/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.derivative;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Description of Deliverable Interest Rate Swap Futures as traded on CME.
*/
public class SwapFuturesPriceDeliverableSecurity extends FuturesSecurity {
/**
* The delivery time. Usually the third Wednesday of the month is the spot date.
*/
private final double _deliveryTime;
/**
* The futures underlying swap. The delivery date should be the first accrual date of the underlying swap. The swap should be a receiver swap of notional 1.
*/
private final SwapFixedCoupon<? extends Coupon> _underlyingSwap;
/**
* The notional of the future (also called face value or contract value).
*/
private final double _notional;
/**
* Constructor.
* @param lastTradingTime The futures last trading time.
* @param deliveryTime The delivery time.
* @param underlyingSwap The futures underlying swap.
* @param notional The notional of the future (also called face value or contract value).
*/
public SwapFuturesPriceDeliverableSecurity(final double lastTradingTime, final double deliveryTime, final SwapFixedCoupon<? extends Coupon> underlyingSwap, final double notional) {
super(lastTradingTime);
ArgumentChecker.notNull(underlyingSwap, "Underlying swap");
_deliveryTime = deliveryTime;
_underlyingSwap = underlyingSwap;
_notional = notional;
}
/**
* Gets the delivery time.
* @return The time.
*/
public double getDeliveryTime() {
return _deliveryTime;
}
/**
* Gets the futures underlying swap.
* @return The underlying swap.
*/
public SwapFixedCoupon<? extends Coupon> getUnderlyingSwap() {
return _underlyingSwap;
}
/**
* Gets the notional of the future (also called face value or contract value).
* @return The notional.
*/
public double getNotional() {
return _notional;
}
/**
* Gets the futures currency.
* @return The currency.
*/
@Override
public Currency getCurrency() {
return _underlyingSwap.getFirstLeg().getCurrency();
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwapFuturesPriceDeliverableSecurity(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitSwapFuturesPriceDeliverableSecurity(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_deliveryTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_notional);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _underlyingSwap.hashCode();
return result;
}
@Override
public boolean equals(Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
SwapFuturesPriceDeliverableSecurity other = (SwapFuturesPriceDeliverableSecurity) obj;
if (Double.doubleToLongBits(_deliveryTime) != Double.doubleToLongBits(other._deliveryTime)) {
return false;
}
if (Double.doubleToLongBits(_notional) != Double.doubleToLongBits(other._notional)) {
return false;
}
if (!ObjectUtils.equals(_underlyingSwap, other._underlyingSwap)) {
return false;
}
return true;
}
}