com.opengamma.strata.market.curve.InflationNodalCurveDefinition Maven / Gradle / Ivy
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/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.YearMonth;
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.ImmutableConstructor;
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 com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.ShiftType;
import com.opengamma.strata.market.ValueType;
/**
* Provides the definition of how to calibrate a curve for inflation, optionally including seasonality.
*
* This allows a "normal" curve definition to be combined with the last fixing,
* optionally adding seasonality.
*/
@BeanDefinition(builderScope = "private", metaScope = "private")
final class InflationNodalCurveDefinition
implements NodalCurveDefinition, ImmutableBean, Serializable {
/**
* The no seasonality definition.
*/
private static final SeasonalityDefinition NO_SEASONALITY_DEFINITION =
SeasonalityDefinition.of(DoubleArray.filled(12, 1d), ShiftType.SCALED);
/**
* The curve name.
*/
@PropertyDefinition(validate = "notNull")
private final NodalCurveDefinition curveWithoutFixingDefinition;
/**
* Last fixing date.
*/
@PropertyDefinition(validate = "notNull")
private final YearMonth lastFixingMonth;
/**
* Last fixing value.
*/
@PropertyDefinition
private final double lastFixingValue;
/**
* The seasonality definition associated to the curve.
*/
@PropertyDefinition(validate = "notNull")
private final SeasonalityDefinition seasonalityDefinition;
//-------------------------------------------------------------------------
// restricted constructor
@ImmutableConstructor
InflationNodalCurveDefinition(
NodalCurveDefinition curveWithoutFixing,
YearMonth lastFixingMonth,
double lastFixingValue,
SeasonalityDefinition seasonalityDefinition) {
this.curveWithoutFixingDefinition = curveWithoutFixing;
this.lastFixingMonth = lastFixingMonth;
this.lastFixingValue = lastFixingValue;
if (seasonalityDefinition == null) {
this.seasonalityDefinition = NO_SEASONALITY_DEFINITION;
} else {
this.seasonalityDefinition = seasonalityDefinition;
}
}
@Override
public CurveName getName() {
return curveWithoutFixingDefinition.getName();
}
@Override
public ValueType getYValueType() {
return curveWithoutFixingDefinition.getYValueType();
}
@Override
public ImmutableList getNodes() {
return curveWithoutFixingDefinition.getNodes();
}
@Override
public NodalCurveDefinition filtered(LocalDate valuationDate, ReferenceData refData) {
return curveWithoutFixingDefinition.filtered(valuationDate, refData);
}
@Override
public CurveMetadata metadata(LocalDate valuationDate, ReferenceData refData) {
return curveWithoutFixingDefinition.metadata(valuationDate, refData);
}
@Override
public NodalCurve curve(LocalDate valuationDate, CurveMetadata metadata, DoubleArray parameters) {
NodalCurve curveWithoutFixing = curveWithoutFixingDefinition.curve(valuationDate, metadata, parameters);
return InflationNodalCurve.of(
curveWithoutFixing, valuationDate, lastFixingMonth, lastFixingValue, seasonalityDefinition);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code InflationNodalCurveDefinition}.
* @return the meta-bean, not null
*/
public static MetaBean meta() {
return InflationNodalCurveDefinition.Meta.INSTANCE;
}
static {
MetaBean.register(InflationNodalCurveDefinition.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public MetaBean metaBean() {
return InflationNodalCurveDefinition.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the curve name.
* @return the value of the property, not null
*/
public NodalCurveDefinition getCurveWithoutFixingDefinition() {
return curveWithoutFixingDefinition;
}
//-----------------------------------------------------------------------
/**
* Gets last fixing date.
* @return the value of the property, not null
*/
public YearMonth getLastFixingMonth() {
return lastFixingMonth;
}
//-----------------------------------------------------------------------
/**
* Gets last fixing value.
* @return the value of the property
*/
public double getLastFixingValue() {
return lastFixingValue;
}
//-----------------------------------------------------------------------
/**
* Gets the seasonality definition associated to the curve.
* @return the value of the property, not null
*/
public SeasonalityDefinition getSeasonalityDefinition() {
return seasonalityDefinition;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
InflationNodalCurveDefinition other = (InflationNodalCurveDefinition) obj;
return JodaBeanUtils.equal(curveWithoutFixingDefinition, other.curveWithoutFixingDefinition) &&
JodaBeanUtils.equal(lastFixingMonth, other.lastFixingMonth) &&
JodaBeanUtils.equal(lastFixingValue, other.lastFixingValue) &&
JodaBeanUtils.equal(seasonalityDefinition, other.seasonalityDefinition);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(curveWithoutFixingDefinition);
hash = hash * 31 + JodaBeanUtils.hashCode(lastFixingMonth);
hash = hash * 31 + JodaBeanUtils.hashCode(lastFixingValue);
hash = hash * 31 + JodaBeanUtils.hashCode(seasonalityDefinition);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("InflationNodalCurveDefinition{");
buf.append("curveWithoutFixingDefinition").append('=').append(JodaBeanUtils.toString(curveWithoutFixingDefinition)).append(',').append(' ');
buf.append("lastFixingMonth").append('=').append(JodaBeanUtils.toString(lastFixingMonth)).append(',').append(' ');
buf.append("lastFixingValue").append('=').append(JodaBeanUtils.toString(lastFixingValue)).append(',').append(' ');
buf.append("seasonalityDefinition").append('=').append(JodaBeanUtils.toString(seasonalityDefinition));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code InflationNodalCurveDefinition}.
*/
private 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 curveWithoutFixingDefinition} property.
*/
private final MetaProperty curveWithoutFixingDefinition = DirectMetaProperty.ofImmutable(
this, "curveWithoutFixingDefinition", InflationNodalCurveDefinition.class, NodalCurveDefinition.class);
/**
* The meta-property for the {@code lastFixingMonth} property.
*/
private final MetaProperty lastFixingMonth = DirectMetaProperty.ofImmutable(
this, "lastFixingMonth", InflationNodalCurveDefinition.class, YearMonth.class);
/**
* The meta-property for the {@code lastFixingValue} property.
*/
private final MetaProperty lastFixingValue = DirectMetaProperty.ofImmutable(
this, "lastFixingValue", InflationNodalCurveDefinition.class, Double.TYPE);
/**
* The meta-property for the {@code seasonalityDefinition} property.
*/
private final MetaProperty seasonalityDefinition = DirectMetaProperty.ofImmutable(
this, "seasonalityDefinition", InflationNodalCurveDefinition.class, SeasonalityDefinition.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"curveWithoutFixingDefinition",
"lastFixingMonth",
"lastFixingValue",
"seasonalityDefinition");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -249814055: // curveWithoutFixingDefinition
return curveWithoutFixingDefinition;
case -1842439587: // lastFixingMonth
return lastFixingMonth;
case -1834546866: // lastFixingValue
return lastFixingValue;
case 1835044115: // seasonalityDefinition
return seasonalityDefinition;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new InflationNodalCurveDefinition.Builder();
}
@Override
public Class beanType() {
return InflationNodalCurveDefinition.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -249814055: // curveWithoutFixingDefinition
return ((InflationNodalCurveDefinition) bean).getCurveWithoutFixingDefinition();
case -1842439587: // lastFixingMonth
return ((InflationNodalCurveDefinition) bean).getLastFixingMonth();
case -1834546866: // lastFixingValue
return ((InflationNodalCurveDefinition) bean).getLastFixingValue();
case 1835044115: // seasonalityDefinition
return ((InflationNodalCurveDefinition) bean).getSeasonalityDefinition();
}
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 InflationNodalCurveDefinition}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private NodalCurveDefinition curveWithoutFixingDefinition;
private YearMonth lastFixingMonth;
private double lastFixingValue;
private SeasonalityDefinition seasonalityDefinition;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -249814055: // curveWithoutFixingDefinition
return curveWithoutFixingDefinition;
case -1842439587: // lastFixingMonth
return lastFixingMonth;
case -1834546866: // lastFixingValue
return lastFixingValue;
case 1835044115: // seasonalityDefinition
return seasonalityDefinition;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -249814055: // curveWithoutFixingDefinition
this.curveWithoutFixingDefinition = (NodalCurveDefinition) newValue;
break;
case -1842439587: // lastFixingMonth
this.lastFixingMonth = (YearMonth) newValue;
break;
case -1834546866: // lastFixingValue
this.lastFixingValue = (Double) newValue;
break;
case 1835044115: // seasonalityDefinition
this.seasonalityDefinition = (SeasonalityDefinition) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public InflationNodalCurveDefinition build() {
return new InflationNodalCurveDefinition(
curveWithoutFixingDefinition,
lastFixingMonth,
lastFixingValue,
seasonalityDefinition);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("InflationNodalCurveDefinition.Builder{");
buf.append("curveWithoutFixingDefinition").append('=').append(JodaBeanUtils.toString(curveWithoutFixingDefinition)).append(',').append(' ');
buf.append("lastFixingMonth").append('=').append(JodaBeanUtils.toString(lastFixingMonth)).append(',').append(' ');
buf.append("lastFixingValue").append('=').append(JodaBeanUtils.toString(lastFixingValue)).append(',').append(' ');
buf.append("seasonalityDefinition").append('=').append(JodaBeanUtils.toString(seasonalityDefinition));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}