/**
* Constructor of the future option transaction from details.
*
* @param underlyingOption The underlying option future security.
* @param quantity The quantity of the transaction. Can be positive or negative.
* @param premiumDate The transaction date.
* @param tradePrice The transaction price.
*/
public InterestRateFutureOptionPremiumTransactionDefinition(
final InterestRateFutureOptionPremiumSecurityDefinition underlyingOption,
final int quantity,
final ZonedDateTime premiumDate,
final double tradePrice) {
ArgChecker.notNull(underlyingOption, "underlying option");
ArgChecker.notNull(premiumDate, "premium date");
_underlyingOption = underlyingOption;
_quantity = quantity;
_tradePrice = tradePrice;
final double premiumAmount =
_tradePrice
* _underlyingOption.getUnderlyingFuture().getNotional()
* _underlyingOption.getUnderlyingFuture().getPaymentAccrualFactor();
_premium =
new PaymentFixedDefinition(underlyingOption.getCurrency(), premiumDate, premiumAmount);
}
@Override
public InterestRateFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date) {
final InterestRateFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date);
final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
if (premiumTime < 0) { // Premium payment in the past.
// The premium payment is in the past and is represented by a 0 payment today.
return new InterestRateFutureOptionPremiumTransaction(option, _quantity, 0.0, 0.0);
}
return new InterestRateFutureOptionPremiumTransaction(
option, _quantity, premiumTime, _tradePrice);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _premium.hashCode();
result = prime * result + _quantity;
long temp;
temp = Double.doubleToLongBits(_tradePrice);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _underlyingOption.hashCode();
return result;
}
@Test
/** Tests the toDerivative method when the reference date is before the premium settlement. */
public void toDerivativeBeforeSettlement() {
final InterestRateFutureOptionPremiumTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(REFERENCE_DATE);
final InterestRateFutureOptionPremiumSecurity security =
OPTION_EDU2.toDerivative(REFERENCE_DATE);
final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
final InterestRateFutureOptionPremiumTransaction transaction =
new InterestRateFutureOptionPremiumTransaction(
security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/** Tests the toDerivative method when the reference date is after the premium settlement. */
public void toDerivativeAfterSettlement() {
final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
final InterestRateFutureOptionPremiumTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(referenceDate);
final InterestRateFutureOptionPremiumSecurity security =
OPTION_EDU2.toDerivative(referenceDate);
final double premiumTime = 0.0;
final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
final InterestRateFutureOptionPremiumTransaction transaction =
new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/** Tests the toDerivative method when the reference date is on the premium settlement. */
public void toDerivativeOnSettlement() {
final ZonedDateTime referenceDate = PREMIUM_DATE;
final InterestRateFutureOptionPremiumTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(referenceDate);
final InterestRateFutureOptionPremiumSecurity security =
OPTION_EDU2.toDerivative(referenceDate);
final double premiumTime = 0.0;
final InterestRateFutureOptionPremiumTransaction transaction =
new InterestRateFutureOptionPremiumTransaction(
security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
