/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionWithData;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.util.ArgumentChecker;
/**
* Description of transaction on an interest rate future option security with daily margining process (LIFFE and Eurex type).
*/
public class InterestRateFutureOptionMarginTransactionDefinition extends FuturesTransactionDefinition<InterestRateFutureOptionMarginSecurityDefinition>
implements InstrumentDefinitionWithData<InterestRateFutureOptionMarginTransaction, Double> {
/**
* Constructor of the future option transaction from details.
* @param underlyingOption The underlying option future security.
* @param quantity The quantity of the transaction. Can be positive or negative.
* @param tradeDate The transaction date.
* @param tradePrice The transaction price.
*/
public InterestRateFutureOptionMarginTransactionDefinition(final InterestRateFutureOptionMarginSecurityDefinition underlyingOption, final long quantity,
final ZonedDateTime tradeDate, final double tradePrice) {
super(underlyingOption, quantity, tradeDate, tradePrice);
}
@Override
public InterestRateFutureOptionMarginTransaction toDerivative(final ZonedDateTime date) {
throw new UnsupportedOperationException("The method toDerivative of InterestRateTransactionDefinition does not support the two argument method (without margin price data).");
}
/**
* {@inheritDoc}
* The lastMarginPrice is the last closing price used for margining. It is usually the official closing price of the previous business day.
*/
@Override
public InterestRateFutureOptionMarginTransaction toDerivative(final ZonedDateTime dateTime, final Double lastMarginPrice) {
final double referencePrice = referencePrice(dateTime, lastMarginPrice);
final InterestRateFutureOptionMarginSecurity underlyingOption = getUnderlyingSecurity().toDerivative(dateTime);
final InterestRateFutureOptionMarginTransaction optionTransaction = new InterestRateFutureOptionMarginTransaction(underlyingOption, getQuantity(), referencePrice);
return optionTransaction;
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitInterestRateFutureOptionMarginTransactionDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitInterestRateFutureOptionMarginTransactionDefinition(this);
}
}