/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.convention;
import org.threeten.bp.LocalDate;
import org.threeten.bp.temporal.TemporalAdjuster;
import org.threeten.bp.temporal.TemporalAdjusters;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public final class FedFundFutureAndFutureOptionMonthlyExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator {
/** Name of the calculator */
public static final String NAME = "FedFundFutureAndFutureOptionMonthlyExpiryCalculator";
private static final TemporalAdjuster EOM_ADJUSTER = TemporalAdjusters.lastDayOfMonth();
private static final int WORKING_DAYS_TO_SETTLE = 2;
private static final FedFundFutureAndFutureOptionMonthlyExpiryCalculator INSTANCE = new FedFundFutureAndFutureOptionMonthlyExpiryCalculator();
public static FedFundFutureAndFutureOptionMonthlyExpiryCalculator getInstance() {
return INSTANCE;
}
private FedFundFutureAndFutureOptionMonthlyExpiryCalculator() {
}
@Override
public LocalDate getExpiryDate(final int n, final LocalDate today, final Calendar holidayCalendar) {
ArgumentChecker.isTrue(n > 0, "n must be greater than zero");
ArgumentChecker.notNull(today, "today");
ArgumentChecker.notNull(holidayCalendar, "holiday calendar");
final LocalDate result = today.plusMonths(n - 1).with(EOM_ADJUSTER);
return adjustForSettlement(result, holidayCalendar);
}
@Override
public LocalDate getExpiryMonth(final int n, final LocalDate today) {
ArgumentChecker.isTrue(n > 0, "n must be greater than zero");
ArgumentChecker.notNull(today, "today");
return today.plusMonths(n - 1);
}
@Override
public String getName() {
return NAME;
}
private LocalDate adjustForSettlement(final LocalDate date, final Calendar holidayCalendar) {
int days = 0;
LocalDate result = date;
while (days < WORKING_DAYS_TO_SETTLE) {
result = result.minusDays(1);
if (holidayCalendar.isWorkingDay(result)) {
days++;
}
}
return result;
}
}