/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.swap;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborSpreadDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapIborIbor;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
* Class describing a Ibor+Spread for Ibor+Spread payments swap. The two legs should be in the same currency.
*/
public class SwapIborIborDefinition extends SwapDefinition {
/**
* Constructor of the ibor-ibor swap from its two legs.
* @param firstLeg The first Ibor leg.
* @param secondLeg The second Ibor leg.
*/
public SwapIborIborDefinition(final AnnuityCouponIborSpreadDefinition firstLeg, final AnnuityCouponIborSpreadDefinition secondLeg) {
super(firstLeg, secondLeg);
ArgumentChecker.isTrue(firstLeg.getCurrency() == secondLeg.getCurrency(), "legs should have the same currency");
}
public static SwapIborIborDefinition from(final AnnuityCouponIborSpreadDefinition firstLeg, final AnnuityCouponIborSpreadDefinition secondLeg) {
return new SwapIborIborDefinition(firstLeg, secondLeg);
}
public static SwapIborIborDefinition from(final AnnuityCouponIborDefinition firstLeg, final AnnuityCouponIborSpreadDefinition secondLeg) {
return new SwapIborIborDefinition(AnnuityCouponIborSpreadDefinition.from(firstLeg), secondLeg);
}
public static SwapIborIborDefinition from(final AnnuityCouponIborSpreadDefinition firstLeg, final AnnuityCouponIborDefinition secondLeg) {
return new SwapIborIborDefinition(firstLeg, AnnuityCouponIborSpreadDefinition.from(secondLeg));
}
public static SwapIborIborDefinition from(final AnnuityCouponIborDefinition firstLeg, final AnnuityCouponIborDefinition secondLeg) {
return new SwapIborIborDefinition(AnnuityCouponIborSpreadDefinition.from(firstLeg), AnnuityCouponIborSpreadDefinition.from(secondLeg));
}
/**
* Builder from the settlement date and a generator. Both legs have the same notional.
* @param settlementDate The settlement date.
* @param tenor The swap tenor.
* @param generator The Ibor/Ibor swap generator.
* @param notional The swap notional.
* @param spread The spread to be applied to the first leg.
* @param isPayer The payer flag for the first leg.
* @return The swap.
*/
public static SwapIborIborDefinition from(final ZonedDateTime settlementDate, final Period tenor, final GeneratorSwapIborIbor generator, final double notional, final double spread,
final boolean isPayer) {
ArgumentChecker.notNull(settlementDate, "settlement date");
ArgumentChecker.notNull(tenor, "Tenor");
ArgumentChecker.notNull(generator, "Swap generator");
final AnnuityCouponIborSpreadDefinition firstLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, tenor, notional, generator.getIborIndex1(), spread, isPayer, generator.getCalendar1());
final AnnuityCouponIborSpreadDefinition secondLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, tenor, notional, generator.getIborIndex2(), 0.0, !isPayer, generator.getCalendar2());
return new SwapIborIborDefinition(firstLeg, secondLeg);
}
/**
* The Ibor-leg with no spread.
* @return The annuity.
*/
@Override
public AnnuityCouponIborSpreadDefinition getFirstLeg() {
return (AnnuityCouponIborSpreadDefinition) super.getFirstLeg();
}
/**
* The Ibor-leg with the spread.
* @return The annuity.
*/
@Override
public AnnuityCouponIborSpreadDefinition getSecondLeg() {
return (AnnuityCouponIborSpreadDefinition) super.getSecondLeg();
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwapIborIborDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwapIborIborDefinition(this);
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public Swap<Coupon, Coupon> toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
final String[] firstLegCurveNames = new String[] {yieldCurveNames[0], yieldCurveNames[1] };
final String[] secondLegCurveNames = new String[] {yieldCurveNames[0], yieldCurveNames[2] };
final Annuity<Coupon> firstLeg = getFirstLeg().toDerivative(date, firstLegCurveNames);
final Annuity<Coupon> secondLeg = getSecondLeg().toDerivative(date, secondLegCurveNames);
return new Swap<>(firstLeg, secondLeg);
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public Swap<Coupon, Coupon> toDerivative(final ZonedDateTime date, final ZonedDateTimeDoubleTimeSeries[] indexDataTS, final String... yieldCurveNames) {
ArgumentChecker.notNull(indexDataTS, "index data time series array");
ArgumentChecker.isTrue(indexDataTS.length > 1, "index data time series must contain at least two elements");
final String[] firstLegCurveNames = new String[] {yieldCurveNames[0], yieldCurveNames[1] };
final String[] secondLegCurveNames = new String[] {yieldCurveNames[0], yieldCurveNames[2] };
final Annuity<Coupon> firstLeg = getFirstLeg().toDerivative(date, indexDataTS[0], firstLegCurveNames);
final Annuity<Coupon> secondLeg = getSecondLeg().toDerivative(date, indexDataTS[1], secondLegCurveNames);
return new Swap<>(firstLeg, secondLeg);
}
@Override
public Swap<Coupon, Coupon> toDerivative(final ZonedDateTime date) {
final Annuity<Coupon> firstLeg = getFirstLeg().toDerivative(date);
final Annuity<Coupon> secondLeg = getSecondLeg().toDerivative(date);
return new Swap<>(firstLeg, secondLeg);
}
@Override
public Swap<Coupon, Coupon> toDerivative(final ZonedDateTime date, final ZonedDateTimeDoubleTimeSeries[] indexDataTS) {
ArgumentChecker.notNull(indexDataTS, "index data time series array");
ArgumentChecker.isTrue(indexDataTS.length > 1, "index data time series must contain at least two elements");
final Annuity<Coupon> firstLeg = getFirstLeg().toDerivative(date, indexDataTS[0]);
final Annuity<Coupon> secondLeg = getSecondLeg().toDerivative(date, indexDataTS[1]);
return new Swap<>(firstLeg, secondLeg);
}
}