/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.derivative;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedAccruedCompounding;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing a European swaption on a vanilla swap.
*/
public final class SwaptionPhysicalFixedCompoundedONCompounded extends EuropeanVanillaOption implements InstrumentDerivative {
/**
* Swap underlying the swaption. The swap should be of vanilla type.
*/
private final Swap<CouponFixedAccruedCompounding, CouponONCompounded> _underlyingSwap;
/**
* Flag indicating if the option is long (true) or short (false).
*/
private final boolean _isLong;
/**
* The time (in years) to swap settlement.
*/
private final double _settlementTime;
/**
* The time in years to maturity.
*/
private final double _maturityTime;
/**
* Constructor from the expiry date, the underlying swap and the long/short flag.
* @param expiryTime The expiry time.
* @param strike The strike
* @param underlyingSwap The underlying swap.
* @param settlementTime Time to swap settlement.
* @param isCall Call.
* @param isLong The long (true) / short (false) flag.
*/
private SwaptionPhysicalFixedCompoundedONCompounded(final double expiryTime, final double strike, final Swap<CouponFixedAccruedCompounding, CouponONCompounded> underlyingSwap,
final double settlementTime, final boolean isCall, final boolean isLong) {
super(strike, expiryTime, isCall);
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
_underlyingSwap = underlyingSwap;
_isLong = isLong;
_settlementTime = settlementTime;
final Annuity<? extends Payment> firstLeg = underlyingSwap.getFirstLeg();
_maturityTime = firstLeg.getNthPayment(firstLeg.getNumberOfPayments() - 1).getPaymentTime() - _settlementTime;
}
/**
* Builder from the expiry date, the underlying swap and the long/short flag. The strike stored in the EuropeanVanillaOption should not be used for pricing as the
* strike can be different for each coupon and need to be computed at the pricing method level.
* @param expiryTime The expiry time.
* @param underlyingSwap The underlying swap.
* @param settlementTime Time to swap settlement.
* @param isLong The long (true) / short (false) flag.
* @return The swaption.
* @deprecated This relies on the {@link AnnuityCouponFixed#isPayer()} method to determine if the swaption is a call or a put, which is deprecated
*/
@Deprecated
public static SwaptionPhysicalFixedCompoundedONCompounded from(final double expiryTime, final Swap<CouponFixedAccruedCompounding, CouponONCompounded> underlyingSwap,
final double settlementTime, final boolean isLong) {
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
final double strike = underlyingSwap.getFirstLeg().getNthPayment(0).getFixedRate();
// Implementation comment: The strike is working only for swap with same rate on all coupons and standard conventions. The strike equivalent is computed in the pricing methods.
return new SwaptionPhysicalFixedCompoundedONCompounded(expiryTime, strike, underlyingSwap, settlementTime, underlyingSwap.getFirstLeg().isPayer(), isLong);
}
/**
* Builder from the expiry date, the underlying swap and the long/short flag. The strike stored in the EuropeanVanillaOption should not be used for pricing as the
* strike can be different for each coupon and need to be computed at the pricing method level.
* @param expiryTime The expiry time.
* @param underlyingSwap The underlying swap.
* @param settlementTime Time to swap settlement.
* @param isLong The long (true) / short (false) flag.
* @param isCall True if the swaption is a call
* @return The swaption.
*/
public static SwaptionPhysicalFixedCompoundedONCompounded from(final double expiryTime, final Swap<CouponFixedAccruedCompounding, CouponONCompounded> underlyingSwap,
final double settlementTime, final boolean isCall, final boolean isLong) {
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
final double strike = underlyingSwap.getFirstLeg().getNthPayment(0).getFixedRate();
// Implementation comment: The strike is working only for swap with same rate on all coupons and standard conventions. The strike equivalent is computed in the pricing methods.
return new SwaptionPhysicalFixedCompoundedONCompounded(expiryTime, strike, underlyingSwap, settlementTime, isCall, isLong);
}
/**
* Gets the underlying swap.
* @return The underlying swap.
*/
public Swap<CouponFixedAccruedCompounding, CouponONCompounded> getUnderlyingSwap() {
return _underlyingSwap;
}
/**
* Gets the long / short flag.
* @return True if the swaption is long
*/
public boolean isLong() {
return _isLong;
}
/**
* Gets the settlement time.
* @return The settlement time
*/
public double getSettlementTime() {
return _settlementTime;
}
/**
* Gets the time difference between the last fixed leg payment and the settlement.
* @return The maturity time.
*/
public double getMaturityTime() {
return _maturityTime;
}
/**
* Gets the swaption currency.
* @return The currency.
*/
public Currency getCurrency() {
return _underlyingSwap.getFirstLeg().getCurrency();
}
@Override
public String toString() {
return "Swaption: Expiry=" + getTimeToExpiry() + ", is long=" + _isLong + "\n" + _underlyingSwap;
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwaptionPhysicalFixedCompoundedONCompounded(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwaptionPhysicalFixedCompoundedONCompounded(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + (_isLong ? 1231 : 1237);
long temp;
temp = Double.doubleToLongBits(_settlementTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _underlyingSwap.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
final SwaptionPhysicalFixedCompoundedONCompounded other = (SwaptionPhysicalFixedCompoundedONCompounded) obj;
if (_isLong != other._isLong) {
return false;
}
if (Double.doubleToLongBits(_settlementTime) != Double.doubleToLongBits(other._settlementTime)) {
return false;
}
if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) {
return false;
}
return true;
}
}