@Override
public Coupon toDerivative(
final ZonedDateTime date,
final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries,
final String... yieldCurveNames) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
ArgumentChecker.isTrue(yieldCurveNames.length > 0, "at least one curve required");
ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
final double lastKnownFixingTime =
TimeCalculator.getTimeBetween(date, getLastKnownFixingDate());
final LocalDate dayConversion = date.toLocalDate();
final String discountingCurveName = yieldCurveNames[0];
final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
final LocalDate dayFixing = getReferenceEndDate()[1].toLocalDate();
if (dayConversion.isAfter(dayFixing)) {
final Double fixedEndIndex1 = priceIndexTimeSeries.getValue(getReferenceEndDate()[1]);
if (fixedEndIndex1 != null) {
final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDate()[0]);
final Double fixedEndIndex =
getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
final Double fixedRate = (fixedEndIndex / getIndexStartValue() - 1.0);
return new CouponFixed(
getCurrency(),
paymentTime,
discountingCurveName,
getPaymentYearFraction(),
getNotional(),
payOff(fixedRate));
}
}
final double[] referenceEndTime = new double[2];
referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDate[0]);
referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDate[1]);
final ZonedDateTime naturalPaymentDate =
getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
return new CapFloorInflationZeroCouponInterpolation(
getCurrency(),
paymentTime,
getPaymentYearFraction(),
getNotional(),
getPriceIndex(),
lastKnownFixingTime,
_indexStartValue,
referenceEndTime,
naturalPaymentEndTime,
_maturity,
_weight,
_strike,
_isCap);
}
/**
* {@inheritDoc} If the fixing date is strictly before the conversion date and the fixing rate is
* not available, an exception is thrown; if the fixing rate is available a fixed coupon is
* returned. If the fixing date is equal to the conversion date, if the fixing rate is available a
* fixed coupon is returned, if not a coupon Ibor with spread is returned. If the fixing date is
* strictly after the conversion date, a coupon Ibor is returned. All the comparisons are between
* dates without time.
*/
@Override
public Coupon toDerivative(
final ZonedDateTime dateTime, final DoubleTimeSeries<ZonedDateTime> indexFixingTimeSeries) {
ArgumentChecker.notNull(dateTime, "date");
final LocalDate dayConversion = dateTime.toLocalDate();
ArgumentChecker.notNull(indexFixingTimeSeries, "Index fixing time series");
ArgumentChecker.isTrue(
!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
final LocalDate dayFixing = getFixingDate().toLocalDate();
if (dayConversion.equals(
dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if
// not, the floating coupon is created.
final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
if (fixedRate != null) {
return new CouponFixed(
getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
}
}
if (dayConversion.isAfter(dayFixing)) { // The fixing is required
final ZonedDateTime rezonedFixingDate =
getFixingDate().toLocalDate().atStartOfDay(ZoneOffset.UTC);
final Double fixedRate =
indexFixingTimeSeries.getValue(rezonedFixingDate); // TODO: remove time from fixing date.
if (fixedRate == null) {
throw new OpenGammaRuntimeException(
"Could not get fixing value for date " + getFixingDate());
}
return new CouponFixed(
getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
}
final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
final double fixingPeriodStartTime =
TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
final double fixingPeriodEndTime =
TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
return new CouponIbor(
getCurrency(),
paymentTime,
getPaymentYearFraction(),
getNotional(),
fixingTime,
getIndex(),
fixingPeriodStartTime,
fixingPeriodEndTime,
getFixingPeriodAccrualFactor());
}