/** * 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); } }