/**
* Copyright (C) 2012 - 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 org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
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 Ibor-like compounded coupon. The Ibor fixings are compounded over several sub-periods.
* The amount paid is equal to
* $$
* \begin{equation*}
* \left(\prod_{i=1}^n (1+\delta_i r_i) \right)-1
* \end{equation*}
* $$
* where the $\delta_i$ are the accrual factors of the sub periods and the $r_i$ the fixing for the same periods.
* The fixing have their own start dates, end dates and accrual factors. In general they are close to the accrual
* dates used to compute the coupon accrual factors.
*/
public class CouponIborCompounding extends Coupon implements DepositIndexCompoundingCoupon<IborIndex> {
/**
* The Ibor-like index on which the coupon fixes. The index currency should be the same as the coupon currency.
* All the coupon sub-periods fix on the same index.
*/
private final IborIndex _index;
/**
* The accrual factors (or year fraction) associated to the sub-periods not yet fixed.
*/
private final double[] _paymentAccrualFactors;
/**
* The coupon fixing times.
*/
private final double[] _fixingTimes;
/**
* The start times of the fixing periods.
*/
private final double[] _fixingPeriodStartTimes;
/**
* The end times of the fixing periods.
*/
private final double[] _fixingPeriodEndTimes;
/**
* The accrual factors (or year fraction) associated with the fixing periods in the Index day count convention.
*/
private final double[] _fixingPeriodAccrualFactors;
/**
* The notional with the interest already fixed accrued, i.e. \prod_{i=1}^j (1+\delta_i r_i) where j is the number of fixed sub-periods.
*/
private final double _notionalAccrued;
/**
* The forward curve name used in to estimate the fixing index.
*/
private final String _forwardCurveName;
/**
* Constructor.
* @param currency The payment currency.
* @param paymentTime Time (in years) up to the payment.
* @param discountingCurveName The name of the discounting curve.
* @param paymentAccrualFactor The year fraction (or accrual factor) for the coupon payment.
* @param notional The coupon notional.
* @param notionalAccrued The notional with the interest already fixed accrued.
* @param index The Ibor-like index on which the coupon fixes. The index currency should be the same as the coupon currency.
* @param paymentAccrualFactors The accrual factors (or year fraction) associated to the sub-periods not yet fixed.
* @param fixingTimes The start times of the fixing periods.
* @param fixingPeriodStartTimes The start times of the fixing periods.
* @param fixingPeriodEndTimes The end times of the fixing periods.
* @param fixingPeriodAccrualFactors The accrual factors (or year fraction) associated with the fixing periods in the Index day count convention.
* @param forwardCurveName Name of the forward (or estimation) curve.
* @deprecated Use the constructor that does not take yield curve names
*/
@Deprecated
public CouponIborCompounding(final Currency currency, final double paymentTime, final String discountingCurveName, final double paymentAccrualFactor,
final double notional, final double notionalAccrued, final IborIndex index, final double[] paymentAccrualFactors, final double[] fixingTimes,
final double[] fixingPeriodStartTimes, final double[] fixingPeriodEndTimes, final double[] fixingPeriodAccrualFactors, final String forwardCurveName) {
super(currency, paymentTime, discountingCurveName, paymentAccrualFactor, notional);
ArgumentChecker.isTrue(fixingTimes.length == fixingPeriodStartTimes.length, "Fixing times and fixing period should have same length");
ArgumentChecker.isTrue(fixingTimes.length == fixingPeriodEndTimes.length, "Fixing times and fixing period should have same length");
ArgumentChecker.isTrue(fixingTimes.length == fixingPeriodAccrualFactors.length, "Fixing times and fixing period should have same length");
ArgumentChecker.isTrue(fixingTimes.length == paymentAccrualFactors.length, "Fixing times and fixing period should have same length");
ArgumentChecker.notNull(index, "Ibor index");
ArgumentChecker.notNull(forwardCurveName, "Forward");
_notionalAccrued = notionalAccrued;
_index = index;
_paymentAccrualFactors = paymentAccrualFactors;
_fixingTimes = fixingTimes;
_fixingPeriodStartTimes = fixingPeriodStartTimes;
_fixingPeriodEndTimes = fixingPeriodEndTimes;
_fixingPeriodAccrualFactors = fixingPeriodAccrualFactors;
_forwardCurveName = forwardCurveName;
}
/**
* Constructor.
* @param currency The payment currency.
* @param paymentTime Time (in years) up to the payment.
* @param paymentAccrualFactor The year fraction (or accrual factor) for the coupon payment.
* @param notional The coupon notional.
* @param notionalAccrued The notional with the interest already fixed accrued.
* @param index The Ibor-like index on which the coupon fixes. The index currency should be the same as the coupon currency.
* @param paymentAccrualFactors The accrual factors (or year fraction) associated to the sub-periods not yet fixed.
* @param fixingTimes The start times of the fixing periods.
* @param fixingPeriodStartTimes The start times of the fixing periods.
* @param fixingPeriodEndTimes The end times of the fixing periods.
* @param fixingPeriodAccrualFactors The accrual factors (or year fraction) associated with the fixing periods in the Index day count convention.
*/
public CouponIborCompounding(final Currency currency, final double paymentTime, final double paymentAccrualFactor, final double notional, final double notionalAccrued, final IborIndex index,
final double[] paymentAccrualFactors, final double[] fixingTimes, final double[] fixingPeriodStartTimes, final double[] fixingPeriodEndTimes, final double[] fixingPeriodAccrualFactors) {
super(currency, paymentTime, paymentAccrualFactor, notional);
ArgumentChecker.isTrue(fixingTimes.length == fixingPeriodStartTimes.length, "Fixing times and fixing period should have same length");
ArgumentChecker.isTrue(fixingTimes.length == fixingPeriodEndTimes.length, "Fixing times and fixing period should have same length");
ArgumentChecker.isTrue(fixingTimes.length == fixingPeriodAccrualFactors.length, "Fixing times and fixing period should have same length");
ArgumentChecker.isTrue(fixingTimes.length == paymentAccrualFactors.length, "Fixing times and fixing period should have same length");
ArgumentChecker.notNull(index, "Ibor index");
_notionalAccrued = notionalAccrued;
_index = index;
_paymentAccrualFactors = paymentAccrualFactors;
_fixingTimes = fixingTimes;
_fixingPeriodStartTimes = fixingPeriodStartTimes;
_fixingPeriodEndTimes = fixingPeriodEndTimes;
_fixingPeriodAccrualFactors = fixingPeriodAccrualFactors;
_forwardCurveName = null;
}
/**
* Returns the The notional with the interest already fixed accrued.
* @return The notional accrued.
*/
public double getNotionalAccrued() {
return _notionalAccrued;
}
/**
* Returns the Ibor index underlying the coupon.
* @return The index.
*/
public IborIndex getIndex() {
return _index;
}
/**
* Returns the payment accrual factors for each sub-period.
* @return The factors.
*/
public double[] getPaymentAccrualFactors() {
return _paymentAccrualFactors;
}
/**
* Returns the fixing times for the different remaining periods.
* @return The times.
*/
public double[] getFixingTimes() {
return _fixingTimes;
}
/**
* Gets the fixing period start times (in years).
* @return The times.
*/
public double[] getFixingPeriodStartTimes() {
return _fixingPeriodStartTimes;
}
/**
* Gets the fixing period end times (in years).
* @return The times.
*/
public double[] getFixingPeriodEndTimes() {
return _fixingPeriodEndTimes;
}
/**
* Returns the fixing period accrual factors for each sub-period.
* @return The factors.
*/
public double[] getFixingPeriodAccrualFactors() {
return _fixingPeriodAccrualFactors;
}
/**
* Gets the forward curve name.
* @return the _forward curve name
* @deprecated Curve names should no longer be set in {@link InstrumentDefinition}s
*/
@Deprecated
public String getForwardCurveName() {
if (_forwardCurveName == null) {
throw new IllegalStateException("Forward curve name was not set");
}
return _forwardCurveName;
}
@SuppressWarnings("deprecation")
@Override
public Coupon withNotional(final double notional) {
return new CouponIborCompounding(getCurrency(), getPaymentTime(), getFundingCurveName(), getPaymentYearFraction(), notional, _notionalAccrued, _index, _paymentAccrualFactors, _fixingTimes,
_fixingPeriodStartTimes, _fixingPeriodEndTimes, _fixingPeriodAccrualFactors, _forwardCurveName);
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
return visitor.visitCouponIborCompounding(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
return visitor.visitCouponIborCompounding(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + Arrays.hashCode(_fixingPeriodAccrualFactors);
result = prime * result + Arrays.hashCode(_fixingPeriodEndTimes);
result = prime * result + Arrays.hashCode(_fixingPeriodStartTimes);
result = prime * result + Arrays.hashCode(_fixingTimes);
result = prime * result + (_forwardCurveName == null ? 0 : _forwardCurveName.hashCode());
result = prime * result + _index.hashCode();
long temp;
temp = Double.doubleToLongBits(_notionalAccrued);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + Arrays.hashCode(_paymentAccrualFactors);
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final CouponIborCompounding other = (CouponIborCompounding) obj;
if (!Arrays.equals(_fixingPeriodAccrualFactors, other._fixingPeriodAccrualFactors)) {
return false;
}
if (!Arrays.equals(_fixingPeriodEndTimes, other._fixingPeriodEndTimes)) {
return false;
}
if (!Arrays.equals(_fixingPeriodStartTimes, other._fixingPeriodStartTimes)) {
return false;
}
if (!Arrays.equals(_fixingTimes, other._fixingTimes)) {
return false;
}
if (!ObjectUtils.equals(_forwardCurveName, other._forwardCurveName)) {
return false;
}
if (!ObjectUtils.equals(_index, other._index)) {
return false;
}
if (Double.doubleToLongBits(_notionalAccrued) != Double.doubleToLongBits(other._notionalAccrued)) {
return false;
}
if (!Arrays.equals(_paymentAccrualFactors, other._paymentAccrualFactors)) {
return false;
}
return true;
}
}