/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.bond;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity;
import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Describes a (Treasury) Bill security. A bills pays a fixed amount (notional) at a given date. There are no coupon or interest payments.
*/
public class BillSecurityDefinition implements InstrumentDefinition<BillSecurity> {
/**
* The bill currency.
*/
private final Currency _currency;
/**
* The bill end or maturity date.
*/
private final ZonedDateTime _endDate;
/**
* The bill nominal.
*/
private final double _notional;
/**
* The standard number of days between trade date and trade settlement. Used for price and yield computation.
*/
private final int _settlementDays;
/**
* The calendar used to compute the standard settlement date.
*/
private final Calendar _calendar;
/**
* The yield (to maturity) computation convention.
*/
private final YieldConvention _yieldConvention;
/**
* The yield day count convention.
*/
private final DayCount _dayCount;
/**
* The issuer.
*/
private final LegalEntity _issuer;
/**
* Constructor from all details with no information about the legal entity other than the issuer name.
* @param currency The bill currency.
* @param endDate The bill end or maturity date.
* @param notional The bill nominal.
* @param settlementDays The standard number of days between trade date and trade settlement.
* @param calendar The calendar used to compute the standard settlement date.
* @param yieldConvention The yield (to maturity) computation convention.
* @param dayCount The yield day count convention.
* @param issuer The bill issuer name.
*/
public BillSecurityDefinition(final Currency currency, final ZonedDateTime endDate, final double notional,
final int settlementDays, final Calendar calendar, final YieldConvention yieldConvention,
final DayCount dayCount, final String issuer) {
this(currency, endDate, notional, settlementDays, calendar, yieldConvention, dayCount,
new LegalEntity(null, issuer, null, null, null));
}
/**
* Constructor from all details.
* @param currency The bill currency.
* @param endDate The bill end or maturity date.
* @param notional The bill nominal.
* @param settlementDays The standard number of days between trade date and trade settlement.
* @param calendar The calendar used to compute the standard settlement date.
* @param yieldConvention The yield (to maturity) computation convention.
* @param dayCount The yield day count convention.
* @param issuer The bill issuer.
*/
public BillSecurityDefinition(final Currency currency, final ZonedDateTime endDate, final double notional,
final int settlementDays, final Calendar calendar, final YieldConvention yieldConvention,
final DayCount dayCount, final LegalEntity issuer) {
ArgumentChecker.notNull(currency, "Currency");
ArgumentChecker.notNull(endDate, "End date");
ArgumentChecker.notNull(calendar, "Calendar");
ArgumentChecker.notNull(yieldConvention, "Yield convention");
ArgumentChecker.notNull(dayCount, "Day count");
ArgumentChecker.notNull(issuer, "Issuer");
ArgumentChecker.isTrue(notional > 0.0, "Notional should be positive");
_currency = currency;
_endDate = endDate;
_notional = notional;
_settlementDays = settlementDays;
_calendar = calendar;
_issuer = issuer;
_yieldConvention = yieldConvention;
_dayCount = dayCount;
}
/**
* Get the bill currency.
* @return The currency.
*/
public Currency getCurrency() {
return _currency;
}
/**
* Gets the bill end or maturity date.
* @return The date.
*/
public ZonedDateTime getEndDate() {
return _endDate;
}
/**
* Gets the bill notional.
* @return The notional.
*/
public double getNotional() {
return _notional;
}
/**
* Gets the standard number of days between trade date and trade settlement. Used for price and yield computation.
* @return The number of days between trade date and trade settlement.
*/
public int getSettlementDays() {
return _settlementDays;
}
/**
* Gets the calendar used to compute the standard settlement date.
* @return The calendar.
*/
public Calendar getCalendar() {
return _calendar;
}
/**
* Gets the yield (to maturity) computation convention.
* @return The convention.
*/
public YieldConvention getYieldConvention() {
return _yieldConvention;
}
/**
* Gets the yield day count convention.
* @return The convention.
*/
public DayCount getDayCount() {
return _dayCount;
}
/**
* Gets the bill issuer name.
* @return The name.
*/
public String getIssuer() {
return _issuer.getShortName();
}
/**
* Gets the bill issuer.
* @return The name.
*/
public LegalEntity getIssuerEntity() {
return _issuer;
}
@Override
public String toString() {
return "Bill " + _issuer + " " + _currency + ": maturity " + _endDate.toString() + " - notional " + _notional;
}
/**
* Convert the "Definition" version to the "Derivative" version.
* @param date The reference date.
* @param settlementDate The bill settlement date.
* @param yieldCurveNames The yield curves names. [0] discounting curve, [1] credit curve.
* @return The bill security.
* @deprecated Use the version without yield curve names
*/
@Deprecated
public BillSecurity toDerivative(final ZonedDateTime date, final ZonedDateTime settlementDate, final String... yieldCurveNames) {
throw new UnsupportedOperationException(this.getClass().getCanonicalName());
}
/**
* Convert the "Definition" version to the "Derivative" version.
* @param date The reference date.
* @param settlementDate The bill settlement date.
* @return The bill security.
*/
public BillSecurity toDerivative(final ZonedDateTime date, final ZonedDateTime settlementDate) {
ArgumentChecker.notNull(date, "Reference date");
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.isTrue(!date.isAfter(_endDate), "Reference date {} is after end date {}", date, _endDate);
double settlementTime = TimeCalculator.getTimeBetween(date, settlementDate);
settlementTime = Math.max(settlementTime, 0.0);
final double endTime = TimeCalculator.getTimeBetween(date, _endDate);
final double accrualFactor = _dayCount.getDayCountFraction(settlementDate, _endDate, _calendar);
return new BillSecurity(_currency, settlementTime, endTime, _notional, _yieldConvention, accrualFactor, _issuer);
}
@Override
public BillSecurity toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "Reference date");
ArgumentChecker.isTrue(!date.isAfter(_endDate), "Reference date {} is after end date {}", date, _endDate);
ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(date, _settlementDays, _calendar);
settlementDate = (settlementDate.isAfter(_endDate)) ? _endDate : settlementDate;
return toDerivative(date, settlementDate);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBillSecurityDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBillSecurityDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _calendar.hashCode();
result = prime * result + _currency.hashCode();
result = prime * result + _dayCount.hashCode();
result = prime * result + _endDate.hashCode();
result = prime * result + _issuer.hashCode();
long temp;
temp = Double.doubleToLongBits(_notional);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _settlementDays;
result = prime * result + _yieldConvention.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof BillSecurityDefinition)) {
return false;
}
final BillSecurityDefinition other = (BillSecurityDefinition) obj;
if (!ObjectUtils.equals(_endDate, other._endDate)) {
return false;
}
if (!ObjectUtils.equals(_issuer, other._issuer)) {
return false;
}
if (!ObjectUtils.equals(_currency, other._currency)) {
return false;
}
if (!ObjectUtils.equals(_dayCount, other._dayCount)) {
return false;
}
if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
return false;
}
if (_settlementDays != other._settlementDays) {
return false;
}
if (!ObjectUtils.equals(_yieldConvention, other._yieldConvention)) {
return false;
}
if (!ObjectUtils.equals(_calendar, other._calendar)) {
return false;
}
return true;
}
}