/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.convention.expirycalc; import java.util.Arrays; import org.threeten.bp.LocalDate; import org.threeten.bp.Month; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.util.ArgumentChecker; /** * Expiry calculator for commodity futures. */ public final class CommodityFutureExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator { /** Name of the calculator */ public static final String NAME = "CommodityFutureExpiryCalculator"; /** Singleton. */ private static final CommodityFutureExpiryCalculator INSTANCE = new CommodityFutureExpiryCalculator(); private static final Month[] COMMODITY_FUTURE_EXPIRY_MONTHS = {Month.JANUARY, Month.MARCH, Month.MAY, Month.JULY, Month.AUGUST, Month.SEPTEMBER, Month.NOVEMBER }; /** * Gets the singleton instance. * * @return the instance, not null */ public static CommodityFutureExpiryCalculator getInstance() { return INSTANCE; } /** * Restricted constructor. */ private CommodityFutureExpiryCalculator() { } //------------------------------------------------------------------------- /** * Expiry date of commodity Futures: * The business day preceding the 15th day of the contract month. * See http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/soybean_contractSpecs_futures.html#prodType=AME * * @param n the n'th expiry date after today, greater than zero * @param today the valuation date, not null * @param holidayCalendar the holiday calendar, not null * @return the expiry date, not null */ @Override public LocalDate getExpiryDate(final int n, final LocalDate today, final Calendar holidayCalendar) { ArgumentChecker.isTrue(n > 0, "n must be greater than zero; have {}", n); ArgumentChecker.notNull(today, "today"); ArgumentChecker.notNull(holidayCalendar, "holiday calendar"); LocalDate expiryDate = getExpiryMonth(n, today); while (!holidayCalendar.isWorkingDay(expiryDate)) { expiryDate = expiryDate.minusDays(1); } return expiryDate; } @Override public LocalDate getExpiryMonth(final int n, final LocalDate today) { ArgumentChecker.isTrue(n > 0, "n must be greater than zero"); ArgumentChecker.notNull(today, "today"); LocalDate expiryDate = today; for (int m = n; m > 0; m--) { expiryDate = getNextExpiryMonth(expiryDate); } if (expiryDate.getDayOfMonth() > 15) { expiryDate = getNextExpiryMonth(expiryDate); } // set day to first possible - used in getExpiryDate() return LocalDate.of(expiryDate.getYear(), expiryDate.getMonth(), 14); } private LocalDate getNextExpiryMonth(final LocalDate dtCurrent) { final Month mthCurrent = dtCurrent.getMonth(); final int idx = Arrays.binarySearch(COMMODITY_FUTURE_EXPIRY_MONTHS, mthCurrent); if (Math.abs(idx) >= (COMMODITY_FUTURE_EXPIRY_MONTHS.length - 1)) { return LocalDate.of(dtCurrent.getYear() + 1, Month.JANUARY, dtCurrent.getDayOfMonth()); } else if (idx >= 0) { return dtCurrent.with(COMMODITY_FUTURE_EXPIRY_MONTHS[idx + 1]); } else { return dtCurrent.with(COMMODITY_FUTURE_EXPIRY_MONTHS[-idx + 1]); } } @Override public String getName() { return NAME; } }