CouponONArithmeticAverageSpreadSimplified.java

/**
 * Copyright (C) 2013 - 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.IndexON;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Class describing a Fed Fund swap-like floating coupon (arithmetic average on overnight rates).
 */
public final class CouponONArithmeticAverageSpreadSimplified extends Coupon {

  /**
   * The overnight index on which the coupon fixes. The index currency should be the same as the coupon currency. Not null.
   */
  private final IndexON _index;
  /**
   * The fixing period start time (in years).
   */
  private final double _fixingPeriodStartTime;
  /**
   * The fixing period end time (in years).
   */
  private final double _fixingPeriodEndTime;
  /**
   * The fixing period end time (in years).
   */
  private final double _fixingPeriodAccrualFactor;
  /**
   * The spread rate paid above the arithmetic average.
   */
  private final double _spread;
  /**
   * The fixed amount related to the spread.
   */
  private final double _spreadAmount;

  /**
   * Constructor.
   * @param currency The coupon currency.
   * @param paymentTime The coupon payment time.
   * @param notional The coupon notional.
   * @param index The index associated to the coupon.
   * @param fixingPeriodStartTime The fixing period start time (in years).
   * @param fixingPeriodEndTime The fixing period end time (in years).
   * @param fixingPeriodAccrualFactor The fixing period accrual factor.
   * @param spread The spread rate paid above the arithmetic average.
   * @param paymentAccrualFactor The year fraction of the full coupon.
   */
  private CouponONArithmeticAverageSpreadSimplified(Currency currency, double paymentTime, double paymentYearFraction, double notional, IndexON index, final double fixingPeriodStartTime,
      double fixingPeriodEndTime, double fixingPeriodAccrualFactor, final double spread) {
    super(currency, paymentTime, paymentYearFraction, notional);
    _index = index;
    _fixingPeriodStartTime = fixingPeriodStartTime;
    _fixingPeriodEndTime = fixingPeriodEndTime;
    _fixingPeriodAccrualFactor = fixingPeriodAccrualFactor;
    _spread = spread;
    _spreadAmount = spread * paymentYearFraction * notional;
  }

  /**
   * Builder from financial details.
   * @param paymentTime The coupon payment time.
   * @param paymentAccrualFactor The year fraction of the full coupon.
   * @param notional The coupon notional.
   * @param index The index associated to the coupon.
   * @param fixingPeriodStartTime The fixing period start time (in years).
   * @param fixingPeriodEndTime The fixing period end time (in years).
   * @param fixingPeriodAccrualFactor The fixing period accrual factor.
   * @param spread The spread rate paid above the arithmetic average.
   * @return The coupon.
   */
  public static CouponONArithmeticAverageSpreadSimplified from(double paymentTime, double paymentAccrualFactor, double notional, IndexON index, final double fixingPeriodStartTime,
      double fixingPeriodEndTime, double fixingPeriodAccrualFactor, final double spread) {
    ArgumentChecker.notNull(index, "Index");
    return new CouponONArithmeticAverageSpreadSimplified(index.getCurrency(), paymentTime, paymentAccrualFactor, notional, index, fixingPeriodStartTime, fixingPeriodEndTime,
        fixingPeriodAccrualFactor, spread);
  }

  /**
   * Gets the index.
   * @return The index.
   */
  public IndexON getIndex() {
    return _index;
  }

  /**
   * Returns the spread rate paid above the arithmetic average.
   * @return The spread.
   */
  public double getSpread() {
    return _spread;
  }

  /**
   * Returns the fixed amount related to the spread.
   * @return The amount.
   */
  public double getSpreadAmount() {
    return _spreadAmount;
  }

  /**
   * Returns the fixing period start time (in years).
   * @return The time.
   */
  public double getFixingPeriodStartTime() {
    return _fixingPeriodStartTime;
  }

  /**
   * Returns the fixing period end time (in years).
   * @return The time.
   */
  public double getFixingPeriodEndTime() {
    return _fixingPeriodEndTime;
  }

  /**
   * Returns the fixing period accrual factor.
   * @return The factor.
   */
  public double getFixingPeriodAccrualFactor() {
    return _fixingPeriodAccrualFactor;
  }

  @Override
  public Coupon withNotional(double notional) {
    return null; // TODO
  }

  @Override
  public <S, T> T accept(InstrumentDerivativeVisitor<S, T> visitor, S data) {
    ArgumentChecker.notNull(visitor, "visitor");
    return visitor.visitCouponONArithmeticAverageSpreadSimplified(this, data);
  }

  @Override
  public <T> T accept(InstrumentDerivativeVisitor<?, T> visitor) {
    ArgumentChecker.notNull(visitor, "visitor");
    return visitor.visitCouponONArithmeticAverageSpreadSimplified(this);
  }

  @Override
  public int hashCode() {
    final int prime = 31;
    int result = super.hashCode();
    long temp;
    temp = Double.doubleToLongBits(_fixingPeriodEndTime);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    temp = Double.doubleToLongBits(_fixingPeriodStartTime);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    result = prime * result + _index.hashCode();
    temp = Double.doubleToLongBits(_spread);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    temp = Double.doubleToLongBits(_spreadAmount);
    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;
    }
    CouponONArithmeticAverageSpreadSimplified other = (CouponONArithmeticAverageSpreadSimplified) obj;
    if (Double.doubleToLongBits(_fixingPeriodEndTime) != Double.doubleToLongBits(other._fixingPeriodEndTime)) {
      return false;
    }
    if (Double.doubleToLongBits(_fixingPeriodStartTime) != Double.doubleToLongBits(other._fixingPeriodStartTime)) {
      return false;
    }
    if (!ObjectUtils.equals(_index, other._index)) {
      return false;
    }
    if (Double.doubleToLongBits(_spread) != Double.doubleToLongBits(other._spread)) {
      return false;
    }
    if (Double.doubleToLongBits(_spreadAmount) != Double.doubleToLongBits(other._spreadAmount)) {
      return false;
    }
    return true;
  }

}