/**
* 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 soybean futures.
*/
public final class SoybeanFutureExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator {
/** Name of the calculator */
public static final String NAME = "SoybeanFutureExpiryCalculator";
/** Singleton. */
private static final SoybeanFutureExpiryCalculator INSTANCE = new SoybeanFutureExpiryCalculator();
/** Months when futures expire. */
private static final Month[] SOYBEAN_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 SoybeanFutureExpiryCalculator getInstance() {
return INSTANCE;
}
/**
* Restricted constructor.
*/
private SoybeanFutureExpiryCalculator() {
}
//-------------------------------------------------------------------------
/**
* Expiry date of Soybean 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) {
Month mthCurrent = dtCurrent.getMonth();
int idx = Arrays.binarySearch(SOYBEAN_FUTURE_EXPIRY_MONTHS, mthCurrent);
if (Math.abs(idx) >= (SOYBEAN_FUTURE_EXPIRY_MONTHS.length - 1)) {
return LocalDate.of(dtCurrent.getYear() + 1, Month.JANUARY, dtCurrent.getDayOfMonth());
} else if (idx >= 0) {
return dtCurrent.with(SOYBEAN_FUTURE_EXPIRY_MONTHS[idx + 1]);
} else {
return dtCurrent.with(SOYBEAN_FUTURE_EXPIRY_MONTHS[-idx + 1]);
}
}
@Override
public String getName() {
return NAME;
}
}