/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.index;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class GeneratorBondFixed extends GeneratorInstrument<GeneratorAttribute> {
/**
* The underlying fixed bond security.
*/
private final BondFixedSecurityDefinition _security;
/**
* Constructor.
* @param name Generator name.
* @param security The underlying fixed bond security.
*/
public GeneratorBondFixed(final String name, final BondFixedSecurityDefinition security) {
super(name);
ArgumentChecker.notNull(security, "Bond security");
_security = security;
}
@Override
/**
* Generate a fixed bond transaction from the fixed bond marquetQuote which is clean price .
*/
public BondFixedTransactionDefinition generateInstrument(final ZonedDateTime date, final double marketQuote, final double notional, final GeneratorAttribute attribute) {
ArgumentChecker.notNull(date, "Reference date");
final int quantity = (int) Math.round(notional / _security.getNominal().getNthPayment(0).getReferenceAmount());
final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(date, _security.getSettlementDays(), _security.getCalendar());
final double accruedIntrerest = _security.accruedInterest(settleDate);
final double dirtyPrice = marketQuote + accruedIntrerest;
return new BondFixedTransactionDefinition(_security, quantity, settleDate, dirtyPrice);
}
}