/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.derivative;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.payment.CapFloor;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Class describing a caplet/floorlet on CMS spread. The notional is positive for long the option and negative for short the option.
* The pay-off of the instrument is a cap/floor on the difference between the first CMS rate and the second CMS rate.
* Both swaps underlying the CMS need to have the same settlement date.
*/
public class CapFloorCMSSpread extends CouponFloating implements CapFloor {
/**
* The swap underlying the first CMS. The rate and notional are not used. The swap should be of vanilla type.
*/
private final SwapFixedCoupon<? extends Payment> _underlyingSwap1;
/**
* The index associated to the first CMS.
*/
private final IndexSwap _cmsIndex1;
/**
* The swap underlying the second CMS. The rate and notional are not used. The swap should be of vanilla type.
*/
private final SwapFixedCoupon<? extends Payment> _underlyingSwap2;
/**
* The index associated to the second CMS.
*/
private final IndexSwap _cmsIndex2;
/**
* The time (in years) to underlying swap settlement.
*/
private final double _settlementTime;
/**
* The cap/floor strike.
*/
private final double _strike;
/**
* The cap (true) / floor (false) flag.
*/
private final boolean _isCap;
/**
*
* @param currency The payment currency.
* @param paymentTime Time (in years) up to the payment.
* @param paymentYearFraction The year fraction (or accrual factor) for the coupon payment.
* @param notional Coupon notional.
* @param fixingTime Time (in years) up to fixing.
* @param underlyingSwap1 A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type.
* @param cmsIndex1 The index associated to the first CMS.
* @param underlyingSwap2 A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type.
* @param cmsIndex2 The index associated to the first CMS.
* @param settlementTime The time (in years) to underlying swap settlement.
* @param strike The strike.
* @param isCap The cap (true) /floor (false) flag.
* @param fundingCurveName The discounting curve name. Should be compatible with the swaps dicsounting curve.
* @deprecated Use the constructor that does not take curve names
*/
@Deprecated
public CapFloorCMSSpread(final Currency currency, final double paymentTime, final double paymentYearFraction, final double notional, final double fixingTime,
final SwapFixedCoupon<? extends Payment> underlyingSwap1, final IndexSwap cmsIndex1, final SwapFixedCoupon<? extends Payment> underlyingSwap2, final IndexSwap cmsIndex2,
final double settlementTime, final double strike, final boolean isCap, final String fundingCurveName) {
super(currency, paymentTime, fundingCurveName, paymentYearFraction, notional, fixingTime);
ArgumentChecker.notNull(underlyingSwap1, "underlying swap");
ArgumentChecker.isTrue(underlyingSwap1.isIborOrFixed(), "underlying swap not of vanilla type");
ArgumentChecker.notNull(underlyingSwap2, "underlying swap");
ArgumentChecker.isTrue(underlyingSwap2.isIborOrFixed(), "underlying swap not of vanilla type");
ArgumentChecker.isTrue(fundingCurveName.equals(underlyingSwap1.getFixedLeg().getDiscountCurve()), "coherence in pricing");
ArgumentChecker.isTrue(fundingCurveName.equals(underlyingSwap2.getFixedLeg().getDiscountCurve()), "coherence in pricing");
_underlyingSwap1 = underlyingSwap1;
_cmsIndex1 = cmsIndex1;
_underlyingSwap2 = underlyingSwap2;
_cmsIndex2 = cmsIndex2;
_settlementTime = settlementTime;
_strike = strike;
_isCap = isCap;
}
/**
*
* @param currency The payment currency.
* @param paymentTime Time (in years) up to the payment.
* @param paymentYearFraction The year fraction (or accrual factor) for the coupon payment.
* @param notional Coupon notional.
* @param fixingTime Time (in years) up to fixing.
* @param underlyingSwap1 A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type.
* @param cmsIndex1 The index associated to the first CMS.
* @param underlyingSwap2 A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type.
* @param cmsIndex2 The index associated to the first CMS.
* @param settlementTime The time (in years) to underlying swap settlement.
* @param strike The strike.
* @param isCap The cap (true) /floor (false) flag.
*/
public CapFloorCMSSpread(final Currency currency, final double paymentTime, final double paymentYearFraction, final double notional, final double fixingTime,
final SwapFixedCoupon<? extends Payment> underlyingSwap1, final IndexSwap cmsIndex1, final SwapFixedCoupon<? extends Payment> underlyingSwap2, final IndexSwap cmsIndex2,
final double settlementTime, final double strike, final boolean isCap) {
super(currency, paymentTime, paymentYearFraction, notional, fixingTime);
ArgumentChecker.notNull(underlyingSwap1, "underlying swap");
ArgumentChecker.isTrue(underlyingSwap1.isIborOrFixed(), "underlying swap not of vanilla type");
ArgumentChecker.notNull(underlyingSwap2, "underlying swap");
ArgumentChecker.isTrue(underlyingSwap2.isIborOrFixed(), "underlying swap not of vanilla type");
_underlyingSwap1 = underlyingSwap1;
_cmsIndex1 = cmsIndex1;
_underlyingSwap2 = underlyingSwap2;
_cmsIndex2 = cmsIndex2;
_settlementTime = settlementTime;
_strike = strike;
_isCap = isCap;
}
/**
* Builder from a floating coupon, the CMS details and the strike and cap/floor flag.
* @param coupon A floating coupon.
* @param underlyingSwap1 A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type.
* @param cmsIndex1 The index associated to the first CMS.
* @param underlyingSwap2 A swap describing the CMS underlying. The rate and notional are not used. The swap should be of vanilla type.
* @param cmsIndex2 The index associated to the first CMS.
* @param settlementTime The time (in years) to underlying swap settlement.
* @param strike The strike.
* @param isCap The cap (true) /floor (false) flag.
* @return The CMS spread cap/floor.
*/
@SuppressWarnings("deprecation")
public static CapFloorCMSSpread from(final CouponFloating coupon, final SwapFixedCoupon<Coupon> underlyingSwap1, final IndexSwap cmsIndex1, final SwapFixedCoupon<Coupon> underlyingSwap2,
final IndexSwap cmsIndex2, final double settlementTime, final double strike, final boolean isCap) {
ArgumentChecker.notNull(coupon, "floating coupon");
ArgumentChecker.isTrue(coupon.getFundingCurveName().equals(underlyingSwap2.getFixedLeg().getDiscountCurve()), "coherence in pricing");
return new CapFloorCMSSpread(coupon.getCurrency(), coupon.getPaymentTime(), coupon.getPaymentYearFraction(), coupon.getNotional(), coupon.getFixingTime(), underlyingSwap1, cmsIndex1,
underlyingSwap2, cmsIndex2, settlementTime, strike, isCap, coupon.getFundingCurveName());
}
/**
* Gets the swap underlying the first CMS.
* @return The underlying swap.
*/
public SwapFixedCoupon<? extends Payment> getUnderlyingSwap1() {
return _underlyingSwap1;
}
/**
* Gets the index associated to the first CMS.
* @return The CMS index.
*/
public IndexSwap getCmsIndex1() {
return _cmsIndex1;
}
/**
* Gets the swap underlying the second CMS.
* @return The underlying swap.
*/
public SwapFixedCoupon<? extends Payment> getUnderlyingSwap2() {
return _underlyingSwap2;
}
/**
* Gets the index associated to the first CMS.
* @return The CMS index.
*/
public IndexSwap getCmsIndex2() {
return _cmsIndex2;
}
/**
* Gets the underlying swaps settlement time.
* @return The swaps settlement time.
*/
public double getSettlementTime() {
return _settlementTime;
}
@Override
public double getStrike() {
return _strike;
}
@Override
public boolean isCap() {
return _isCap;
}
@Override
/**
* The "fixing" is the difference between the first and the second CMS rates.
*/
public double payOff(final double fixing) {
final double omega = (_isCap) ? 1.0 : -1.0;
return Math.max(omega * (fixing - _strike), 0);
}
@SuppressWarnings("deprecation")
@Override
public CapFloorCMSSpread withNotional(final double notional) {
try {
return new CapFloorCMSSpread(getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getFixingTime(), _underlyingSwap1, _cmsIndex1, _underlyingSwap2, _cmsIndex2, _settlementTime,
_strike, _isCap, getFundingCurveName());
} catch (final IllegalStateException e) {
return new CapFloorCMSSpread(getCurrency(), getPaymentTime(), getPaymentYearFraction(), notional, getFixingTime(), _underlyingSwap1, _cmsIndex1, _underlyingSwap2, _cmsIndex2, _settlementTime,
_strike, _isCap);
}
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + _cmsIndex1.hashCode();
result = prime * result + _cmsIndex2.hashCode();
result = prime * result + (_isCap ? 1231 : 1237);
long temp;
temp = Double.doubleToLongBits(_settlementTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_strike);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _underlyingSwap1.hashCode();
result = prime * result + _underlyingSwap2.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 CapFloorCMSSpread other = (CapFloorCMSSpread) obj;
if (!ObjectUtils.equals(_cmsIndex1, other._cmsIndex1)) {
return false;
}
if (!ObjectUtils.equals(_cmsIndex2, other._cmsIndex2)) {
return false;
}
if (_isCap != other._isCap) {
return false;
}
if (Double.doubleToLongBits(_settlementTime) != Double.doubleToLongBits(other._settlementTime)) {
return false;
}
if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
return false;
}
if (!ObjectUtils.equals(_underlyingSwap1, other._underlyingSwap1)) {
return false;
}
if (!ObjectUtils.equals(_underlyingSwap2, other._underlyingSwap2)) {
return false;
}
return true;
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
return visitor.visitCapFloorCMSSpread(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
return visitor.visitCapFloorCMSSpread(this);
}
}