/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.inflation;
import java.util.Arrays;
import org.apache.commons.lang.Validate;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.TemporalAdjusters;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.payment.CapFloor;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponInterpolation;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing an zero-coupon inflation caplet/floorlet were the inflation figure are interpolated between monthly inflation figures.
* The notional is positive for long the option and negative for short the option.
* The start index value is known when the coupon is traded/issued.
* The index for a given month is given in the yield curve and in the time series on the first of the month.
* The pay-off is [(Index_End / Index_Start - 1)-((1+strike)^T-1)]^{+}
**/
public class CapFloorInflationZeroCouponInterpolationDefinition extends CouponInflationDefinition implements CapFloor {
/**
* The fixing date (always the first of a month) of the last known fixing.
*/
private final ZonedDateTime _lastKnownFixingDate;
/**
* The reference dates for the index at the coupon start. Two months are required for the interpolation.
* There is usually a difference of two or three month between the reference date and the accrual start date.
*/
private final ZonedDateTime[] _referenceStartDates;
/**
* The reference dates for the index at the coupon end. Two months are required for the interpolation.
* There is usually a difference of two or three month between the reference date and the payment date.
*/
private final ZonedDateTime[] _referenceEndDates;
/**
* The weight on the first month index in the interpolation.
*/
private final double _weight;
/**
* The lag in month between the index validity and the coupon dates for the standard product (the one in exchange market and used for the calibration, this lag is in most cases 3 month).
*/
private final int _conventionalMonthLag;
/**
* The lag in month between the index validity and the coupon dates for the actual product. (In most of the cases,lags are standard so _conventionalMonthLag=_monthLag)
*/
private final int _monthLag;
/**
* The cap/floor maturity in years.
*/
private final int _maturity;
/**
* The cap/floor strike.
*/
private final double _strike;
/**
* The cap (true) / floor (false) flag.
*/
private final boolean _isCap;
/**
* Constructor from all the cap/floor details.
* @param currency The payment currency.
* @param paymentDate Coupon payment date.
* @param accrualStartDate Start date of the accrual period.
* @param accrualEndDate End date of the accrual period.
* @param paymentYearFraction Accrual factor of the accrual period; used for the payment.
* @param notional Coupon notional.
* @param priceIndex The price index associated to the coupon.
* @param lastKnownFixingDate The fixing date (always the first of a month) of the last known fixing.
* @param conventionalMonthLag The lag in month between the index validity and the coupon dates for the standard product.
* @param monthLag The lag in month between the index validity and the coupon dates for the actual product.
* @param maturity The cap/floor maturity in years.
* @param referenceStartDates The reference date for the index at the coupon start.
* @param referenceEndDates The reference date for the index at the coupon end.
* @param weight The weight for the index value in the interpolation.
* @param strike The strike
* @param isCap The cap/floor flag.
*/
public CapFloorInflationZeroCouponInterpolationDefinition(final Currency currency, final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate,
final ZonedDateTime accrualEndDate, final double paymentYearFraction, final double notional, final IndexPrice priceIndex, final ZonedDateTime lastKnownFixingDate,
final int conventionalMonthLag, final int monthLag, final int maturity, final ZonedDateTime[] referenceStartDates, final ZonedDateTime[] referenceEndDates, final double weight,
final double strike, final boolean isCap) {
super(currency, paymentDate, accrualStartDate, accrualEndDate, paymentYearFraction, notional, priceIndex);
ArgumentChecker.notNull(lastKnownFixingDate, "Last known fixing date");
ArgumentChecker.notNull(lastKnownFixingDate, "Last known fixing date");
ArgumentChecker.notNull(referenceEndDates, "Reference end date");
_lastKnownFixingDate = lastKnownFixingDate;
_conventionalMonthLag = conventionalMonthLag;
_monthLag = monthLag;
_referenceStartDates = referenceStartDates;
_referenceEndDates = referenceEndDates;
_weight = weight;
_maturity = maturity;
_strike = strike;
_isCap = isCap;
}
/**
* Builder from all the cap/floor details except weight which are calculated using the payment date.
* @param accrualStartDate Start date of the accrual period.
* @param paymentDate Coupon payment date.
* @param notional Coupon notional.
* @param priceIndex The price index associated to the coupon.
* @param conventionalMonthLag The lag in month between the index validity and the coupon dates for the standard product.
* @param monthlag The lag in month between the index validity and the coupon dates for the actual product.
* @param maturity The cap/floor maturity in years.
* @param lastKnownFixingDate The fixing date (always the first of a month) of the last known fixing.
* @param referenceEndDate The reference date for the index at the coupon end.
* @param strike The strike
* @param isCap The cap/floor flag.
* @return The cap/floor.
*/
public static CapFloorInflationZeroCouponInterpolationDefinition from(final ZonedDateTime accrualStartDate, final ZonedDateTime paymentDate, final double notional,
final IndexPrice priceIndex, final int conventionalMonthLag, final int monthlag, final int maturity, final ZonedDateTime lastKnownFixingDate, final ZonedDateTime[] referenceEndDate,
final double strike, final boolean isCap) {
Validate.notNull(priceIndex, "Price index");
final double weight = 1.0 - (paymentDate.getDayOfMonth() - 1.0) / paymentDate.toLocalDate().lengthOfMonth();
final ZonedDateTime[] referenceStartDates = new ZonedDateTime[2];
referenceStartDates[0] = accrualStartDate.minusMonths(monthlag).with(TemporalAdjusters.lastDayOfMonth());
referenceStartDates[1] = referenceStartDates[0].plusMonths(1).with(TemporalAdjusters.lastDayOfMonth());
return new CapFloorInflationZeroCouponInterpolationDefinition(priceIndex.getCurrency(), paymentDate, accrualStartDate, paymentDate, 1.0,
notional, priceIndex, lastKnownFixingDate, conventionalMonthLag, monthlag, maturity, referenceStartDates, referenceEndDate, weight, strike, isCap);
}
/**
* Builder from all the cap/floor details, using details inside the price index with standard reference end date.
* @param accrualStartDate Start date of the accrual period.
* @param paymentDate Coupon payment date.
* @param notional Coupon notional.
* @param priceIndex The price index associated to the coupon.
* @param conventionalMonthLag The lag in month between the index validity and the coupon dates.
* @param monthLag The lag in month between the index validity and the coupon dates.
* @param maturity The cap/floor maturity in years.
* @param lastKnownFixingDate The fixing date (always the first of a month) of the last known fixing.
* @param strike The strike
* @param isCap The cap/floor flag.
* @return The cap/floor.
*/
public static CapFloorInflationZeroCouponInterpolationDefinition from(final ZonedDateTime accrualStartDate, final ZonedDateTime paymentDate, final double notional,
final IndexPrice priceIndex, final int conventionalMonthLag, final int monthLag, final int maturity, final ZonedDateTime lastKnownFixingDate, final double strike,
final boolean isCap) {
Validate.notNull(priceIndex, "Price index");
final double weight = 1.0 - (paymentDate.getDayOfMonth() - 1.0) / paymentDate.toLocalDate().lengthOfMonth();
final ZonedDateTime refInterpolatedStartDate = accrualStartDate.minusMonths(monthLag);
final ZonedDateTime[] referenceStartDates = new ZonedDateTime[2];
referenceStartDates[0] = refInterpolatedStartDate.with(TemporalAdjusters.lastDayOfMonth());
referenceStartDates[1] = referenceStartDates[0].plusMonths(1).with(TemporalAdjusters.lastDayOfMonth());
final ZonedDateTime refInterpolatedEndDate = paymentDate.minusMonths(monthLag);
final ZonedDateTime[] referenceEndDate = new ZonedDateTime[2];
referenceEndDate[0] = refInterpolatedEndDate.with(TemporalAdjusters.lastDayOfMonth());
referenceEndDate[1] = referenceEndDate[0].plusMonths(1).with(TemporalAdjusters.lastDayOfMonth());
return new CapFloorInflationZeroCouponInterpolationDefinition(priceIndex.getCurrency(), paymentDate, accrualStartDate, paymentDate, 1.0,
notional, priceIndex, lastKnownFixingDate, conventionalMonthLag, monthLag, maturity, referenceStartDates, referenceEndDate, weight, strike, isCap);
}
/**
* Builder from a zero-coupon inflation interpolation coupon the cap/floor strike and isCap flag.
* @param couponInflation The underlying inflation coupon.
* @param lastKnownFixingDate The fixing date (always the first of a month) of the last known fixing.
* @param maturity The cap/floor maturity in years.
* @param strike The strike
* @param isCap The cap/floor flag.
* @return The cap/floor
*/
public static CapFloorInflationZeroCouponInterpolationDefinition from(final CouponInflationZeroCouponInterpolationDefinition couponInflation, final ZonedDateTime lastKnownFixingDate,
final int maturity, final double strike, final boolean isCap) {
Validate.notNull(couponInflation, "coupon Ibor");
return new CapFloorInflationZeroCouponInterpolationDefinition(couponInflation.getCurrency(), couponInflation.getPaymentDate(), couponInflation.getAccrualStartDate(),
couponInflation.getAccrualEndDate(), couponInflation.getPaymentYearFraction(), couponInflation.getNotional(), couponInflation.getPriceIndex(),
lastKnownFixingDate, couponInflation.getConventionalMonthLag(), couponInflation.getMonthLag(), maturity, couponInflation.getReferenceStartDates(),
couponInflation.getReferenceEndDates(), couponInflation.getWeight(), strike, isCap);
}
/**
* Gets the fixing date (always the first of a month) of the last known fixing..
* @return the last known fixing date.
*/
public ZonedDateTime getLastKnownFixingDate() {
return _lastKnownFixingDate;
}
/**
* Gets the lag in month between the index validity and the coupon dates for the standard product.
* @return The lag.
*/
public int getConventionalMonthLag() {
return _conventionalMonthLag;
}
/**
* Gets the lag in month between the index validity and the coupon dates for the actual product.
* @return The lag.
*/
public int getMonthLag() {
return _monthLag;
}
/**
* Gets the reference date for the index at the coupon start.
* @return The reference date for the index at the coupon start.
*/
public ZonedDateTime[] getReferenceStartDates() {
return _referenceStartDates;
}
/**
* Gets the reference dates for the index at the coupon end.
* @return The reference dates for the index at the coupon end.
*/
public ZonedDateTime[] getReferenceEndDates() {
return _referenceEndDates;
}
/**
* Gets the weight on the first month index in the interpolation.
* @return The weight.
*/
public double getWeight() {
return _weight;
}
/**
* Gets the cap/floor maturity in years..
* @return The maturity.
*/
public int getMaturity() {
return _maturity;
}
/**
* Gets the cap/floor strike in years.
* @return The strike.
*/
@Override
public double getStrike() {
return _strike;
}
/**
* Gets The cap (true) / floor (false) flag.
* @return The flag.
*/
@Override
public boolean isCap() {
return _isCap;
}
@Override
public CouponInflationDefinition with(final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double notional) {
return null;
}
/**
* {@inheritDoc}
*/
@Override
public double payOff(final double fixing) {
final double omega = (_isCap) ? 1.0 : -1.0;
return Math.max(omega * (fixing - Math.pow(1 + _strike, _maturity)), 0);
}
@Override
public CapFloorInflationZeroCouponInterpolation toDerivative(final ZonedDateTime date) {
throw new OpenGammaRuntimeException("a time serie is needed");
}
@Override
public Coupon toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(priceIndexTimeSeries, "price index time series");
ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
final Double fixedStartIndex0 = priceIndexTimeSeries.getValue(getReferenceStartDates()[0]);
ArgumentChecker.notNull(fixedStartIndex0, "first fixing not in the price index time series");
final Double fixedStartIndex1 = priceIndexTimeSeries.getValue(getReferenceStartDates()[1]);
ArgumentChecker.notNull(fixedStartIndex1, "first fixing not in the price index time series");
final Double fixedStartIndex = getWeight() * fixedStartIndex0 + (1 - getWeight()) * fixedStartIndex1;
final double lastKnownFixingTime = TimeCalculator.getTimeBetween(date, getLastKnownFixingDate());
final LocalDate dayConversion = date.toLocalDate();
final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
final LocalDate dayFixing = getReferenceEndDates()[1].toLocalDate();
if (dayConversion.isAfter(dayFixing)) {
final Double fixedEndIndex1 = priceIndexTimeSeries.getValue(getReferenceEndDates()[1]);
if (fixedEndIndex1 != null) {
final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDates()[0]);
final Double fixedEndIndex = getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
final Double fixedRate = (fixedEndIndex / fixedStartIndex - 1.0);
return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
}
}
final double[] referenceEndTime = new double[2];
referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
return new CapFloorInflationZeroCouponInterpolation(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), lastKnownFixingTime, fixedStartIndex, referenceEndTime,
naturalPaymentEndTime, _maturity, _weight, _strike, _isCap);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCapFloorInflationZeroCouponInterpolationDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCapFloorInflationZeroCouponInterpolationDefinition(this);
}
@Override
public String toString() {
return super.toString() + ", IsCap = " + _isCap + ", Strike = " + _strike;
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + _conventionalMonthLag;
result = prime * result + (_isCap ? 1231 : 1237);
result = prime * result + ((_lastKnownFixingDate == null) ? 0 : _lastKnownFixingDate.hashCode());
result = prime * result + _maturity;
result = prime * result + _monthLag;
result = prime * result + Arrays.hashCode(_referenceEndDates);
result = prime * result + ((_referenceStartDates == null) ? 0 : _referenceStartDates.hashCode());
long temp;
temp = Double.doubleToLongBits(_strike);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_weight);
result = prime * result + (int) (temp ^ (temp >>> 32));
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 CapFloorInflationZeroCouponInterpolationDefinition other = (CapFloorInflationZeroCouponInterpolationDefinition) obj;
if (_conventionalMonthLag != other._conventionalMonthLag) {
return false;
}
if (_isCap != other._isCap) {
return false;
}
if (_lastKnownFixingDate == null) {
if (other._lastKnownFixingDate != null) {
return false;
}
} else if (!_lastKnownFixingDate.equals(other._lastKnownFixingDate)) {
return false;
}
if (_maturity != other._maturity) {
return false;
}
if (_monthLag != other._monthLag) {
return false;
}
if (!Arrays.equals(_referenceEndDates, other._referenceEndDates)) {
return false;
}
if (_referenceStartDates == null) {
if (other._referenceStartDates != null) {
return false;
}
} else if (!_referenceStartDates.equals(other._referenceStartDates)) {
return false;
}
if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
return false;
}
if (Double.doubleToLongBits(_weight) != Double.doubleToLongBits(other._weight)) {
return false;
}
return true;
}
}