*/
public double getNotional() {
return _notional;
}
/**
* Gets the basket of deliverable bonds.
* @return The basket of deliverable bonds.
*/
public BondFixedSecurityDefinition[] getDeliveryBasket() {
return _deliveryBasket;
}
/**
* Gets the conversion factor of each bond in the basket.
* @return The conversion factors.
*/
public double[] getConversionFactor() {
return _conversionFactor;
}
/**
* The future currency.
* @return The currency.
*/
public Currency getCurrency() {
return _deliveryBasket[0].getCurrency();
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public BondFuture toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
throw new UnsupportedOperationException("The method toDerivative of " + getClass().getSimpleName()
+ " does not support the two argument method (without margin price data).");
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public BondFuture toDerivative(final ZonedDateTime valDate, final Double referencePrice, final String... yieldCurveNames) {
ArgumentChecker.notNull(valDate, "valDate must always be provided to form a Derivative from a Definition");
ArgumentChecker.isTrue(!valDate.isAfter(getDeliveryLastDate()), "Valuation date is after last delivery date");
ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
ArgumentChecker.isTrue(yieldCurveNames.length > 1, "at least two curves required");
final double lastTradingTime = TimeCalculator.getTimeBetween(valDate, getTradingLastDate());
final double firstNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeFirstDate());
final double lastNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeLastDate());
final double firstDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryFirstDate());
final double lastDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryLastDate());
final BondFixedSecurity[] basket = new BondFixedSecurity[_deliveryBasket.length];
for (int loopbasket = 0; loopbasket < _deliveryBasket.length; loopbasket++) {
basket[loopbasket] = _deliveryBasket[loopbasket].toDerivative(valDate, _deliveryLastDate, yieldCurveNames);
}
final BondFuture futureDeriv = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime, firstDeliveryTime, lastDeliveryTime, _notional, basket,
_conversionFactor, referencePrice);
return futureDeriv;
}
@Override
public BondFuture toDerivative(final ZonedDateTime date) {
throw new UnsupportedOperationException("The method toDerivative of " + getClass().getSimpleName()
+ " does not support the two argument method (without margin price data).");
}
@Override
public BondFuture toDerivative(final ZonedDateTime valDate, final Double referencePrice) {
ArgumentChecker.notNull(valDate, "valDate must always be provided to form a Derivative from a Definition");
ArgumentChecker.isTrue(!valDate.isAfter(getDeliveryLastDate()), "Valuation date is after last delivery date");
final double lastTradingTime = TimeCalculator.getTimeBetween(valDate, getTradingLastDate());
final double firstNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeFirstDate());
final double lastNoticeTime = TimeCalculator.getTimeBetween(valDate, getNoticeLastDate());
final double firstDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryFirstDate());
final double lastDeliveryTime = TimeCalculator.getTimeBetween(valDate, getDeliveryLastDate());
final BondFixedSecurity[] basket = new BondFixedSecurity[_deliveryBasket.length];
for (int loopbasket = 0; loopbasket < _deliveryBasket.length; loopbasket++) {
basket[loopbasket] = _deliveryBasket[loopbasket].toDerivative(valDate, _deliveryLastDate);
}
final BondFuture futureDeriv = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime, firstDeliveryTime, lastDeliveryTime, _notional, basket,
_conversionFactor, referencePrice);
return futureDeriv;
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFutureDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFutureDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + Arrays.hashCode(_conversionFactor);
result = prime * result + Arrays.hashCode(_deliveryBasket);
result = prime * result + _deliveryFirstDate.hashCode();
result = prime * result + _deliveryLastDate.hashCode();
result = prime * result + _noticeFirstDate.hashCode();
result = prime * result + _noticeLastDate.hashCode();
long temp;
temp = Double.doubleToLongBits(_notional);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _settlementDays;
result = prime * result + _tradingLastDate.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 BondFutureDefinition other = (BondFutureDefinition) obj;
if (!Arrays.equals(_conversionFactor, other._conversionFactor)) {
return false;
}
if (!Arrays.equals(_deliveryBasket, other._deliveryBasket)) {
return false;
}
if (!ObjectUtils.equals(_noticeFirstDate, other._noticeFirstDate)) {
return false;
}
if (!ObjectUtils.equals(_noticeLastDate, other._noticeLastDate)) {
return false;
}
if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
return false;
}
if (!ObjectUtils.equals(_tradingLastDate, other._tradingLastDate)) {
return false;
}
return true;
}
}