com.opengamma.financial.convention.StubCalculator.java Source code

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Here is the source code for com.opengamma.financial.convention.StubCalculator.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.convention;

import static org.threeten.bp.temporal.TemporalAdjusters.lastDayOfMonth;

import org.apache.commons.lang.Validate;
import org.threeten.bp.LocalDate;

/**
 * Utility to calculate the stub type.
 */
public final class StubCalculator {

    /**
     * Restricted constructor.
     */
    private StubCalculator() {
    }

    //-------------------------------------------------------------------------
    /**
     * Calculates the start stub type from a schedule and number of payments per year.
     * <p>
     * The {@code DateProvider[]} argument allows callers to pass in arrays of any class
     * that implements {@code DateProvider}, such as {@code LocalDate[]}.
     * 
     * @param schedule  the schedule, at least size 2, not null
     * @param paymentsPerYear  the number of payments per year, one, two, three, four, six or twelve
     * @return the stub type, not null
     */
    public static StubType getStartStubType(final LocalDate[] schedule, final int paymentsPerYear) {
        return getStartStubType(schedule, paymentsPerYear, false);
    }

    /**
     * Calculates the start stub type from a schedule, number of payments per year and the end of month flag.
     * <p>
     * The {@code DateProvider[]} argument allows callers to pass in arrays of any class
     * that implements {@code DateProvider}, such as {@code LocalDate[]}.
     * 
     * @param schedule  the schedule, at least size 2, not null
     * @param paymentsPerYear  the number of payments per year, one, two, three, four, six or twelve
     * @param isEndOfMonthConvention  whether to use end of month rules
     * @return the stub type, not null
     */
    public static StubType getStartStubType(final LocalDate[] schedule, final double paymentsPerYear,
            final boolean isEndOfMonthConvention) {
        Validate.notNull(schedule, "schedule");
        Validate.noNullElements(schedule, "schedule");
        Validate.isTrue(paymentsPerYear > 0);
        Validate.isTrue(12 % paymentsPerYear == 0);

        final int months = (int) (12 / paymentsPerYear);
        final LocalDate first = schedule[0];
        final LocalDate second = schedule[1];
        LocalDate date;
        if (isEndOfMonthConvention && second.equals(second.with(lastDayOfMonth()))) {
            date = second.minusMonths(months);
            date = date.with(lastDayOfMonth());
        } else {
            date = second.minusMonths(months);
        }
        if (date.equals(first)) {
            return StubType.NONE;
        }
        if (date.isBefore(first)) {
            return StubType.SHORT_START;
        }
        return StubType.LONG_START;
    }

    //-------------------------------------------------------------------------
    /**
     * Calculates the end stub type from a schedule and number of payments per year.
     * <p>
     * The {@code DateProvider[]} argument allows callers to pass in arrays of any class
     * that implements {@code DateProvider}, such as {@code LocalDate[]}.
     * 
     * @param schedule  the schedule, at least size 2, not null
     * @param paymentsPerYear  the number of payments per year, one, two, three, four, six or twelve
     * @return the stub type, not null
     */
    public static StubType getEndStubType(final LocalDate[] schedule, final int paymentsPerYear) {
        return getEndStubType(schedule, paymentsPerYear, false);
    }

    /**
     * Calculates the end stub type from a schedule, number of payments per year and the end of month flag.
     * <p>
     * The {@code DateProvider[]} argument allows callers to pass in arrays of any class
     * that implements {@code DateProvider}, such as {@code LocalDate[]}.
     * 
     * @param schedule  the schedule, at least size 2, not null
     * @param paymentsPerYear  the number of payments per year, one, two, three, four, six or twelve
     * @param isEndOfMonthConvention  whether to use end of month rules
     * @return the stub type, not null
     */
    public static StubType getEndStubType(final LocalDate[] schedule, final double paymentsPerYear,
            final boolean isEndOfMonthConvention) {
        Validate.notNull(schedule, "schedule");
        Validate.noNullElements(schedule, "schedule");
        Validate.isTrue(paymentsPerYear > 0);
        Validate.isTrue(12 % paymentsPerYear == 0);

        final int months = (int) (12 / paymentsPerYear);
        final int n = schedule.length;
        final LocalDate first = schedule[n - 2];
        final LocalDate second = schedule[n - 1];
        LocalDate date;
        if (isEndOfMonthConvention && first.equals(first.with(lastDayOfMonth()))) {
            date = first.plusMonths(months);
            date = date.with(lastDayOfMonth());
        } else {
            date = first.plusMonths(months);
        }
        if (date.equals(second)) {
            return StubType.NONE;
        }
        if (date.isAfter(second)) {
            return StubType.SHORT_END;
        }
        return StubType.LONG_END;
    }

}