/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.index;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.swap.SwapIborONDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.ArgumentChecker;
/**
* Generator (or template) for OIS.
*/
public class GeneratorSwapIborON extends GeneratorInstrument<GeneratorAttributeIR> {
/**
* The Ibor index.
*/
private final IborIndex _indexIbor;
/**
* The ON index.
*/
private final IndexON _indexON;
/**
* The business day convention for the payments (used for both legs).
*/
private final BusinessDayConvention _businessDayConvention;
/**
* The flag indicating if the end-of-month rule is used (used for both legs).
*/
private final boolean _endOfMonth;
/**
* The spot lag in days between trade and settlement date (usually 2 or 0).
*/
private final int _spotLag;
/**
* The lag in days between the last ON fixing date and the coupon payment. Usually is the same as the _spotLag.
*/
private final int _paymentLag;
/**
* In case the the periods do not fit exactly between start and end date, is the remaining interval shorter (true) or longer (false) than the requested period.
*/
private final boolean _stubShort;
/**
* The dates in the schedule can be computed from the end date (true) or from the start date (false).
*/
private final boolean _fromEnd;
/**
* The holiday calendar associated with the ibor index.
*/
private final Calendar _iborCalendar;
/**
* The holiday calendar associated with the overnight index.
*/
private final Calendar _overnightCalendar;
/**
* Constructor from all details. The stub is short and date constructed from the end.
* @param name The generator name.
* @param indexIbor The Ibor index. Not null.
* @param indexON The ON index. Not null.
* @param businessDayConvention The business day convention for the payments (used for both legs).
* @param endOfMonth The flag indicating if the end-of-month rule is used (used for both legs).
* @param spotLag The index spot lag in days between trade and settlement date (usually 2 or 0).
* @param iborCalendar The holiday calendar for the ibor index.
* @param overnightCalendar The holiday calendar for the overnight index.
*/
public GeneratorSwapIborON(final String name, final IborIndex indexIbor, final IndexON indexON, final BusinessDayConvention businessDayConvention,
final boolean endOfMonth, final int spotLag, final Calendar iborCalendar, final Calendar overnightCalendar) {
super(name);
ArgumentChecker.notNull(indexIbor, "Index Ibor");
ArgumentChecker.notNull(indexON, "Index ON");
ArgumentChecker.notNull(businessDayConvention, "Business day convention");
ArgumentChecker.notNull(iborCalendar, "ibor calendar");
ArgumentChecker.notNull(overnightCalendar, "overnight calendar");
_indexIbor = indexIbor;
_indexON = indexON;
_businessDayConvention = businessDayConvention;
_endOfMonth = endOfMonth;
_spotLag = spotLag;
_paymentLag = spotLag;
_stubShort = true;
_fromEnd = true;
_iborCalendar = iborCalendar;
_overnightCalendar = overnightCalendar;
}
/**
* Constructor from all details. The stub is short and date constructed from the end.
* @param name The generator name.
* @param indexIbor The Ibor index. Not null.
* @param indexON The ON index. Not null.
* @param businessDayConvention The business day convention for the payments (used for both legs).
* @param endOfMonth The flag indicating if the end-of-month rule is used (used for both legs).
* @param spotLag The index spot lag in days between trade and settlement date (usually 2 or 0).
* @param paymentLag The lag in days between the last ON fixing date and the coupon payment.
* @param iborCalendar The holiday calendar for the ibor index.
* @param overnightCalendar The holiday calendar for the overnight index.
*/
public GeneratorSwapIborON(final String name, final IborIndex indexIbor, final IndexON indexON, final BusinessDayConvention businessDayConvention,
final boolean endOfMonth, final int spotLag, final int paymentLag, final Calendar iborCalendar, final Calendar overnightCalendar) {
super(name);
ArgumentChecker.notNull(indexIbor, "Index Ibor");
ArgumentChecker.notNull(indexON, "Index ON");
ArgumentChecker.notNull(businessDayConvention, "Business day convention");
ArgumentChecker.notNull(iborCalendar, "ibor calendar");
ArgumentChecker.notNull(overnightCalendar, "overnight calendar");
_indexIbor = indexIbor;
_indexON = indexON;
_businessDayConvention = businessDayConvention;
_endOfMonth = endOfMonth;
_spotLag = spotLag;
_paymentLag = paymentLag;
_stubShort = true;
_fromEnd = true;
_iborCalendar = iborCalendar;
_overnightCalendar = overnightCalendar;
}
/**
* Gets the Ibor index.
* @return The index.
*/
public IborIndex getIndexIbor() {
return _indexIbor;
}
/**
* Gets the ON index.
* @return The index.
*/
public IndexON getIndexON() {
return _indexON;
}
/**
* Gets the business day convention for the payments (used for both legs).
* @return The business day convention.
*/
public BusinessDayConvention getBusinessDayConvention() {
return _businessDayConvention;
}
/**
* Gets the flag indicating if the end-of-month rule is used (used for both legs).
* @return The flag indicating if the end-of-month rule is used.
*/
public boolean isEndOfMonth() {
return _endOfMonth;
}
/**
* Gets the flag indicating if the remaining interval is shorter (true) or longer (false) than the requested period.
* @return The flag.
*/
public boolean isStubShort() {
return _stubShort;
}
/**
* Gets the flag indicating if dates in the schedule are be computed from the end date (true) or from the start date (false).
* @return The flag.
*/
public boolean isFromEnd() {
return _fromEnd;
}
/**
* Gets the spot lag in days between trade and settlement date (usually 2 or 0).
* @return The spot lag.
*/
public int getSpotLag() {
return _spotLag;
}
/**
* Gets the lag in days between the last ON fixing date and the coupon payment.
* @return The payment lag.
*/
public int getPaymentLag() {
return _paymentLag;
}
/**
* Gets the calendar associated to the Ibor index.
* @return The calendar.
*/
public Calendar getIborCalendar() {
return _iborCalendar;
}
/**
* Gets the calendar associated to the overnight index.
* @return The calendar.
*/
public Calendar getOvernightCalendar() {
return _overnightCalendar;
}
@Override
public SwapIborONDefinition generateInstrument(final ZonedDateTime date, final double spread, final double notional, final GeneratorAttributeIR attribute) {
ArgumentChecker.notNull(date, "Reference date");
ArgumentChecker.notNull(attribute, "Attributes");
final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, _spotLag, _iborCalendar);
final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spot, attribute.getStartPeriod(), _indexIbor, _iborCalendar);
return SwapIborONDefinition.from(startDate, attribute.getEndPeriod(), this, notional, -spread, true, _iborCalendar);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + ((_businessDayConvention == null) ? 0 : _businessDayConvention.hashCode());
result = prime * result + (_endOfMonth ? 1231 : 1237);
result = prime * result + (_fromEnd ? 1231 : 1237);
result = prime * result + _indexIbor.hashCode();
result = prime * result + _indexON.hashCode();
result = prime * result + _paymentLag;
result = prime * result + _spotLag;
result = prime * result + (_stubShort ? 1231 : 1237);
result = prime * result + _iborCalendar.hashCode();
result = prime * result + _overnightCalendar.hashCode();
result = prime * result + _indexON.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final GeneratorSwapIborON other = (GeneratorSwapIborON) obj;
if (!ObjectUtils.equals(_businessDayConvention, other._businessDayConvention)) {
return false;
}
if (_endOfMonth != other._endOfMonth) {
return false;
}
if (_fromEnd != other._fromEnd) {
return false;
}
if (!ObjectUtils.equals(_indexIbor, other._indexIbor)) {
return false;
}
if (!ObjectUtils.equals(_indexON, other._indexON)) {
return false;
}
if (_paymentLag != other._paymentLag) {
return false;
}
if (_spotLag != other._spotLag) {
return false;
}
if (_stubShort != other._stubShort) {
return false;
}
if (!ObjectUtils.equals(_iborCalendar, other._iborCalendar)) {
return false;
}
if (!ObjectUtils.equals(_overnightCalendar, other._overnightCalendar)) {
return false;
}
return true;
}
}