/**
* 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 java.util.EnumSet;
import java.util.Set;
import org.threeten.bp.DayOfWeek;
import org.threeten.bp.Month;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.TemporalAdjuster;
import org.threeten.bp.temporal.TemporalAdjusters;
import com.opengamma.util.ArgumentChecker;
/**
* Utilities related to interest rate futures and their dates.
*/
public class InterestRateFuturesUtils {
/**
* Adjuster to the third Wednesday of a given month (most used reference date for interest rate futures).
*/
private static final TemporalAdjuster THIRD_WED = TemporalAdjusters.dayOfWeekInMonth(3, DayOfWeek.WEDNESDAY);
/**
* The IMM Expiry months
*/
private static final Set<Month> FUTURES_QUARTERS = EnumSet.of(Month.MARCH, Month.JUNE, Month.SEPTEMBER, Month.DECEMBER);
/**
* Moves the date to the next IMM quarter month (at least one month in the future). The returned date is the same date in the month as the initial date.
* @param date The reference date (as a ZonedDateTime).
* @return The date in the next quarterly month.
*/
public static ZonedDateTime nextQuarter(final ZonedDateTime date) {
ZonedDateTime result = date;
do {
result = result.plusMonths(1);
} while (!FUTURES_QUARTERS.contains(result.getMonth()));
return result;
}
/**
* Returns the next third Wednesday of a IMM quarterly month.
* @param date The reference date.
* @return The next quarterly date.
*/
public static ZonedDateTime nextQuarterlyDate(final ZonedDateTime date) {
if (FUTURES_QUARTERS.contains(date.getMonth()) && date.with(THIRD_WED).isAfter(date)) { // in a quarter
return date.with(THIRD_WED);
}
return nextQuarter(date).with(THIRD_WED);
}
/**
* Returns the n-th next third Wednesday of a IMM quarterly month.
* @param nthFuture The number of the future. Should be >=1.
* @param date The reference date.
* @return The next quarterly date.
*/
public static ZonedDateTime nextQuarterlyDate(final int nthFuture, final ZonedDateTime date) {
ArgumentChecker.isTrue(nthFuture > 0, "nthFuture must be greater than 0.");
ZonedDateTime result = nextQuarterlyDate(date);
for (int loopfut = 1; loopfut < nthFuture; loopfut++) {
result = nextQuarterlyDate(result);
}
return result;
}
}