CouponInflationYearOnYearMonthlyDefinition.java example

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/**
 * 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 org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.TemporalAdjusters;

import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthly;
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 a Year on Year inflation coupon were the inflation figure are the one of the reference month and are not interpolated.
 * 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 paymentYearFraction*(Index_End / Index_Start - X) with X=0 for notional payment and X=1 for no notional payment.
 */

public class CouponInflationYearOnYearMonthlyDefinition extends CouponInflationDefinition {

  /**
   * The reference date for the index at the coupon start.
   */
  private final ZonedDateTime _referenceStartDate;

  /**
   * The reference date for the index at the coupon end. The first of the month. There is usually a difference of two or three month between the reference date and the payment date.
   */
  private final ZonedDateTime _referenceEndDate;
  /**
   * Flag indicating if the notional is paid (true) or not (false).
   */
  private final boolean _payNotional;
  /**
   * 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;

  /**
   * Constructor for Year on Year inflation coupon.
   * @param currency The coupon currency.
   * @param paymentDate The 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.
   * @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 referenceStartDate The reference date for the index at the coupon start.
   * @param referenceEndDate The reference date for the index at the coupon end.
   * @param payNotional Flag indicating if the notional is paid (true) or not (false).
   */
  public CouponInflationYearOnYearMonthlyDefinition(final Currency currency, final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate,
      final ZonedDateTime accrualEndDate, final double paymentYearFraction, final double notional, final IndexPrice priceIndex, final int conventionalMonthLag,
      final int monthLag, final ZonedDateTime referenceStartDate, final ZonedDateTime referenceEndDate, final boolean payNotional) {
    super(currency, paymentDate, accrualStartDate, accrualEndDate, paymentYearFraction, notional, priceIndex);
    ArgumentChecker.notNull(referenceStartDate, "Reference start date");
    ArgumentChecker.notNull(referenceEndDate, "Reference end date");
    _referenceStartDate = referenceStartDate;
    _referenceEndDate = referenceEndDate;
    _payNotional = payNotional;
    _conventionalMonthLag = conventionalMonthLag;
    _monthLag = monthLag;
  }

  /**
   * Builder for inflation Year on Yearn based on an inflation lag and index publication. The fixing date is the publication lag after the last reference month. The month lag is the conventional one.
   * @param accrualStartDate Start date of the accrual period.
   * @param paymentDate The 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 payNotional Flag indicating if the notional is paid (true) or not (false).
   * @return The inflation zero-coupon.
   */
  public static CouponInflationYearOnYearMonthlyDefinition from(final ZonedDateTime accrualStartDate, final ZonedDateTime paymentDate, final double notional,
      final IndexPrice priceIndex, final int conventionalMonthLag, final boolean payNotional) {
    final ZonedDateTime referenceStartDate = accrualStartDate.minusMonths(conventionalMonthLag).with(TemporalAdjusters.lastDayOfMonth()).withHour(0).withMinute(0);
    final ZonedDateTime referenceEndDate = paymentDate.minusMonths(conventionalMonthLag).with(TemporalAdjusters.lastDayOfMonth()).withHour(0).withMinute(0);

    return new CouponInflationYearOnYearMonthlyDefinition(priceIndex.getCurrency(), paymentDate, accrualStartDate, paymentDate, 1.0, notional, priceIndex, conventionalMonthLag,
        conventionalMonthLag, referenceStartDate, referenceEndDate, payNotional);
  }

  /**
   * Builder for inflation Year on Yearn based on an inflation lag and index publication. The fixing date is the publication lag after the last reference month.
   * @param accrualStartDate Start date of the accrual period.
   * @param paymentDate The 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 payNotional Flag indicating if the notional is paid (true) or not (false).
   * @return The inflation zero-coupon.
   */
  public static CouponInflationYearOnYearMonthlyDefinition from(final ZonedDateTime accrualStartDate, final ZonedDateTime paymentDate, final double notional,
      final IndexPrice priceIndex, final int conventionalMonthLag, final int monthLag, final boolean payNotional) {
    final ZonedDateTime referenceStartDate = accrualStartDate.minusMonths(conventionalMonthLag).with(TemporalAdjusters.lastDayOfMonth()).withHour(0).withMinute(0);
    final ZonedDateTime referenceEndDate = paymentDate.minusMonths(conventionalMonthLag).with(TemporalAdjusters.lastDayOfMonth()).withHour(0).withMinute(0);
    return new CouponInflationYearOnYearMonthlyDefinition(priceIndex.getCurrency(), paymentDate, accrualStartDate, paymentDate, 1.0, notional, priceIndex, conventionalMonthLag,
        monthLag, referenceStartDate, referenceEndDate, payNotional);
  }

  /**
   * Gets the reference date for the index at the coupon start.
   * @return The reference date for the index at the coupon start.
   */
  public ZonedDateTime getReferenceStartDate() {
    return _referenceStartDate;
  }

  /**
   * Gets the reference date for the index at the coupon end.
   * @return The reference date for the index at the coupon end.
   */
  public ZonedDateTime getReferenceEndDate() {
    return _referenceEndDate;
  }

  /**
   * Gets the pay notional flag.
   * @return The flag.
   */
  public boolean payNotional() {
    return _payNotional;
  }

  /**
   * Gets the lag in month between the index validity and the coupon dates.
   * @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;
  }

  @Override
  public CouponInflationDefinition with(final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double notional) {
    return from(accrualStartDate, paymentDate, notional, getPriceIndex(), _conventionalMonthLag, _monthLag, _payNotional);
  }

  @Override
  public CouponInflationYearOnYearMonthly toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "Do not have any fixing data but are asking for a derivative after the payment date");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double referenceEndTime = TimeCalculator.getTimeBetween(date, getReferenceEndDate());
    final double referenceStartTime = TimeCalculator.getTimeBetween(date, getReferenceStartDate());
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CouponInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

  @Override
  public Coupon toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries) {
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
    final LocalDate dayConversion = date.toLocalDate();
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final LocalDate dayFixing = getReferenceEndDate().toLocalDate();
    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedStartIndex = priceIndexTimeSeries.getValue(getReferenceStartDate());
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    double referenceStartTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    referenceStartTime = TimeCalculator.getTimeBetween(date, _referenceStartDate);
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CouponInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

  @Override
  public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
    ArgumentChecker.notNull(visitor, "visitor");
    return visitor.visitCouponInflationYearOnYearFirstOfMonth(this, data);
  }

  @Override
  public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
    ArgumentChecker.notNull(visitor, "visitor");
    return visitor.visitCouponInflationYearOnYearFirstOfMonth(this);
  }

  @Override
  public int hashCode() {
    final int prime = 31;
    int result = super.hashCode();
    result = prime * result + _conventionalMonthLag;
    result = prime * result + _monthLag;
    result = prime * result + (_payNotional ? 1231 : 1237);
    result = prime * result + _referenceEndDate.hashCode();
    result = prime * result + _referenceStartDate.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 CouponInflationYearOnYearMonthlyDefinition other = (CouponInflationYearOnYearMonthlyDefinition) obj;
    if (_conventionalMonthLag != other._conventionalMonthLag) {
      return false;
    }
    if (_monthLag != other._monthLag) {
      return false;
    }
    if (_payNotional != other._payNotional) {
      return false;
    }
    if (!ObjectUtils.equals(_referenceEndDate, other._referenceEndDate)) {
      return false;
    }
    if (!ObjectUtils.equals(_referenceStartDate, other._referenceStartDate)) {
      return false;
    }
    return true;
  }

}