/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.payment;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing a Constant Maturity Swap coupon.
*/
public class CouponCMSDefinition extends CouponFloatingDefinition {
/**
* The swap underlying the CMS coupon.
*/
private final SwapFixedIborDefinition _underlyingSwap;
/**
* The CMS index associated to the coupon.
*/
private final IndexSwap _cmsIndex;
/**
* Constructor of a CMS coupon from all the 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 accrualFactor Accrual factor of the accrual period.
* @param notional Coupon notional.
* @param fixingDate The coupon fixing date.
* @param underlyingSwap A swap describing the CMS underlying. The rate and notional are not used.
* @param cmsIndex The CMS index associated to the coupon.
*/
public CouponCMSDefinition(final Currency currency, final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double accrualFactor,
final double notional, final ZonedDateTime fixingDate, final SwapFixedIborDefinition underlyingSwap, final IndexSwap cmsIndex) {
super(currency, paymentDate, accrualStartDate, accrualEndDate, accrualFactor, notional, fixingDate);
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
ArgumentChecker.notNull(cmsIndex, "CMS index");
_underlyingSwap = underlyingSwap;
_cmsIndex = cmsIndex;
}
/**
* Constructor of a CMS coupon from all the details.
* @param paymentDate Coupon payment date.
* @param accrualStartDate Start date of the accrual period.
* @param accrualEndDate End date of the accrual period.
* @param accrualFactor Accrual factor of the accrual period.
* @param notional Coupon notional.
* @param fixingDate The coupon fixing date.
* @param underlyingSwap A swap describing the CMS underlying. The rate and notional are not used.
* @param cmsIndex The CMS index associated to the coupon.
* @return The CMS coupon.
*/
public static CouponCMSDefinition from(final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double accrualFactor, final double notional,
final ZonedDateTime fixingDate, final SwapFixedIborDefinition underlyingSwap, final IndexSwap cmsIndex) {
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
return new CouponCMSDefinition(underlyingSwap.getCurrency(), paymentDate, accrualStartDate, accrualEndDate, accrualFactor, notional, fixingDate, underlyingSwap, cmsIndex);
}
/**
* Builder of a CMS coupon. The fixing date is computed from the start accrual date with the Ibor index spot lag. The underlying swap is computed from that date and the CMS index.
* @param paymentDate Coupon payment date.
* @param accrualStartDate Start date of the accrual period.
* @param accrualEndDate End date of the accrual period.
* @param accrualFactor Accrual factor of the accrual period.
* @param notional Coupon notional.
* @param cmsIndex The CMS index associated to the coupon.
* @param iborCalendar The holiday calendar for the ibor index.
* @return The CMS coupon.
*/
public static CouponCMSDefinition from(final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double accrualFactor, final double notional,
final IndexSwap cmsIndex, final Calendar iborCalendar) {
final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(accrualStartDate, -cmsIndex.getIborIndex().getSpotLag(), iborCalendar);
// Implementation comment: the underlying swap is used for forward. The notional, rate and payer flag are irrelevant.
final SwapFixedIborDefinition underlyingSwap = SwapFixedIborDefinition.from(accrualStartDate, cmsIndex, 1.0, 1.0, true, iborCalendar);
return new CouponCMSDefinition(underlyingSwap.getCurrency(), paymentDate, accrualStartDate, accrualEndDate, accrualFactor, notional, fixingDate, underlyingSwap, cmsIndex);
}
/**
* Builder from a floating coupon and an underlying swap.
* @param coupon A floating coupon with the details of the coupon to construct.
* @param underlyingSwap A swap describing the CMS underlying. The rate and notional are not used.
* @param cmsIndex The CMS index associated to the coupon.
* @return The constructed CMS coupon.
*/
public static CouponCMSDefinition from(final CouponFloatingDefinition coupon, final SwapFixedIborDefinition underlyingSwap, final IndexSwap cmsIndex) {
ArgumentChecker.notNull(coupon, "floating coupon");
ArgumentChecker.notNull(underlyingSwap, "underlying swap");
return new CouponCMSDefinition(coupon.getCurrency(), coupon.getPaymentDate(), coupon.getAccrualStartDate(), coupon.getAccrualEndDate(), coupon.getPaymentYearFraction(), coupon.getNotional(),
coupon.getFixingDate(), underlyingSwap, cmsIndex);
}
/**
* Builder from a floating coupon and a CMS Index.
* @param coupon A floating coupon with the details of the coupon to construct.
* @param cmsIndex The CMS index associated to the coupon.
* @param iborCalendar The holiday calendar for the ibor index.
* @return The constructed CMS coupon.
*/
public static CouponCMSDefinition from(final CouponFloatingDefinition coupon, final IndexSwap cmsIndex, final Calendar iborCalendar) {
ArgumentChecker.notNull(coupon, "floating coupon");
ArgumentChecker.notNull(cmsIndex, "CMS index");
final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(coupon.getFixingDate(), cmsIndex.getIborIndex().getSpotLag(), iborCalendar);
// Implementation comment: the underlying swap is used for forward. The notional, rate and payer flag are irrelevant.
final SwapFixedIborDefinition underlyingSwap = SwapFixedIborDefinition.from(settlementDate, cmsIndex, 1.0, 1.0, true, iborCalendar);
return new CouponCMSDefinition(coupon.getCurrency(), coupon.getPaymentDate(), coupon.getAccrualStartDate(), coupon.getAccrualEndDate(), coupon.getPaymentYearFraction(), coupon.getNotional(),
coupon.getFixingDate(), underlyingSwap, cmsIndex);
}
/**
* Gets the underlying swap.
* @return The underlying swap
*/
public SwapFixedIborDefinition getUnderlyingSwap() {
return _underlyingSwap;
}
/**
* Gets the CMS index associated to the coupon.
* @return The CMS index.
*/
public IndexSwap getCMSIndex() {
return _cmsIndex;
}
@Override
public String toString() {
return super.toString() + ", Swap = " + _underlyingSwap.toString();
}
@Override
public Coupon toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.isTrue(date.isBefore(getFixingDate()), "Do not have any fixing data but are asking for a derivative after the fixing date");
ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
// CMS is not fixed yet, all the details are required.
final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
final double settlementTime = TimeCalculator.getTimeBetween(date, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(date);
//Implementation remark: SwapFixedIbor can not be used as the first coupon may have fixed already and one CouponIbor is now fixed.
return new CouponCMS(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, swap, settlementTime);
}
@Override
public Coupon toDerivative(final ZonedDateTime dateTime, final DoubleTimeSeries<ZonedDateTime> indexFixingTimeSeries) {
ArgumentChecker.notNull(dateTime, "date");
final LocalDate dayConversion = dateTime.toLocalDate();
ArgumentChecker.notNull(indexFixingTimeSeries, "Index fixing time series");
ArgumentChecker.isTrue(!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
final LocalDate dayFixing = getFixingDate().toLocalDate();
if (dayConversion.equals(dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if not, the floating coupon is created.
final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
if (fixedRate != null) {
return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
}
}
if (dayConversion.isAfter(dayFixing)) { // The fixing is required
final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate().withHour(0)); // TODO: remove time from fixing date.
if (fixedRate == null) {
throw new OpenGammaRuntimeException("Could not get fixing value for date " + dayFixing);
}
return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
}
final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime);
//Implementation remark: SwapFixedIbor can not be used as the first coupon may have fixed already and one CouponIbor is now fixed.
return new CouponCMS(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, swap, settlementTime);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponCMSDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponCMSDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + _underlyingSwap.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 CouponCMSDefinition other = (CouponCMSDefinition) obj;
if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) {
return false;
}
return true;
}
}