/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.swaption;
import java.util.Arrays;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionBermudaFixedIbor;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.ArgumentChecker;
/**
* Class describing a Bermuda swaption on vanilla swaps with physical delivery.
*/
public class SwaptionBermudaFixedIborDefinition implements InstrumentDefinition<SwaptionBermudaFixedIbor> {
/**
* The swaps underlying the swaption. There is one swap for each expiration date.
* The swap do not need to be identical; this allow to incorporate fees or changing margins in the description.
*/
private final SwapFixedIborDefinition[] _underlyingSwap;
/**
* Flag indicating if the option is long (true) or short (false).
*/
private final boolean _isLong;
/**
* The swaption expiration dates.
*/
private final ZonedDateTime[] _expiryDate;
/**
* Constructor for the Bermuda swaption.
* @param underlyingSwap The swaps underlying the swaption. There is one swap for each expiration date.
* @param isLong Flag indicating if the option is long (true) or short (false).
* @param expiryDate The swaption expiration dates.
*/
public SwaptionBermudaFixedIborDefinition(final SwapFixedIborDefinition[] underlyingSwap, final boolean isLong, final ZonedDateTime[] expiryDate) {
ArgumentChecker.notNull(expiryDate, "expiry date");
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
ArgumentChecker.isTrue(underlyingSwap.length == expiryDate.length, "Number of swaps not in line with number of expiry dates");
this._underlyingSwap = underlyingSwap;
this._isLong = isLong;
this._expiryDate = expiryDate;
}
/**
* Creates a Bermudan swaption from a unique swap and the expiry dates. For each expiry dates, a exercise swap with the coupon that start on or
* after the exercise date is created.
* @param underlyingTotalSwap The underlying swap.
* @param isLong Flag indicating if the option is long (true) or short (false).
* @param expiryDate The swaption expiration dates.
* @return The Bermuda swaption.
*/
public static SwaptionBermudaFixedIborDefinition from(final SwapFixedIborDefinition underlyingTotalSwap, final boolean isLong, final ZonedDateTime[] expiryDate) {
ArgumentChecker.notNull(expiryDate, "expiry date");
ArgumentChecker.notNull(underlyingTotalSwap, "underlying swap");
final int nbExpiry = underlyingTotalSwap.getFixedLeg().getNumberOfPayments();
ArgumentChecker.isTrue(expiryDate.length == nbExpiry, "Number of expiries provided {} did not match the number of fixed payments of underlying swap {}", expiryDate.length, nbExpiry);
final SwapFixedIborDefinition[] underlyingSwaps = new SwapFixedIborDefinition[nbExpiry];
for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
underlyingSwaps[loopexp] = underlyingTotalSwap.trimStart(expiryDate[loopexp]);
}
return new SwaptionBermudaFixedIborDefinition(underlyingSwaps, isLong, expiryDate);
}
/**
* Gets the swaps underlying the swaption. There is one swap for each expiration date.
* @return The underlying swaps.
*/
public SwapFixedIborDefinition[] getUnderlyingSwap() {
return _underlyingSwap;
}
/**
* Gets the flag indicating if the option is long (true) or short (false).
* @return The flag.
*/
public boolean isLong() {
return _isLong;
}
/**
* Gets the swaption expiration dates.
* @return The swaption expiration dates.
*/
public ZonedDateTime[] getExpiryDate() {
return _expiryDate;
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public SwaptionBermudaFixedIbor toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
final int nbExpiry = _expiryDate.length;
final double[] expiryTime = new double[nbExpiry];
final double[] settleTime = new double[nbExpiry];
@SuppressWarnings("unchecked")
final SwapFixedCoupon<Coupon>[] expirySwap = new SwapFixedCoupon[nbExpiry];
for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
expiryTime[loopexp] = TimeCalculator.getTimeBetween(date, _expiryDate[loopexp]);
expirySwap[loopexp] = _underlyingSwap[loopexp].toDerivative(date, yieldCurveNames);
settleTime[loopexp] = TimeCalculator.getTimeBetween(date, _underlyingSwap[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
}
return new SwaptionBermudaFixedIbor(expirySwap, _isLong, expiryTime, settleTime);
}
@Override
public SwaptionBermudaFixedIbor toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "date");
final int nbExpiry = _expiryDate.length;
final double[] expiryTime = new double[nbExpiry];
final double[] settleTime = new double[nbExpiry];
@SuppressWarnings("unchecked")
final SwapFixedCoupon<Coupon>[] expirySwap = new SwapFixedCoupon[nbExpiry];
for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
expiryTime[loopexp] = TimeCalculator.getTimeBetween(date, _expiryDate[loopexp]);
expirySwap[loopexp] = _underlyingSwap[loopexp].toDerivative(date);
settleTime[loopexp] = TimeCalculator.getTimeBetween(date, _underlyingSwap[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
}
return new SwaptionBermudaFixedIbor(expirySwap, _isLong, expiryTime, settleTime);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwaptionBermudaFixedIborDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwaptionBermudaFixedIborDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + Arrays.hashCode(_expiryDate);
result = prime * result + (_isLong ? 1231 : 1237);
result = prime * result + Arrays.hashCode(_underlyingSwap);
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final SwaptionBermudaFixedIborDefinition other = (SwaptionBermudaFixedIborDefinition) obj;
if (!Arrays.equals(_expiryDate, other._expiryDate)) {
return false;
}
if (_isLong != other._isLong) {
return false;
}
if (!Arrays.equals(_underlyingSwap, other._underlyingSwap)) {
return false;
}
return true;
}
}