/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.inflation.derivative;
import java.util.Arrays;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.payment.CapFloor;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.util.money.Currency;
/**
* Class describing an zero-coupon inflation caplet/floorlet were the inflation figure are interpolated between monthly inflation figures.
*/
public class CapFloorInflationZeroCouponInterpolation extends CouponInflation implements CapFloor {
/**
* The fixing time of the last known fixing.
*/
private final double _lastKnownFixingTime;
/**
* The index value at the start of the coupon.
*/
private final double _indexStartValue;
/**
* The reference times 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.
* The time can be negative (when the price index for the current and last month is not yet published).
*/
private final double[] _referenceEndTime;
/**
* The time for which the index at the coupon end is paid by the standard corresponding zero coupon.
* There is usually a difference of two or three month between the reference date and the natural payment date.
* the natural payment date is equal to the payment date when the lag is the conventional one.
* The time can be negative (when the price index for the current and last month is not yet published).
*/
private final double _naturalPaymentTime;
/**
* The cap/floor maturity in years.
*/
private final int _maturity;
/**
* The weight on the first month index in the interpolation.
*/
private final double _weight;
/**
* 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 coupon currency.
* @param paymentTime The time to payment.
* @param paymentYearFraction Accrual factor of the accrual period.
* @param notional Coupon notional.
* @param priceIndex The price index associated to the coupon.
* @param lastKnownFixingTime The fixing time of the last known fixing.
* @param indexStartValue The index value at the start of the coupon.
* @param referenceEndTime The reference time for the index at the coupon end.
* @param naturalPaymentTime The time for which the index at the coupon end is paid by the standard corresponding zero coupon.
* @param maturity The cap/floor maturity in years.
* @param weight The weight on the first month index in the interpolation.
* @param strike The strike
* @param isCap The cap/floor flag.
*/
public CapFloorInflationZeroCouponInterpolation(final Currency currency, final double paymentTime, final double paymentYearFraction, final double notional, final IndexPrice priceIndex,
final double lastKnownFixingTime, final double indexStartValue, final double[] referenceEndTime, final double naturalPaymentTime, final int maturity, final double weight, double strike,
boolean isCap) {
super(currency, paymentTime, paymentYearFraction, notional, priceIndex);
_lastKnownFixingTime = lastKnownFixingTime;
_indexStartValue = indexStartValue;
_referenceEndTime = referenceEndTime;
_naturalPaymentTime = naturalPaymentTime;
_maturity = maturity;
_weight = weight;
_strike = strike;
_isCap = isCap;
}
/**
* Create a new cap/floor with the same characteristics except the strike.
* @param strike The new strike.
* @return The cap/floor.
*/
public CapFloorInflationZeroCouponInterpolation withStrike(final double strike) {
return new CapFloorInflationZeroCouponInterpolation(getCurrency(), getPaymentTime(), getPaymentYearFraction(), getNotional(), getPriceIndex(),
_lastKnownFixingTime, _indexStartValue, _referenceEndTime, _naturalPaymentTime, _maturity, _weight, strike, _isCap);
}
/**
* Builder from a Ibor coupon, the strike and the cap/floor flag.
* @param coupon An Ibor coupon.
* @param lastKnownFixingTime The fixing time 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 CapFloorInflationZeroCouponInterpolation from(final CouponInflationZeroCouponInterpolation coupon, final double lastKnownFixingTime, final int maturity, final double strike,
final boolean isCap) {
return new CapFloorInflationZeroCouponInterpolation(coupon.getCurrency(), coupon.getPaymentTime(), coupon.getPaymentYearFraction(), coupon.getNotional(), coupon.getPriceIndex(),
lastKnownFixingTime, coupon.getIndexStartValue(), coupon.getReferenceEndTime(), coupon.getNaturalPaymentTime(), maturity, coupon.getWeight(), strike, isCap);
}
public double getLastKnownFixingTime() {
return _lastKnownFixingTime;
}
public double getIndexStartValue() {
return _indexStartValue;
}
public double[] getReferenceEndTime() {
return _referenceEndTime;
}
public double getNaturalPaymentTime() {
return _naturalPaymentTime;
}
public int getMaturity() {
return _maturity;
}
public double getWeight() {
return _weight;
}
@Override
public double getStrike() {
return _strike;
}
@Override
public boolean isCap() {
return _isCap;
}
@Override
public Coupon withNotional(double notional) {
return new CapFloorInflationZeroCouponInterpolation(getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getPriceIndex(), _lastKnownFixingTime, _indexStartValue,
_referenceEndTime, _naturalPaymentTime, _maturity, _weight, _strike, _isCap);
}
@Override
public double payOff(double fixing) {
double omega = (_isCap) ? 1.0 : -1.0;
return Math.max(omega * (fixing - Math.pow(1 + _strike, _maturity)), 0);
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
return visitor.visitCapFloorInflationZeroCouponInterpolation(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
return visitor.visitCapFloorInflationZeroCouponInterpolation(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_indexStartValue);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + (_isCap ? 1231 : 1237);
temp = Double.doubleToLongBits(_lastKnownFixingTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _maturity;
temp = Double.doubleToLongBits(_naturalPaymentTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + Arrays.hashCode(_referenceEndTime);
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(Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
CapFloorInflationZeroCouponInterpolation other = (CapFloorInflationZeroCouponInterpolation) obj;
if (Double.doubleToLongBits(_indexStartValue) != Double.doubleToLongBits(other._indexStartValue)) {
return false;
}
if (_isCap != other._isCap) {
return false;
}
if (Double.doubleToLongBits(_lastKnownFixingTime) != Double.doubleToLongBits(other._lastKnownFixingTime)) {
return false;
}
if (_maturity != other._maturity) {
return false;
}
if (Double.doubleToLongBits(_naturalPaymentTime) != Double.doubleToLongBits(other._naturalPaymentTime)) {
return false;
}
if (!Arrays.equals(_referenceEndTime, other._referenceEndTime)) {
return false;
}
if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
return false;
}
if (Double.doubleToLongBits(_weight) != Double.doubleToLongBits(other._weight)) {
return false;
}
return true;
}
}