/** * 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 org.threeten.bp.temporal.TemporalAdjuster; import org.threeten.bp.temporal.TemporalAdjusters; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.util.ArgumentChecker; /** * Expiry calculator for live cattle futures. */ public final class LiveCattleFutureExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator { /** Name of the calculator */ public static final String NAME = "LiveCattleFutureExpiryCalculator"; /** Singleton. */ private static final LiveCattleFutureExpiryCalculator INSTANCE = new LiveCattleFutureExpiryCalculator(); /** Adjuster. */ private static final TemporalAdjuster LAST_DAY_ADJUSTER = TemporalAdjusters.lastDayOfMonth(); /** Months when futures expire. */ private static final Month[] CATTLE_FUTURE_EXPIRY_MONTHS = { Month.FEBRUARY, Month.APRIL, Month.JUNE, Month.AUGUST, Month.OCTOBER, Month.DECEMBER }; /** * Gets the singleton instance. * * @return the instance, not null */ public static LiveCattleFutureExpiryCalculator getInstance() { return INSTANCE; } /** * Restricted constructor. */ private LiveCattleFutureExpiryCalculator() { } //------------------------------------------------------------------------- /** * Expiry date of Soybean Futures: * The last business day of the contract month. * See http://www.cmegroup.com/trading/agricultural/livestock/live-cattle_contractSpecs_futures.html * * @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); } return expiryDate.with(LAST_DAY_ADJUSTER); } private LocalDate getNextExpiryMonth(final LocalDate dtCurrent) { Month mthCurrent = dtCurrent.getMonth(); int idx = Arrays.binarySearch(CATTLE_FUTURE_EXPIRY_MONTHS, mthCurrent); if (Math.abs(idx) >= (CATTLE_FUTURE_EXPIRY_MONTHS.length - 1)) { return LocalDate.of(dtCurrent.getYear() + 1, Month.FEBRUARY, dtCurrent.getDayOfMonth()); } else if (idx >= 0) { return dtCurrent.with(CATTLE_FUTURE_EXPIRY_MONTHS[idx + 1]); } else { return dtCurrent.with(CATTLE_FUTURE_EXPIRY_MONTHS[-idx - 1]); //check this } } @Override public String getName() { return NAME; } }