/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.derivative;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing a foreign exchange non-deliverable forward transaction.
* The transaction is XXX/YYY where YYY is the currency for the cash-settlement. A NDF KRW/USD with USD cash settlement is stored with KRW as currency1 and USD as currency2.
*/
public class ForexNonDeliverableForward implements InstrumentDerivative {
/**
* First currency of the transaction.
*/
private final Currency _currency1;
/**
* Second currency of the transaction. The cash settlement is done in this currency.
*/
private final Currency _currency2;
/**
* Notional of the transaction (in currency2).
*/
private final double _notional;
/**
* The reference exchange rate for the settlement (1 currency2 = _rate currency1).
*/
private final double _exchangeRate;
/**
* The exchange rate fixing time.
*/
private final double _fixingTime;
/**
* The transaction payment or settlement time.
*/
private final double _paymentTime;
/**
* The discounting curve name used for currency1.
*/
private final String _discountingCurve1Name;
/**
* The discounting curve name used for currency2.
*/
private final String _discountingCurve2Name;
/**
* Constructor for non-deliverable forward Forex transaction.
* @param currency1 First currency of the transaction.
* @param currency2 Second currency of the transaction. The cash settlement is done in this currency.
* @param notional Notional of the transaction (in currency2).
* @param exchangeRate The reference exchange rate for the settlement (1 currency2 = _rate currency1).
* @param fixingTime The exchange rate fixing time.
* @param paymentTime The transaction payment or settlement time.
* @param dsc1 The discounting curve name used for currency1.
* @param dsc2 The discounting curve name used for currency2.
* @deprecated Use the constructor that does not take yield curve names
*/
@Deprecated
public ForexNonDeliverableForward(final Currency currency1, final Currency currency2, final double notional, final double exchangeRate, final double fixingTime, final double paymentTime,
final String dsc1, final String dsc2) {
ArgumentChecker.notNull(currency1, "First currency");
ArgumentChecker.notNull(currency2, "Second currency");
ArgumentChecker.isTrue(currency1 != currency2, "Currencies should be different");
ArgumentChecker.isTrue(fixingTime <= paymentTime, "Payment time should be on or after fixing time");
ArgumentChecker.notNull(dsc1, "discounting curve name 1");
ArgumentChecker.notNull(dsc2, "discounting curve name 2");
_currency1 = currency1;
_currency2 = currency2;
_notional = notional;
_exchangeRate = exchangeRate;
_fixingTime = fixingTime;
_paymentTime = paymentTime;
_discountingCurve1Name = dsc1;
_discountingCurve2Name = dsc2;
}
/**
* Constructor for non-deliverable forward Forex transaction.
* @param currency1 First currency of the transaction.
* @param currency2 Second currency of the transaction. The cash settlement is done in this currency.
* @param notional Notional of the transaction (in currency2).
* @param exchangeRate The reference exchange rate for the settlement (1 currency2 = _rate currency1).
* @param fixingTime The exchange rate fixing time.
* @param paymentTime The transaction payment or settlement time.
*/
public ForexNonDeliverableForward(final Currency currency1, final Currency currency2, final double notional, final double exchangeRate, final double fixingTime, final double paymentTime) {
ArgumentChecker.notNull(currency1, "First currency");
ArgumentChecker.notNull(currency2, "Second currency");
ArgumentChecker.isTrue(currency1 != currency2, "Currencies should be different");
ArgumentChecker.isTrue(fixingTime <= paymentTime, "Payment time should be on or after fixing time");
_currency1 = currency1;
_currency2 = currency2;
_notional = notional;
_exchangeRate = exchangeRate;
_fixingTime = fixingTime;
_paymentTime = paymentTime;
_discountingCurve1Name = null;
_discountingCurve2Name = null;
}
/**
* Gets the first currency of the transaction.
* @return The currency.
*/
public Currency getCurrency1() {
return _currency1;
}
/**
* Gets the second currency of the transaction. The cash settlement is done in this currency.
* @return The currency.
*/
public Currency getCurrency2() {
return _currency2;
}
/**
* Gets the notional of the transaction (in currency2).
* @return The notional.
*/
public double getNotionalCurrency2() {
return _notional;
}
/**
* Gets the notional of the transaction (in currency1).
* @return The notional.
*/
public double getNotionalCurrency1() {
return -_notional * _exchangeRate;
}
/**
* Gets the reference exchange rate for the settlement.
* @return The rate.
*/
public double getExchangeRate() {
return _exchangeRate;
}
/**
* Gets The exchange rate fixing time.
* @return The date.
*/
public double getFixingTime() {
return _fixingTime;
}
/**
* Gets The transaction payment (or settlement) time.
* @return The date.
*/
public double getPaymentTime() {
return _paymentTime;
}
/**
* Gets the discounting curve name used for currency1.
* @return The name.
* @deprecated Curve names should no longer be set in {@link InstrumentDefinition}s
*/
@Deprecated
public String getDiscountingCurve1Name() {
if (_discountingCurve1Name == null) {
throw new IllegalArgumentException("Discounting curve name 1 was not set");
}
return _discountingCurve1Name;
}
/**
* Gets the discounting curve name used for currency2.
* @return The name.
* @deprecated Curve names should no longer be set in {@link InstrumentDefinition}s
*/
@Deprecated
public String getDiscountingCurve2Name() {
if (_discountingCurve2Name == null) {
throw new IllegalArgumentException("Discounting curve name 2 was not set");
}
return _discountingCurve2Name;
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexNonDeliverableForward(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexNonDeliverableForward(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _currency1.hashCode();
result = prime * result + _currency2.hashCode();
long temp;
temp = Double.doubleToLongBits(_exchangeRate);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_fixingTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_notional);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_paymentTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final ForexNonDeliverableForward other = (ForexNonDeliverableForward) obj;
if (!ObjectUtils.equals(_currency1, other._currency1)) {
return false;
}
if (!ObjectUtils.equals(_currency2, other._currency2)) {
return false;
}
if (Double.doubleToLongBits(_exchangeRate) != Double.doubleToLongBits(other._exchangeRate)) {
return false;
}
if (Double.doubleToLongBits(_fixingTime) != Double.doubleToLongBits(other._fixingTime)) {
return false;
}
if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
return false;
}
if (Double.doubleToLongBits(_paymentTime) != Double.doubleToLongBits(other._paymentTime)) {
return false;
}
return true;
}
}