/**
* Copyright (C) 2014 - 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.NotImplementedException;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentDefinition;
import com.opengamma.analytics.financial.instrument.swap.TotalReturnSwapDefinition;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillTotalReturnSwap;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondTotalReturnSwap;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
* Description of a total return swap with an underlying bill and a funding leg.
* The TRS asset leg pays on the termination date ``all-in'' value of the bill.
*/
public class BillTotalReturnSwapDefinition extends TotalReturnSwapDefinition {
/** The quantity of the bill reference in the TRS. Can be negative or positive. */
private final double _quantity;
/**
* Constructor of the bill total return swap.
* @param effectiveDate The effective date.
* @param terminationDate The termination date.
* @param annuity The funding leg, not null
* @param bill The bill. Not null.
* @param quantity The quantity of the bill referenced in the TRS. Can be negative or positive.
*/
public BillTotalReturnSwapDefinition(final ZonedDateTime effectiveDate, final ZonedDateTime terminationDate,
final AnnuityDefinition<? extends PaymentDefinition> annuity,
final BillSecurityDefinition bill, final double quantity) {
super(effectiveDate, terminationDate, annuity, bill);
_quantity = quantity;
}
/**
* Gets the bill underlying the TRS.
* @return The bill.
*/
@Override
public BillSecurityDefinition getAsset() {
return (BillSecurityDefinition) super.getAsset();
}
/**
* Returns the bill quantity.
* @return The quantity.
*/
public double getQuantity() {
return _quantity;
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBillTotalReturnSwapDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBillTotalReturnSwapDefinition(this);
}
@Override
public BillTotalReturnSwap toDerivative(final ZonedDateTime date, final ZonedDateTimeDoubleTimeSeries data) {
final double effectiveTime = TimeCalculator.getTimeBetween(date, getEffectiveDate());
final double terminationTime = TimeCalculator.getTimeBetween(date, getTerminationDate());
final Annuity<? extends Payment> fundingLeg = getFundingLeg().toDerivative(date, data);
BillSecurity bill = getAsset().toDerivative(date, getEffectiveDate());
return new BillTotalReturnSwap(effectiveTime, terminationTime, fundingLeg, bill, _quantity);
}
@Override
public BillTotalReturnSwap toDerivative(final ZonedDateTime date) {
final double effectiveTime = TimeCalculator.getTimeBetween(date, getEffectiveDate());
final double terminationTime = TimeCalculator.getTimeBetween(date, getTerminationDate());
final Annuity<? extends Payment> fundingLeg = getFundingLeg().toDerivative(date);
BillSecurity bill = getAsset().toDerivative(date, getEffectiveDate());
return new BillTotalReturnSwap(effectiveTime, terminationTime, fundingLeg, bill, _quantity);
}
}