/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.bond.calculator;
import static com.opengamma.financial.convention.yield.SimpleYieldConvention.INDEX_LINKED_FLOAT;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondCapitalIndexedTransaction;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction;
import com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod;
import com.opengamma.util.ArgumentChecker;
/**
* Calculate accrued interest from clean price.
*/
public final class AccruedInterestFromCleanPriceCalculator extends InstrumentDerivativeVisitorAdapter<Double, Double> {
/**
* The calculator instance.
*/
private static final AccruedInterestFromCleanPriceCalculator s_instance = new AccruedInterestFromCleanPriceCalculator();
/**
* Return the calculator instance.
* @return The instance.
*/
public static AccruedInterestFromCleanPriceCalculator getInstance() {
return s_instance;
}
/**
* Private constructor.
*/
private AccruedInterestFromCleanPriceCalculator() {
}
/**
* The method used for discounting the bond cashflows.
*/
private static final BondSecurityDiscountingMethod METHOD_BOND_SECURITY = BondSecurityDiscountingMethod.getInstance();
/**
* The method used for discounting the inflation bond cashflows.
*/
private static final BondCapitalIndexedSecurityDiscountingMethod METHOD_INFLATION_BOND_SECURITY = BondCapitalIndexedSecurityDiscountingMethod.getInstance();
@Override
public Double visitBondFixedSecurity(final BondFixedSecurity bond, final Double cleanPrice) {
ArgumentChecker.notNull(bond, "bond");
ArgumentChecker.notNull(cleanPrice, "cleanPrice");
return METHOD_BOND_SECURITY.accruedInterestFromCleanPrice(bond, cleanPrice) * 100;
}
@Override
public Double visitBondFixedTransaction(BondFixedTransaction bond, Double cleanPrice) {
return visitBondFixedSecurity(bond.getBondTransaction(), cleanPrice);
}
@Override
public Double visitBondCapitalIndexedSecurity(BondCapitalIndexedSecurity<?> bond, Double cleanRealPrice) {
ArgumentChecker.notNull(bond, "bond");
ArgumentChecker.notNull(cleanRealPrice, "yield");
double accruedInterest = METHOD_INFLATION_BOND_SECURITY.accruedInterestFromCleanRealPrice(bond, cleanRealPrice) * 100;
if (bond.getYieldConvention().equals(INDEX_LINKED_FLOAT)) {
return accruedInterest * bond.getIndexRatio();
} else {
return accruedInterest;
}
}
@Override
public Double visitBondCapitalIndexedTransaction(final BondCapitalIndexedTransaction<?> bond, final Double cleanPrice) {
ArgumentChecker.notNull(bond, "bond");
ArgumentChecker.notNull(cleanPrice, "yield");
if (!(bond.getBondStandard() instanceof BondCapitalIndexedSecurity<?>)) {
throw new IllegalArgumentException("Bond should be a BondCapitalIndexedSecurity");
}
final BondCapitalIndexedSecurity<?> bondSecurity = (BondCapitalIndexedSecurity<?>) bond.getBondStandard();
return visitBondCapitalIndexedSecurity(bondSecurity, cleanPrice);
}
}