/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.derivative;
import java.util.Arrays;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing an average coupon by weighted mean of index values with difference fixing dates.
* The weighted averages over several sub-periods are compounded over the total period.
*/
public class CouponIborAverageFixingDatesCompounding extends Coupon {
/** The index on which the fixing is done. */
private final IborIndex _index;
/** The fixing times of the index. The times are in increasing order. Only the times not yet fixed are in the array.*/
private final double[][] _fixingTime;
/** The weights or quantity used for each fixing. The total weight is not necessarily 1. Same size as _fixingTime. */
private final double[][] _weight;
private final double[][] _fixingPeriodStartTime;
private final double[][] _fixingPeriodEndTime;
private final double[][] _fixingPeriodAccrualFactor;
/** The payment accrual factors for the different sub-periods on which the compounding is computed. */
private final double[] _paymentAccrualFactors;
/** The interest amount accrued in the current sub-period over the dates already fixed multiplied by the weights, i.e. the sum (w_i r_i). */
private final double _amountAccrued;
/** The investment factor for the sub-periods already fully fixed, i.e. prod( 1 + delta_i R_i ). */
private final double _investmentFactor;
/**
* Constructor from all details
* @param currency The payment currency
* @param paymentTime Time (in years) up to the payment
* @param paymentAccrualFactor Accrual factor for the coupon payment
* @param notional Coupon notional
* @param paymentAccrualFactors Accrual factors associated to the sub-periods
* @param index Ibor-like index
* @param fixingTime Time (in years) up to fixing
* @param weight The weights
* @param fixingPeriodStartTime The fixing period start time (in years) of the index
* @param fixingPeriodEndTime The fixing period end time (in years) of the index
* @param fixingPeriodAccrualFactors The accrual factors of fixing periods
* @param amountAccrued The interest amount accrued over the date already fixed in the current sub-period.
* @param investmentFactor The investment factor for the sub-periods already fully fixed.
*/
public CouponIborAverageFixingDatesCompounding(final Currency currency, final double paymentTime, final double paymentAccrualFactor,
final double notional, final double[] paymentAccrualFactors, final IborIndex index, final double[][] fixingTime,
final double[][] weight, final double[][] fixingPeriodStartTime, final double[][] fixingPeriodEndTime,
final double[][] fixingPeriodAccrualFactors, final double amountAccrued, final double investmentFactor) {
super(currency, paymentTime, paymentAccrualFactor, notional);
final int nPeriods = fixingTime.length;
final int[] nDates = new int[nPeriods]; //number of fixing dates per period
ArgumentChecker.isTrue(nPeriods == paymentAccrualFactors.length, "paymentAccrualFactors length different from fixingTime length");
ArgumentChecker.isTrue(nPeriods == weight.length, "weight length different from fixingTime length");
ArgumentChecker.isTrue(nPeriods == fixingPeriodStartTime.length, "fixingPeriodStartDates length different from fixingTime length");
ArgumentChecker.isTrue(nPeriods == fixingPeriodEndTime.length, "fixingPeriodEndDates length different from fixingTime length");
ArgumentChecker.isTrue(nPeriods == fixingPeriodAccrualFactors.length, "fixingPeriodAccrualFactors length different from fixingTime length");
ArgumentChecker.isTrue(currency.equals(index.getCurrency()), "index currency different from payment currency");
for (int i = 0; i < nPeriods; ++i) {
nDates[i] = fixingTime[i].length;
ArgumentChecker.isTrue(nDates[i] == weight[i].length, "{}-th array: weight length different from fixingTime length", i);
ArgumentChecker.isTrue(nDates[i] == fixingPeriodStartTime[i].length, "{}-th array: fixingPeriodStartDates length different from fixingTime length", i);
ArgumentChecker.isTrue(nDates[i] == fixingPeriodEndTime[i].length, "{}-th array: fixingPeriodEndDates length different from fixingTime length", i);
ArgumentChecker.isTrue(nDates[i] == fixingPeriodAccrualFactors[i].length, "{}-th array: fixingPeriodAccrualFactors length different from fixingTime length", i);
}
_weight = new double[nPeriods][];
_fixingTime = new double[nPeriods][];
_fixingPeriodStartTime = new double[nPeriods][];
_fixingPeriodEndTime = new double[nPeriods][];
_fixingPeriodAccrualFactor = new double[nPeriods][];
_index = index;
_paymentAccrualFactors = Arrays.copyOf(paymentAccrualFactors, nPeriods);
_amountAccrued = amountAccrued;
_investmentFactor = investmentFactor;
for (int i = 0; i < nPeriods; ++i) {
_weight[i] = Arrays.copyOf(weight[i], nDates[i]);
_fixingTime[i] = Arrays.copyOf(fixingTime[i], nDates[i]);
_fixingPeriodStartTime[i] = Arrays.copyOf(fixingPeriodStartTime[i], nDates[i]);
_fixingPeriodEndTime[i] = Arrays.copyOf(fixingPeriodEndTime[i], nDates[i]);
_fixingPeriodAccrualFactor[i] = Arrays.copyOf(fixingPeriodAccrualFactors[i], nDates[i]);
}
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponIborAverageCompounding(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponIborAverageCompounding(this);
}
@Override
public CouponIborAverageFixingDatesCompounding withNotional(final double notional) {
return new CouponIborAverageFixingDatesCompounding(getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getPaymentAccrualFactors(), getIndex(), getFixingTime(), getWeight(),
getFixingPeriodStartTime(), getFixingPeriodEndTime(), getFixingPeriodAccrualFactor(), getAmountAccrued(), getInvestmentFactor());
}
/**
* Gets the index.
* @return the index
*/
public IborIndex getIndex() {
return _index;
}
/**
* Gets the paymentAccrualFactors.
* @return the paymentAccrualFactors
*/
public double[] getPaymentAccrualFactors() {
return _paymentAccrualFactors;
}
/**
* Gets the weight.
* @return the weight
*/
public double[][] getWeight() {
return _weight;
}
/**
* Gets the fixingPeriodStartTime.
* @return the fixingPeriodStartTime
*/
public double[][] getFixingPeriodStartTime() {
return _fixingPeriodStartTime;
}
/**
* Gets the fixingPeriodEndTime.
* @return the fixingPeriodEndTime
*/
public double[][] getFixingPeriodEndTime() {
return _fixingPeriodEndTime;
}
/**
* Gets the fixingTime.
* @return the fixingTime
*/
public double[][] getFixingTime() {
return _fixingTime;
}
/**
* Gets the fixingPeriodAccrualFactor.
* @return the fixingPeriodAccrualFactor
*/
public double[][] getFixingPeriodAccrualFactor() {
return _fixingPeriodAccrualFactor;
}
/**
* Returns the accrued amount for the period already fixed.
* @return The amount accrued.
*/
public double getAmountAccrued() {
return _amountAccrued;
}
/**
* Returns the investment factor for the sub-period already fully fixed.
* @return The investment factor.
*/
public double getInvestmentFactor() {
return _investmentFactor;
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_amountAccrued);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + Arrays.deepHashCode(_fixingPeriodAccrualFactor);
result = prime * result + Arrays.deepHashCode(_fixingPeriodEndTime);
result = prime * result + Arrays.deepHashCode(_fixingPeriodStartTime);
result = prime * result + Arrays.deepHashCode(_fixingTime);
result = prime * result + ((_index == null) ? 0 : _index.hashCode());
result = prime * result + Arrays.hashCode(_paymentAccrualFactors);
temp = Double.doubleToLongBits(_investmentFactor);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + Arrays.deepHashCode(_weight);
return result;
}
@Override
public boolean equals(Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (!(obj instanceof CouponIborAverageFixingDatesCompounding)) {
return false;
}
CouponIborAverageFixingDatesCompounding other = (CouponIborAverageFixingDatesCompounding) obj;
if (Double.doubleToLongBits(_amountAccrued) != Double.doubleToLongBits(other._amountAccrued)) {
return false;
}
if (!Arrays.deepEquals(_fixingPeriodAccrualFactor, other._fixingPeriodAccrualFactor)) {
return false;
}
if (!Arrays.deepEquals(_fixingPeriodEndTime, other._fixingPeriodEndTime)) {
return false;
}
if (!Arrays.deepEquals(_fixingPeriodStartTime, other._fixingPeriodStartTime)) {
return false;
}
if (!Arrays.deepEquals(_fixingTime, other._fixingTime)) {
return false;
}
if (_index == null) {
if (other._index != null) {
return false;
}
} else if (!_index.equals(other._index)) {
return false;
}
if (!Arrays.equals(_paymentAccrualFactors, other._paymentAccrualFactors)) {
return false;
}
if (Double.doubleToLongBits(_investmentFactor) != Double.doubleToLongBits(other._investmentFactor)) {
return false;
}
if (!Arrays.deepEquals(_weight, other._weight)) {
return false;
}
return true;
}
}