/**
* 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.inflation.CouponInflationWithMargin;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing an Year on Year inflation coupon.
* 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*((final index / start index - 1)+Margin) * notional if the notional is not paid and final index / start index * notional if the notional is paid.
*/
public class CouponInflationYearOnYearInterpolationWithMargin extends CouponInflation implements CouponInflationWithMargin {
/**
* The additive factor (margin).
*/
private final double _factor;
/**
* The reference time for the index at the coupon end. 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[] _referenceStartTime;
/**
* The time for which the index at the coupon start 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 time can be negative (when the price index for the current and last month is not yet published).
*/
private final double _naturalPaymentStartTime;
/**
* The reference time for the index at the coupon end. 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 _naturalPaymentEndTime;
/**
* The weight on the first month index in the interpolation of the index at the coupon start.
*/
private final double _weightStart;
/**
* The weight on the first month index in the interpolation of the index at the coupon end.
*/
private final double _weightEnd;
/**
* Flag indicating if the notional is paid (true) or not (false) at the end of the period.
*/
private final boolean _payNotional;
/**
* Inflation year on year coupon constructor.
* @param factor The additive factor (margin).
* @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 referenceStartTime The reference time for the index at the coupon start.
* @param naturalPaymentStartTime The time for which the index at the coupon start is paid by the standard corresponding zero coupon.
* @param referenceEndTime The reference time for the index at the coupon end.
* @param naturalPaymentEndTime The time for which the index at the coupon end is paid by the standard corresponding zero coupon.
* @param payNotional Flag indicating if the notional is paid (true) or not (false).
* @param weightStart The weight on the first month index in the interpolation of the index at the coupon start.
* @param weightEnd The weight on the first month index in the interpolation of the index at the coupon end.
*/
public CouponInflationYearOnYearInterpolationWithMargin(final double factor, final Currency currency, final double paymentTime, final double paymentYearFraction, final double notional,
final IndexPrice priceIndex,
final double[] referenceStartTime, final double naturalPaymentStartTime, final double[] referenceEndTime, final double naturalPaymentEndTime, final boolean payNotional,
final double weightStart, final double weightEnd) {
super(currency, paymentTime, paymentYearFraction, notional, priceIndex);
_factor = factor;
_referenceStartTime = referenceStartTime;
_naturalPaymentStartTime = naturalPaymentStartTime;
_referenceEndTime = referenceEndTime;
_naturalPaymentEndTime = naturalPaymentEndTime;
_weightStart = weightStart;
_weightEnd = weightEnd;
_payNotional = payNotional;
}
/**
* Gets the additive facor (margin).
* @return The facor.
*/
@Override
public double getFactor() {
return _factor;
}
/**
* Gets the reference time for the index at the coupon start.
* @return The reference time.
*/
public double[] getReferenceStartTime() {
return _referenceStartTime;
}
public double getNaturalPaymentStartTime() {
return _naturalPaymentStartTime;
}
/**
* Gets the reference time for the index at the coupon end.
* @return The reference time.
*/
public double[] getReferenceEndTime() {
return _referenceEndTime;
}
public double getNaturalPaymentEndTime() {
return _naturalPaymentEndTime;
}
/**
* Gets the weight on the first month index in the interpolation of the index at the coupon start.
* @return The weight.
*/
public double getWeightStart() {
return _weightStart;
}
/**
* Gets the weight on the first month index in the interpolation of the index at the coupon end.
* @return The weight.
*/
public double getWeightEnd() {
return _weightEnd;
}
/**
* Gets the pay notional flag.
* @return The flag.
*/
public boolean payNotional() {
return _payNotional;
}
@Override
public CouponInflationYearOnYearInterpolationWithMargin withNotional(final double notional) {
return new CouponInflationYearOnYearInterpolationWithMargin(_factor, getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getPriceIndex(), _referenceStartTime,
_naturalPaymentStartTime, _referenceEndTime, _naturalPaymentEndTime, _payNotional, _weightStart, _weightEnd);
}
@Override
public <S, T> T accept(InstrumentDerivativeVisitor<S, T> visitor, S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponInflationYearOnYearInterpolationWithMargin(this, data);
}
@Override
public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitCouponInflationYearOnYearInterpolationWithMargin(this);
}
@Override
public String toString() {
return "CouponInflationYearOnYearInterpolation [_referenceStartTime=" + Arrays.toString(_referenceStartTime) + ", _referenceEndTime=" + Arrays.toString(_referenceEndTime) + "]";
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_factor);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_naturalPaymentEndTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_naturalPaymentStartTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + (_payNotional ? 1231 : 1237);
result = prime * result + Arrays.hashCode(_referenceEndTime);
result = prime * result + Arrays.hashCode(_referenceStartTime);
temp = Double.doubleToLongBits(_weightEnd);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_weightStart);
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;
}
CouponInflationYearOnYearInterpolationWithMargin other = (CouponInflationYearOnYearInterpolationWithMargin) obj;
if (Double.doubleToLongBits(_factor) != Double.doubleToLongBits(other._factor)) {
return false;
}
if (Double.doubleToLongBits(_naturalPaymentEndTime) != Double.doubleToLongBits(other._naturalPaymentEndTime)) {
return false;
}
if (Double.doubleToLongBits(_naturalPaymentStartTime) != Double.doubleToLongBits(other._naturalPaymentStartTime)) {
return false;
}
if (_payNotional != other._payNotional) {
return false;
}
if (!Arrays.equals(_referenceEndTime, other._referenceEndTime)) {
return false;
}
if (!Arrays.equals(_referenceStartTime, other._referenceStartTime)) {
return false;
}
if (Double.doubleToLongBits(_weightEnd) != Double.doubleToLongBits(other._weightEnd)) {
return false;
}
if (Double.doubleToLongBits(_weightStart) != Double.doubleToLongBits(other._weightStart)) {
return false;
}
return true;
}
}