/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.swap;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationZeroCoupon;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationDefinition;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.ArgumentChecker;
/**
* Class describing a zero-coupon inflation swap.
*/
public class SwapFixedInflationZeroCouponDefinition extends SwapDefinition {
/**
* Zero-coupon inflation swap constructor for the fixed and inflation coupons.
* @param fixedCpn The swap fixed leg.
* @param inflationCpn The swap inflation leg.
* @param calendar The holiday calendar
*/
public SwapFixedInflationZeroCouponDefinition(final CouponFixedCompoundingDefinition fixedCpn, final CouponInflationDefinition inflationCpn,
final Calendar calendar) {
super(new AnnuityDefinition<PaymentDefinition>(new CouponFixedCompoundingDefinition[] {fixedCpn }, calendar),
new AnnuityDefinition<PaymentDefinition>(new CouponInflationDefinition[] {inflationCpn }, calendar));
}
/**
* Builder from financial details and the time series of existing price index values.
* @param index The price index.
* @param settlementDate The swap settlement date.
* @param tenor The swap tenor in years.
* @param fixedRate The swap fixed rate (annual compounding). The fixed payment is (1+fixedRate)^tenor-1.
* @param notional The swap notional.
* @param isPayer The flag
* @param businessDayConvention The business day convention used to compute the payment date.
* @param calendar The calendar used to compute the payment date.
* @param endOfMonth The end-of-month convention used to compute the payment date.
* @param conventionalMonthLag The month lag
* @param monthLag The price index fixing lag in months.
* @return The zero coupon inflation swap.
*/
public static SwapFixedInflationZeroCouponDefinition fromInterpolation(final IndexPrice index, final ZonedDateTime settlementDate, final int tenor, final double fixedRate,
final double notional, final boolean isPayer, final BusinessDayConvention businessDayConvention, final Calendar calendar, final boolean endOfMonth, final int conventionalMonthLag,
final int monthLag) {
ArgumentChecker.notNull(index, "Price index");
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.notNull(businessDayConvention, "Business day convention");
ArgumentChecker.notNull(calendar, "Calendar");
final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, Period.ofYears(tenor), businessDayConvention, calendar, endOfMonth);
final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(index.getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional, tenor,
fixedRate);
final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional, index,
conventionalMonthLag, monthLag, false);
return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, calendar);
}
/**
* Builder from financial details and the time series of existing price index values and a generator of swap.The month lag is the conventional one.
* @param settlementDate The swap settlement date.
* @param fixedRate The swap fixed rate (annual compounding). The fixed payment is (1+fixedRate)^tenor-1.
* @param notional The swap notional.
* @param tenor the tenor of the instrument
* @param generator the generator of swap
* @param isPayer The flag
* @return The zero coupon inflation swap.
*/
public static SwapFixedInflationZeroCouponDefinition fromGeneratorInterpolation(final ZonedDateTime settlementDate, final double fixedRate, final double notional, final Period tenor,
final GeneratorSwapFixedInflationZeroCoupon generator, final boolean isPayer) {
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.notNull(generator, "generator");
ArgumentChecker.notNull(tenor, "tenor");
final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, generator.getBusinessDayConvention(), generator.getCalendar(),
generator.isEndOfMonth());
final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(generator.getIndexPrice().getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional,
tenor.getYears(),
fixedRate);
final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional,
generator.getIndexPrice(), generator.getMonthLag(), generator.getMonthLag(), false);
return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, generator.getCalendar());
}
/**
* Builder from financial details and the time series of existing price index values.
* @param index The price index.
* @param settlementDate The swap settlement date.
* @param tenor The swap tenor in years.
* @param fixedRate The swap fixed rate (annual compounding). The fixed payment is (1+fixedRate)^tenor-1.
* @param notional The swap notional.
* @param isPayer The flag
* @param businessDayConvention The business day convention used to compute the payment date.
* @param calendar The calendar used to compute the payment date.
* @param endOfMonth The end-of-month convention used to compute the payment date.
* @param conventionalMonthLag The month lag
* @param monthLag The price index fixing lag in months.
* @return The zero coupon inflation swap.
*/
public static SwapFixedInflationZeroCouponDefinition fromMonthly(final IndexPrice index, final ZonedDateTime settlementDate, final int tenor, final double fixedRate, final double notional,
final boolean isPayer, final BusinessDayConvention businessDayConvention, final Calendar calendar, final boolean endOfMonth, final int conventionalMonthLag, final int monthLag) {
ArgumentChecker.notNull(index, "Price index");
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.notNull(businessDayConvention, "Business day convention");
ArgumentChecker.notNull(calendar, "Calendar");
final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, Period.ofYears(tenor), businessDayConvention, calendar, endOfMonth);
final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(index.getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional, tenor,
fixedRate);
final CouponInflationZeroCouponMonthlyDefinition inflationCpn = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional, index,
conventionalMonthLag, monthLag, false);
return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, calendar);
}
/**
* Builder from financial details and the time series of existing price index values and a generator of swap.The month lag is the conventional one.
* @param settlementDate The swap settlement date.
* @param fixedRate The swap fixed rate (annual compounding). The fixed payment is (1+fixedRate)^tenor-1.
* @param notional The swap notional.
* @param tenor the tenor of the instrument.
* @param generator The swap generator.
* @param isPayer The flag
* @return The zero coupon inflation swap.
*/
public static SwapFixedInflationZeroCouponDefinition fromGeneratorMonthly(final ZonedDateTime settlementDate, final double fixedRate, final double notional, final Period tenor,
final GeneratorSwapFixedInflationZeroCoupon generator, final boolean isPayer) {
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.notNull(generator, "generator");
ArgumentChecker.notNull(tenor, "tenor");
final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, generator.getBusinessDayConvention(), generator.getCalendar(),
generator.isEndOfMonth());
final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(generator.getIndexPrice().getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional,
tenor.getYears(), fixedRate);
final CouponInflationZeroCouponMonthlyDefinition inflationCpn = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional,
generator.getIndexPrice(),
generator.getMonthLag(), generator.getMonthLag(), false);
return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, generator.getCalendar());
}
}