/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.convention.expirycalc; import org.threeten.bp.LocalDate; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.util.ArgumentChecker; /** * Expiry calculator for Brent crude futures. */ public final class BrentCrudeFutureExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator { /** Name of the calculator */ public static final String NAME = "BrentCrudeFutureExpiryCalculator"; /** Singleton. */ private static final BrentCrudeFutureExpiryCalculator INSTANCE = new BrentCrudeFutureExpiryCalculator(); /** * Gets the singleton instance. * * @return the instance, not null */ public static BrentCrudeFutureExpiryCalculator getInstance() { return INSTANCE; } /** * Restricted constructor. */ private BrentCrudeFutureExpiryCalculator() { } //------------------------------------------------------------------------- /** * Expiry date of Brent crude Futures: * The business day preceding the 15th day of the contract month. * See http://www.cmegroup.com/trading/energy/crude-oil/brent-crude-oil-last-day_contractSpecs_futures.html#prodType=AME * Note: Logic to handle holidays in London is not handled currently. * * @param n the n'th expiry date after today, greater than zero * @param today the valuation date, not null * @param holidayCalendar the holiday calendar, not null * @return the expiry date, not null */ @Override public LocalDate getExpiryDate(final int n, final LocalDate today, final Calendar holidayCalendar) { ArgumentChecker.isTrue(n > 0, "n must be greater than zero; have {}", n); ArgumentChecker.notNull(today, "today"); ArgumentChecker.notNull(holidayCalendar, "holiday calendar"); LocalDate expiryDate = getExpiryMonth(n, today); while (!holidayCalendar.isWorkingDay(expiryDate)) { expiryDate = expiryDate.minusDays(1); } return expiryDate; } @Override public LocalDate getExpiryMonth(final int n, final LocalDate today) { ArgumentChecker.isTrue(n > 0, "n must be greater than zero"); ArgumentChecker.notNull(today, "today"); LocalDate expiryDate = today; for (int m = n; m > 0; m--) { expiryDate = getNextExpiryMonth(expiryDate); } if (expiryDate.getDayOfMonth() > 15) { expiryDate = getNextExpiryMonth(expiryDate); } // set day to first possible - used in getExpiryDate() return LocalDate.of(expiryDate.getYear(), expiryDate.getMonth(), 14); } private LocalDate getNextExpiryMonth(final LocalDate dtCurrent) { return dtCurrent.plusMonths(1); } @Override public String getName() { return NAME; } }