/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
/**
* Replaces fixed rates in {@link InstrumentDerivative}s.
*/
public final class RateReplacingVisitor extends InstrumentDerivativeVisitorAdapter<Double, InstrumentDerivative> {
private static final RateReplacingVisitor INSTANCE = new RateReplacingVisitor();
public static RateReplacingVisitor getInstance() {
return INSTANCE;
}
private RateReplacingVisitor() {
}
@Override
public Cash visitCash(final Cash cash, final Double rate) {
return new Cash(cash.getCurrency(), cash.getStartTime(), cash.getEndTime(), cash.getNotional(), rate, cash.getAccrualFactor());
}
@Override
public AnnuityCouponFixed visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final Double rate) {
final CouponFixed[] payments = annuity.getPayments();
final int n = payments.length;
final CouponFixed[] temp = new CouponFixed[n];
for (int i = 0; i < n; i++) {
temp[i] = visitCouponFixed(payments[i], rate);
}
return new AnnuityCouponFixed(temp);
}
@Override
public CouponFixed visitCouponFixed(final CouponFixed payment, final Double rate) {
return new CouponFixed(payment.getCurrency(), payment.getPaymentTime(), payment.getPaymentYearFraction(), payment.getNotional(), rate,
payment.getAccrualStartDate(), payment.getAccrualEndDate());
}
@Override
public ForwardRateAgreement visitForwardRateAgreement(final ForwardRateAgreement fra, final Double rate) {
return new ForwardRateAgreement(fra.getCurrency(), fra.getPaymentTime(), fra.getPaymentYearFraction(), fra.getNotional(), fra.getIndex(), fra.getFixingTime(),
fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), rate);
}
@Override
public SwapFixedCoupon<?> visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final Double rate) {
return new SwapFixedCoupon<>(visitFixedCouponAnnuity(swap.getFixedLeg(), rate), swap.getSecondLeg());
}
@Override
public InterestRateFutureTransaction visitInterestRateFutureTransaction(final InterestRateFutureTransaction security, final Double rate) {
return new InterestRateFutureTransaction(security.getLastTradingTime(), security.getIborIndex(), security.getFixingPeriodStartTime(), security.getFixingPeriodEndTime(),
security.getFixingPeriodAccrualFactor(), 1 - rate, security.getNotional(), security.getPaymentAccrualFactor(), security.getQuantity(), security.getName());
}
@Override
public BondFixedSecurity visitBondFixedSecurity(final BondFixedSecurity bond, final Double rate) {
final double originalRate = bond.getCoupon().getNthPayment(0).getFixedRate();
final double accruedInterest = rate * bond.getAccruedInterest() / originalRate;
final AnnuityCouponFixed originalCoupons = (AnnuityCouponFixed) bond.getCoupon();
final AnnuityCouponFixed coupons = visitFixedCouponAnnuity(originalCoupons, rate);
return new BondFixedSecurity((AnnuityPaymentFixed) bond.getNominal(), coupons, bond.getSettlementTime(), accruedInterest, bond.getAccrualFactorToNextCoupon(), bond.getYieldConvention(),
bond.getCouponPerYear(), bond.getIssuer());
}
}