/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.derivative;
import java.util.Arrays;
import com.opengamma.analytics.financial.instrument.future.BondFuturesSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.BondFuturesTransactionDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Description of a bond future (derivative version).
* @deprecated Use the {@link BondFuturesSecurityDefinition} and {@link BondFuturesTransactionDefinition}.
*/
@Deprecated
public class BondFuture implements InstrumentDerivative {
/**
* The last trading time.
*/
private final double _tradingLastTime;
/**
* The first notice time.
*/
private final double _noticeFirstTime;
/**
* The last notice time.
*/
private final double _noticeLastTime;
/**
* The first delivery time. It is the first notice date plus the settlement days.
*/
private final double _deliveryFirstTime;
/**
* The last delivery time. It is the last notice date plus the settlement days.
*/
private final double _deliveryLastTime;
/**
* The notional of the bond future (also called face value or contract value).
* TODO _notional is the unitAmount of a BondFuture. Consider changing name in constructor.
*/
private final double _notional;
/**
* The basket of deliverable bonds.
*/
private final BondFixedSecurity[] _deliveryBasket;
/**
* The conversion factor of each bond in the basket.
*/
private final double[] _conversionFactor;
/**
* The reference price is used to express present value with respect to some level, for example, the transaction price on the transaction date or the last close price afterward.
* The price is in relative number and not in percent. A standard price will be 0.985 and not 98.5.
* TODO Confirm treatment
*/
private final double _referencePrice;
/**
* Constructor from all the details.
* @param tradingLastTime The last trading time.
* @param noticeFirstTime The first notice time.
* @param noticeLastTime The last notice time.
* @param deliveryFirstTime The first delivery time.
* @param deliveryLastTime The last delivery time.
* @param notional The notional of the bond future.
* @param deliveryBasket The basket of deliverable bonds.
* @param conversionFactor The conversion factor of each bond in the basket.
* @param referencePrice The price used to express present value with respect to some level, for example, the transaction price on the transaction date or the last close price afterward.
*/
public BondFuture(final double tradingLastTime, final double noticeFirstTime, final double noticeLastTime, final double deliveryFirstTime, final double deliveryLastTime, final double notional,
final BondFixedSecurity[] deliveryBasket, final double[] conversionFactor, final double referencePrice) {
ArgumentChecker.notNull(deliveryBasket, "Delivery basket");
ArgumentChecker.notNull(conversionFactor, "Conversion factors");
ArgumentChecker.isTrue(deliveryBasket.length > 0, "At least one bond in basket");
ArgumentChecker.isTrue(deliveryBasket.length == conversionFactor.length, "Conversion factor size");
_tradingLastTime = tradingLastTime;
_noticeFirstTime = noticeFirstTime;
_noticeLastTime = noticeLastTime;
_deliveryFirstTime = deliveryFirstTime;
_deliveryLastTime = deliveryLastTime;
_deliveryBasket = deliveryBasket;
_conversionFactor = conversionFactor;
_notional = notional;
_referencePrice = referencePrice;
}
/**
* Gets the last trading time.
* @return The last trading time.
*/
public double getTradingLastTime() {
return _tradingLastTime;
}
/**
* Gets the first notice time.
* @return The first notice time.
*/
public double getNoticeFirstTime() {
return _noticeFirstTime;
}
/**
* Gets the last notice time.
* @return The last notice time.
*/
public double getNoticeLastTime() {
return _noticeLastTime;
}
/**
* Gets the first delivery time.
* @return The first delivery time.
*/
public double getDeliveryFirstTime() {
return _deliveryFirstTime;
}
/**
* Gets the last delivery time.
* @return The last delivery time.
*/
public double getDeliveryLastTime() {
return _deliveryLastTime;
}
/**
* Gets the notional of the bond future.
* @return The notional of the bond future.
*/
public double getNotional() {
return _notional;
}
/**
* Gets the basket of deliverable bonds.
* @return The basket of deliverable bonds.
*/
public BondFixedSecurity[] getDeliveryBasket() {
return _deliveryBasket;
}
/**
* Gets the conversion factor of each bond in the basket.
* @return The conversion factor of each bond in the basket.
*/
public double[] getConversionFactor() {
return _conversionFactor;
}
/**
* Gets the referencePrice.
* @return the referencePrice
*/
public double getReferencePrice() {
return _referencePrice;
}
/**
* Gets the future currency.
* @return The currency.
*/
public Currency getCurrency() {
return _deliveryBasket[0].getCurrency();
}
/**
* Gets the discount factor name.
* @return The name.
* @deprecated The discounting curve name should not be set in derivatives
*/
@Deprecated
public String getDiscountingCurveName() {
return _deliveryBasket[0].getDiscountingCurveName();
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFuture(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitBondFuture(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + Arrays.hashCode(_conversionFactor);
result = prime * result + Arrays.hashCode(_deliveryBasket);
long temp;
temp = Double.doubleToLongBits(_deliveryFirstTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_deliveryLastTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_noticeFirstTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_noticeLastTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_notional);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_tradingLastTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
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 BondFuture other = (BondFuture) obj;
if (!Arrays.equals(_conversionFactor, other._conversionFactor)) {
return false;
}
if (!Arrays.equals(_deliveryBasket, other._deliveryBasket)) {
return false;
}
if (Double.doubleToLongBits(_deliveryFirstTime) != Double.doubleToLongBits(other._deliveryFirstTime)) {
return false;
}
if (Double.doubleToLongBits(_deliveryLastTime) != Double.doubleToLongBits(other._deliveryLastTime)) {
return false;
}
if (Double.doubleToLongBits(_noticeFirstTime) != Double.doubleToLongBits(other._noticeFirstTime)) {
return false;
}
if (Double.doubleToLongBits(_noticeLastTime) != Double.doubleToLongBits(other._noticeLastTime)) {
return false;
}
if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
return false;
}
if (Double.doubleToLongBits(_tradingLastTime) != Double.doubleToLongBits(other._tradingLastTime)) {
return false;
}
return true;
}
}