/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.bond.calculator; import static com.opengamma.financial.convention.yield.SimpleYieldConvention.INDEX_LINKED_FLOAT; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter; import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedSecurity; import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedTransaction; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction; import com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethod; import com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod; import com.opengamma.util.ArgumentChecker; /** * Calculate accrued interest from clean price. */ public final class AccruedInterestFromCleanPriceCalculator extends InstrumentDerivativeVisitorAdapter<Double, Double> { /** * The calculator instance. */ private static final AccruedInterestFromCleanPriceCalculator s_instance = new AccruedInterestFromCleanPriceCalculator(); /** * Return the calculator instance. * @return The instance. */ public static AccruedInterestFromCleanPriceCalculator getInstance() { return s_instance; } /** * Private constructor. */ private AccruedInterestFromCleanPriceCalculator() { } /** * The method used for discounting the bond cashflows. */ private static final BondSecurityDiscountingMethod METHOD_BOND_SECURITY = BondSecurityDiscountingMethod.getInstance(); /** * The method used for discounting the inflation bond cashflows. */ private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_INFLATION_BOND_SECURITY = BondCapitalIndexedSecurityDiscountingMethod.getInstance(); @Override public Double visitBondFixedSecurity(final BondFixedSecurity bond, final Double cleanPrice) { ArgumentChecker.notNull(bond, "bond"); ArgumentChecker.notNull(cleanPrice, "cleanPrice"); return METHOD_BOND_SECURITY.accruedInterestFromCleanPrice(bond, cleanPrice) * 100; } @Override public Double visitBondFixedTransaction(BondFixedTransaction bond, Double cleanPrice) { return visitBondFixedSecurity(bond.getBondTransaction(), cleanPrice); } @Override public Double visitBondCapitalIndexedSecurity(BondCapitalIndexedSecurity<?> bond, Double cleanRealPrice) { ArgumentChecker.notNull(bond, "bond"); ArgumentChecker.notNull(cleanRealPrice, "yield"); double accruedInterest = METHOD_INFLATION_BOND_SECURITY.accruedInterestFromCleanRealPrice(bond, cleanRealPrice) * 100; if (bond.getYieldConvention().equals(INDEX_LINKED_FLOAT)) { return accruedInterest * bond.getIndexRatio(); } else { return accruedInterest; } } @Override public Double visitBondCapitalIndexedTransaction(final BondCapitalIndexedTransaction<?> bond, final Double cleanPrice) { ArgumentChecker.notNull(bond, "bond"); ArgumentChecker.notNull(cleanPrice, "yield"); if (!(bond.getBondStandard() instanceof BondCapitalIndexedSecurity<?>)) { throw new IllegalArgumentException("Bond should be a BondCapitalIndexedSecurity"); } final BondCapitalIndexedSecurity<?> bondSecurity = (BondCapitalIndexedSecurity<?>) bond.getBondStandard(); return visitBondCapitalIndexedSecurity(bondSecurity, cleanPrice); } }