/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.definition;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.forex.derivative.ForexNonDeliverableForward;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing a foreign exchange non-deliverable forward transaction.
* The transaction is XXX/YYY where YYY is the currency for the cash-settlement. A NDF KRW/USD with USD cash settlement is stored with KRW as currency1 and USD as currency2.
*/
// TODO: Review: Should the transaction be stored as KRW/USD or USD/KRW?
// REVIEW: should we have a "fixing process" like we have for CouponIbor?
public class ForexNonDeliverableForwardDefinition implements InstrumentDefinition<InstrumentDerivative> {
/**
* First currency of the transaction.
*/
private final Currency _currency1;
/**
* Second currency of the transaction. The cash settlement is done in this currency.
*/
private final Currency _currency2;
/**
* Notional of the transaction (in currency2).
*/
private final double _notional;
/**
* The reference exchange rate for the settlement (1 currency2 = _rate * currency1).
*/
private final double _exchangeRate;
/**
* The exchange rate fixing date.
*/
private final ZonedDateTime _fixingDate;
/**
* The transaction payment or settlement date.
*/
private final ZonedDateTime _paymentDate;
/**
* Constructor.
* @param currency1 First currency of the transaction.
* @param currency2 Second currency of the transaction. The cash settlement is done in this currency.
* @param notional Notional of the transaction (in currency2).
* @param exchangeRate The reference exchange rate for the settlement (1 currency2 = _rate * currency1).
* @param fixingDate The exchange rate fixing date.
* @param paymentDate The transaction payment or settlement date.
*/
public ForexNonDeliverableForwardDefinition(final Currency currency1, final Currency currency2, final double notional, final double exchangeRate,
final ZonedDateTime fixingDate, final ZonedDateTime paymentDate) {
ArgumentChecker.notNull(currency1, "First currency");
ArgumentChecker.notNull(currency2, "Second currency");
ArgumentChecker.notNull(fixingDate, "Fixing date");
ArgumentChecker.notNull(paymentDate, "Payment date");
ArgumentChecker.isTrue(!paymentDate.isBefore(fixingDate), "Payment date should be on or after fixing date");
_currency1 = currency1;
_currency2 = currency2;
_notional = notional;
_exchangeRate = exchangeRate;
_fixingDate = fixingDate;
_paymentDate = paymentDate;
}
/**
* Gets the first currency of the transaction.
* @return The currency.
*/
public Currency getCurrency1() {
return _currency1;
}
/**
* Gets the second currency of the transaction. The cash settlement is done in this currency.
* @return The currency.
*/
public Currency getCurrency2() {
return _currency2;
}
/**
* Gets the notional of the transaction (in currency2).
* @return The notional.
*/
public double getNotional() {
return _notional;
}
/**
* Gets the reference exchange rate for the settlement.
* @return The rate.
*/
public double getExchangeRate() {
return _exchangeRate;
}
/**
* Gets The exchange rate fixing date.
* @return The date.
*/
public ZonedDateTime getFixingDate() {
return _fixingDate;
}
/**
* Gets The transaction payment (or settlement) date.
* @return The date.
*/
public ZonedDateTime getPaymentDate() {
return _paymentDate;
}
@Override
public ForexNonDeliverableForward toDerivative(final ZonedDateTime date) {
ArgumentChecker.isTrue(!date.isAfter(_fixingDate), "Date is after fixing date");
return new ForexNonDeliverableForward(_currency1, _currency2, _notional, _exchangeRate, TimeCalculator.getTimeBetween(date, _fixingDate),
TimeCalculator.getTimeBetween(date, _paymentDate));
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexNonDeliverableForwardDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexNonDeliverableForwardDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _currency1.hashCode();
result = prime * result + _currency2.hashCode();
long temp;
temp = Double.doubleToLongBits(_exchangeRate);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _fixingDate.hashCode();
temp = Double.doubleToLongBits(_notional);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _paymentDate.hashCode();
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 ForexNonDeliverableForwardDefinition other = (ForexNonDeliverableForwardDefinition) obj;
if (!ObjectUtils.equals(_currency1, other._currency1)) {
return false;
}
if (!ObjectUtils.equals(_currency2, other._currency2)) {
return false;
}
if (Double.doubleToLongBits(_exchangeRate) != Double.doubleToLongBits(other._exchangeRate)) {
return false;
}
if (!ObjectUtils.equals(_fixingDate, other._fixingDate)) {
return false;
}
if (!ObjectUtils.equals(_paymentDate, other._paymentDate)) {
return false;
}
if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
return false;
}
return true;
}
}