/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.inflation.derivative;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing an Year on Year inflation coupon.
* The index for a given month is given in the yield curve and in the time series on the first of the month.
* The pay-off is paymentYearFraction*(final index / start index - 1) * notional if the notional is not paid and final index / start index * notional if the notional is paid.
*/
public class CouponInflationYearOnYearMonthly extends CouponInflation {
/**
* The reference time for the index at the coupon end. There is usually a difference of two or three month between the reference date and the payment date.
* The time can be negative (when the price index for the current and last month is not yet published).
*/
private final double _referenceStartTime;
/**
* The time for which the index at the coupon start is paid by the standard corresponding zero coupon.
* There is usually a difference of two or three month between the reference date and the natural payment date.
* The time can be negative (when the price index for the current and last month is not yet published).
*/
private final double _naturalPaymentStartTime;
/**
* The reference time for the index at the coupon end. There is usually a difference of two or three month between the reference date and the payment date.
* The time can be negative (when the price index for the current and last month is not yet published).
*/
private final double _referenceEndTime;
/**
* The time for which the index at the coupon end is paid by the standard corresponding zero coupon.
* There is usually a difference of two or three month between the reference date and the natural payment date.
* the natural payment date is equal to the payment date when the lag is the conventional one.
* The time can be negative (when the price index for the current and last month is not yet published).
*/
private final double _naturalPaymentEndTime;
/**
* Flag indicating if the notional is paid (true) or not (false) at the end of the period.
*/
private final boolean _payNotional;
/**
* Inflation year on year coupon constructor.
* @param currency The coupon currency.
* @param paymentTime The time to payment.
* @param paymentYearFraction Accrual factor of the accrual period.
* @param notional Coupon notional.
* @param priceIndex The price index associated to the coupon.
* @param referenceStartTime The reference time for the index at the coupon start.
* @param naturalPaymentStartTime The time for which the index at the coupon start is paid by the standard corresponding zero coupon.
* @param referenceEndTime The reference time for the index at the coupon end.
* @param naturalPaymentEndTime The time for which the index at the coupon end is paid by the standard corresponding zero coupon.
* @param payNotional Flag indicating if the notional is paid (true) or not (false).
*/
public CouponInflationYearOnYearMonthly(final Currency currency, final double paymentTime, final double paymentYearFraction, final double notional, final IndexPrice priceIndex,
final double referenceStartTime, double naturalPaymentStartTime, final double referenceEndTime, double naturalPaymentEndTime, final boolean payNotional) {
super(currency, paymentTime, paymentYearFraction, notional, priceIndex);
_referenceStartTime = referenceStartTime;
_naturalPaymentStartTime = naturalPaymentStartTime;
_referenceEndTime = referenceEndTime;
_naturalPaymentEndTime = naturalPaymentEndTime;
_payNotional = payNotional;
}
/**
* Gets the reference time for the index at the coupon start.
* @return The reference time.
*/
public double getReferenceStartTime() {
return _referenceStartTime;
}
public double getNaturalPaymentStartTime() {
return _naturalPaymentStartTime;
}
/**
* Gets the reference time for the index at the coupon end.
* @return The reference time.
*/
public double getReferenceEndTime() {
return _referenceEndTime;
}
public double getNaturalPaymentEndTime() {
return _naturalPaymentEndTime;
}
/**
* Gets the pay notional flag.
* @return The flag.
*/
public boolean payNotional() {
return _payNotional;
}
@Override
public CouponInflationYearOnYearMonthly withNotional(final double notional) {
return new CouponInflationYearOnYearMonthly(getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getPriceIndex(), _referenceStartTime, _naturalPaymentStartTime, _referenceEndTime,
_naturalPaymentEndTime, _payNotional);
}
@Override
public <S, T> T accept(InstrumentDerivativeVisitor<S, T> visitor, S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponInflationYearOnYearMonthly(this, data);
}
@Override
public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponInflationYearOnYearMonthly(this);
}
@Override
public String toString() {
return "CouponInflationYearOnYearMonthly [_referenceStartTime=" + _referenceStartTime + ", _referenceEndTime=" + _referenceEndTime + "]";
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_naturalPaymentEndTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_naturalPaymentStartTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + (_payNotional ? 1231 : 1237);
temp = Double.doubleToLongBits(_referenceEndTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_referenceStartTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
CouponInflationYearOnYearMonthly other = (CouponInflationYearOnYearMonthly) obj;
if (Double.doubleToLongBits(_naturalPaymentEndTime) != Double.doubleToLongBits(other._naturalPaymentEndTime)) {
return false;
}
if (Double.doubleToLongBits(_naturalPaymentStartTime) != Double.doubleToLongBits(other._naturalPaymentStartTime)) {
return false;
}
if (_payNotional != other._payNotional) {
return false;
}
if (Double.doubleToLongBits(_referenceEndTime) != Double.doubleToLongBits(other._referenceEndTime)) {
return false;
}
if (Double.doubleToLongBits(_referenceStartTime) != Double.doubleToLongBits(other._referenceStartTime)) {
return false;
}
return true;
}
}