/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
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.future.derivative.BondFuture;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumSecurity;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Description of an bond future option security with premium paid up-front (CBOT type). The option is of American type.
*/
public class BondFutureOptionPremiumSecurityDefinition implements InstrumentDefinition<BondFutureOptionPremiumSecurity> {
/**
* Underlying future security.
*/
private final BondFutureDefinition _underlyingFuture;
/**
* Expiration date.
*/
private final ZonedDateTime _expirationDate;
/**
* Cap (true) / floor (false) flag.
*/
private final boolean _isCall;
/**
* Strike price.
*/
private final double _strike;
/**
* Constructor of the option future from the details.
* @param underlyingFuture The underlying future security.
* @param expirationDate The expiration date.
* @param strike The option strike.
* @param isCall The call (true) / put (false) flag.
*/
public BondFutureOptionPremiumSecurityDefinition(final BondFutureDefinition underlyingFuture, final ZonedDateTime expirationDate, final double strike, final boolean isCall) {
ArgumentChecker.notNull(underlyingFuture, "underlying future");
ArgumentChecker.notNull(expirationDate, "expiration");
_underlyingFuture = underlyingFuture;
_expirationDate = expirationDate;
_strike = strike;
_isCall = isCall;
}
/**
* Gets the underlying future security.
* @return The underlying future security.
*/
public BondFutureDefinition getUnderlyingFuture() {
return _underlyingFuture;
}
/**
* Gets the expiration date.
* @return The expiration date.
*/
public ZonedDateTime getExpirationDate() {
return _expirationDate;
}
/**
* Gets the notional.
* @return The notional.
*/
public double getNotional() {
return _underlyingFuture.getNotional();
}
/**
* Gets the cap (true) / floor (false) flag.
* @return The cap/floor flag.
*/
public boolean isCall() {
return _isCall;
}
/**
* Gets the option strike.
* @return The option strike.
*/
public double getStrike() {
return _strike;
}
/**
* The future option currency.
* @return The currency.
*/
public Currency getCurrency() {
return _underlyingFuture.getCurrency();
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public BondFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
final Double referencePrice = 0.0; // FIXME Bond future should have a "Security" version, without transaction price.
final BondFuture underlyingFuture = _underlyingFuture.toDerivative(date, referencePrice, yieldCurveNames);
final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
return new BondFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
}
@Override
public BondFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date) {
ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
final Double referencePrice = 0.0; // FIXME Bond future should have a "Security" version, without transaction price.
final BondFuture underlyingFuture = _underlyingFuture.toDerivative(date, referencePrice);
final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
return new BondFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFutureOptionPremiumSecurityDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFutureOptionPremiumSecurityDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _expirationDate.hashCode();
result = prime * result + (_isCall ? 1231 : 1237);
long temp;
temp = Double.doubleToLongBits(_strike);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _underlyingFuture.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 BondFutureOptionPremiumSecurityDefinition other = (BondFutureOptionPremiumSecurityDefinition) obj;
if (!ObjectUtils.equals(_expirationDate, other._expirationDate)) {
return false;
}
if (_isCall != other._isCall) {
return false;
}
if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
return false;
}
if (!ObjectUtils.equals(_underlyingFuture, other._underlyingFuture)) {
return false;
}
return true;
}
}