/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.credit;
import java.util.Set;
import org.threeten.bp.DayOfWeek;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Month;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.ChronoUnit;
import org.threeten.bp.temporal.Temporal;
import org.threeten.bp.temporal.TemporalAdjuster;
import org.threeten.bp.temporal.TemporalAdjusters;
import com.google.common.collect.ImmutableSet;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition;
import com.opengamma.financial.analytics.ircurve.NextExpiryAdjuster;
import com.opengamma.util.time.Tenor;
/**
*
*/
public class IMMDateGenerator {
private static final NextExpiryAdjuster IMM_ADJUSTER = new NextExpiryAdjuster(TemporalAdjusters.dayOfWeekInMonth(3, DayOfWeek.WEDNESDAY));
private static final Set<Month> IMM_MONTHS = ImmutableSet.of(Month.MARCH, Month.JUNE, Month.SEPTEMBER, Month.DECEMBER);
private static final int TWENTIETH = 20;
public static ZonedDateTime getNextIMMDate(final ZonedDateTime date, final Tenor tenor) {
// If 19th of month (IMM date - 1 day) we need to cycle to next IMM period, as effective date of trade on date t is t + 1
final ZonedDateTime dateWithTradeAdjustment = ((isIMMDate(date) && date.getDayOfMonth() == TWENTIETH - 1)) ? ZonedDateTime.from(date).plusDays(1) : ZonedDateTime.from(date);
final ZonedDateTime nextIMMDate = ZonedDateTime.from(IMM_ADJUSTER.adjustInto(dateWithTradeAdjustment)).withDayOfMonth(TWENTIETH); // must be 20th
return nextIMMDate.plus(tenor.getPeriod());
}
public static LocalDate getPreviousIMMDate(final LocalDate date) {
final TemporalAdjuster adjuster = new TemporalAdjuster() {
@Override
public Temporal adjustInto(final Temporal temporal) {
Temporal adjusted = temporal;
do {
adjusted = adjusted.minus(1, ChronoUnit.MONTHS);
} while (!IMM_MONTHS.contains(Month.from(adjusted)));
return adjusted;
}
};
return date.with(adjuster);
}
public static LegacyVanillaCreditDefaultSwapDefinition cdsModifiedForIMM(final ZonedDateTime now, LegacyVanillaCreditDefaultSwapDefinition cds) {
if (!isIMMDate(cds.getMaturityDate())) {
cds = cds.withStartDate(now);
}
return cds;
}
public static boolean isIMMDate(final ZonedDateTime date) {
return IMM_MONTHS.contains(date.getMonth());
}
}