com.opengamma.strata.market.FxRateShifts Maven / Gradle / Ivy
Show all versions of strata-market Show documentation
/*
* Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.scenario.MarketDataBox;
import com.opengamma.strata.data.scenario.ScenarioPerturbation;
/**
* A perturbation that applies different shifts to an FX rate.
*
* This class contains shifts, each of which is associated with a scenario and applied to an FX rate based on the shift type.
*/
@BeanDefinition(builderScope = "private", constructorScope = "package")
public final class FxRateShifts
implements ScenarioPerturbation, ImmutableBean, Serializable {
/**
* Logger.
*/
private static final Logger log = LoggerFactory.getLogger(FxRateShifts.class);
/**
* The type of shift applied to the FX rate.
*/
@PropertyDefinition(validate = "notNull")
private final ShiftType shiftType;
/**
* The shifts to apply to {@code FxRate}.
*
* Each element in the array corresponds to each scenario.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleArray shiftAmount;
/**
* The currency pair for which the shifts are applied.
*
* This also defines the direction of the FX rate to be shifted.
*/
@PropertyDefinition(validate = "notNull")
private final CurrencyPair currencyPair;
//-------------------------------------------------------------------------
/**
* Creates an instance.
*
* @param shiftType the shift type
* @param shiftAmount the shift amount
* @param currencyPair the currency pair
* @return the instance
*/
public static FxRateShifts of(ShiftType shiftType, DoubleArray shiftAmount, CurrencyPair currencyPair) {
return new FxRateShifts(shiftType, shiftAmount, currencyPair);
}
//-------------------------------------------------------------------------
@Override
public MarketDataBox applyTo(MarketDataBox marketData, ReferenceData refData) {
log.debug("Applying {} shift to FX rate '{}'", shiftType,
marketData.getValue(0).getPair().toString());
return marketData.mapWithIndex(
getScenarioCount(),
(fxRate, scenarioIndex) -> FxRate.of(
currencyPair,
shiftType.applyShift(fxRate.fxRate(currencyPair), shiftAmount.get(scenarioIndex))));
}
@Override
public int getScenarioCount() {
return shiftAmount.size();
}
@Override
public Class getMarketDataType() {
return FxRate.class;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxRateShifts}.
* @return the meta-bean, not null
*/
public static FxRateShifts.Meta meta() {
return FxRateShifts.Meta.INSTANCE;
}
static {
MetaBean.register(FxRateShifts.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Creates an instance.
* @param shiftType the value of the property, not null
* @param shiftAmount the value of the property, not null
* @param currencyPair the value of the property, not null
*/
FxRateShifts(
ShiftType shiftType,
DoubleArray shiftAmount,
CurrencyPair currencyPair) {
JodaBeanUtils.notNull(shiftType, "shiftType");
JodaBeanUtils.notNull(shiftAmount, "shiftAmount");
JodaBeanUtils.notNull(currencyPair, "currencyPair");
this.shiftType = shiftType;
this.shiftAmount = shiftAmount;
this.currencyPair = currencyPair;
}
@Override
public FxRateShifts.Meta metaBean() {
return FxRateShifts.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the type of shift applied to the FX rate.
* @return the value of the property, not null
*/
public ShiftType getShiftType() {
return shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets the shifts to apply to {@code FxRate}.
*
* Each element in the array corresponds to each scenario.
* @return the value of the property, not null
*/
public DoubleArray getShiftAmount() {
return shiftAmount;
}
//-----------------------------------------------------------------------
/**
* Gets the currency pair for which the shifts are applied.
*
* This also defines the direction of the FX rate to be shifted.
* @return the value of the property, not null
*/
public CurrencyPair getCurrencyPair() {
return currencyPair;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
FxRateShifts other = (FxRateShifts) obj;
return JodaBeanUtils.equal(shiftType, other.shiftType) &&
JodaBeanUtils.equal(shiftAmount, other.shiftAmount) &&
JodaBeanUtils.equal(currencyPair, other.currencyPair);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(shiftType);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftAmount);
hash = hash * 31 + JodaBeanUtils.hashCode(currencyPair);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("FxRateShifts{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' ');
buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(shiftAmount)).append(',').append(' ');
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxRateShifts}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code shiftType} property.
*/
private final MetaProperty shiftType = DirectMetaProperty.ofImmutable(
this, "shiftType", FxRateShifts.class, ShiftType.class);
/**
* The meta-property for the {@code shiftAmount} property.
*/
private final MetaProperty shiftAmount = DirectMetaProperty.ofImmutable(
this, "shiftAmount", FxRateShifts.class, DoubleArray.class);
/**
* The meta-property for the {@code currencyPair} property.
*/
private final MetaProperty currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", FxRateShifts.class, CurrencyPair.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shiftAmount",
"currencyPair");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return shiftType;
case -1043480710: // shiftAmount
return shiftAmount;
case 1005147787: // currencyPair
return currencyPair;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new FxRateShifts.Builder();
}
@Override
public Class beanType() {
return FxRateShifts.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code shiftType} property.
* @return the meta-property, not null
*/
public MetaProperty shiftType() {
return shiftType;
}
/**
* The meta-property for the {@code shiftAmount} property.
* @return the meta-property, not null
*/
public MetaProperty shiftAmount() {
return shiftAmount;
}
/**
* The meta-property for the {@code currencyPair} property.
* @return the meta-property, not null
*/
public MetaProperty currencyPair() {
return currencyPair;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((FxRateShifts) bean).getShiftType();
case -1043480710: // shiftAmount
return ((FxRateShifts) bean).getShiftAmount();
case 1005147787: // currencyPair
return ((FxRateShifts) bean).getCurrencyPair();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code FxRateShifts}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private ShiftType shiftType;
private DoubleArray shiftAmount;
private CurrencyPair currencyPair;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return shiftType;
case -1043480710: // shiftAmount
return shiftAmount;
case 1005147787: // currencyPair
return currencyPair;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this.shiftType = (ShiftType) newValue;
break;
case -1043480710: // shiftAmount
this.shiftAmount = (DoubleArray) newValue;
break;
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public FxRateShifts build() {
return new FxRateShifts(
shiftType,
shiftAmount,
currencyPair);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("FxRateShifts.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' ');
buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(shiftAmount)).append(',').append(' ');
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}