/**
* 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.instrument.inflation.CouponInflationWithMargin;
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)+ Margin) * notional if the notional is not paid and final index / start index * notional if the notional is paid.
*/
public class CouponInflationYearOnYearMonthlyWithMargin extends CouponInflation implements CouponInflationWithMargin {
/**
* The additive factor (margin).
*/
private final double _factor;
/**
* 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 factor The additive factor (margin).
* @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 CouponInflationYearOnYearMonthlyWithMargin(final double factor, 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);
_factor = factor;
_referenceStartTime = referenceStartTime;
_naturalPaymentStartTime = naturalPaymentStartTime;
_referenceEndTime = referenceEndTime;
_naturalPaymentEndTime = naturalPaymentEndTime;
_payNotional = payNotional;
}
/**
* Gets the additive facor (margin).
* @return The facor.
*/
@Override
public double getFactor() {
return _factor;
}
/**
* 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 CouponInflationYearOnYearMonthlyWithMargin withNotional(final double notional) {
return new CouponInflationYearOnYearMonthlyWithMargin(_factor, 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.visitCouponInflationYearOnYearMonthlyWithMargin(this, data);
}
@Override
public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponInflationYearOnYearMonthlyWithMargin(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(_factor);
result = prime * result + (int) (temp ^ (temp >>> 32));
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;
}
CouponInflationYearOnYearMonthlyWithMargin other = (CouponInflationYearOnYearMonthlyWithMargin) obj;
if (Double.doubleToLongBits(_factor) != Double.doubleToLongBits(other._factor)) {
return false;
}
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;
}
}