/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.convention.expirycalc; import java.util.Arrays; import org.threeten.bp.DayOfWeek; import org.threeten.bp.LocalDate; import org.threeten.bp.Month; import org.threeten.bp.temporal.TemporalAdjuster; import org.threeten.bp.temporal.TemporalAdjusters; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.util.ArgumentChecker; /** * Expiry calculator for live cattle future options. */ public final class LiveCattleFutureOptionExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator { /** Name of the calculator */ public static final String NAME = "LiveCattleFutureOptionExpiryCalculator"; /** Singleton. */ private static final LiveCattleFutureOptionExpiryCalculator INSTANCE = new LiveCattleFutureOptionExpiryCalculator(); /** Adjuster. */ private static final TemporalAdjuster FIRST_FRIDAY_ADJUSTER = TemporalAdjusters.firstInMonth(DayOfWeek.FRIDAY); /** Months when futures expire. */ private static final Month[] CATTLE_OPTION_EXPIRY_MONTHS = { Month.FEBRUARY, Month.APRIL, Month.JUNE, Month.AUGUST, Month.OCTOBER, Month.DECEMBER }; /** * Gets the singleton instance. * * @return the instance, not null */ public static LiveCattleFutureOptionExpiryCalculator getInstance() { return INSTANCE; } /** * Restricted constructor. */ private LiveCattleFutureOptionExpiryCalculator() { } //------------------------------------------------------------------------- /** * Expiry date of Soybean Future Options: * The first Friday of the month. * See http://www.cmegroup.com/trading/agricultural/livestock/live-cattle_contractSpecs_options.html * * @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 expiry = getExpiryMonth(n, today).with(FIRST_FRIDAY_ADJUSTER); while (!holidayCalendar.isWorkingDay(expiry)) { expiry = expiry.minusDays(1); } return expiry; } @Override public LocalDate getExpiryMonth(final int n, final LocalDate today) { ArgumentChecker.isTrue(n > 0, "n must be greater than zero"); ArgumentChecker.notNull(today, "today"); // There are 1 serial options if (n < 2) { return today.plusMonths(n); } // now int m = n - 1; LocalDate expiryDate = today.plusMonths(1); while (m > 0) { expiryDate = getNextExpiryMonth(expiryDate); m--; } return expiryDate; } private LocalDate getNextExpiryMonth(final LocalDate dtCurrent) { Month mthCurrent = dtCurrent.getMonth(); int idx = Arrays.binarySearch(CATTLE_OPTION_EXPIRY_MONTHS, mthCurrent); if (idx >= (CATTLE_OPTION_EXPIRY_MONTHS.length - 1)) { return LocalDate.of(dtCurrent.getYear() + 1, CATTLE_OPTION_EXPIRY_MONTHS[0], dtCurrent.getDayOfMonth()); } else if (idx >= 0) { return dtCurrent.with(CATTLE_OPTION_EXPIRY_MONTHS[idx + 1]); } else { return dtCurrent.with(CATTLE_OPTION_EXPIRY_MONTHS[-1 - idx]); } } @Override public String getName() { return NAME; } }