com.opengamma.strata.market.curve.IsdaCreditCurveDefinition 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.util.List;
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 com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolators;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
/**
* Provides the definition of how to calibrate an ISDA compliant curve for credit.
*
* An ISDA compliant curve is built from a number of parameters and described by metadata.
* Calibration is based on a list of {@link IsdaCreditCurveNode} instances, one for each parameter,
* that specify the underlying instruments.
*/
@BeanDefinition(builderScope = "private")
public final class IsdaCreditCurveDefinition
implements ImmutableBean, Serializable {
/**
* The curve name.
*/
@PropertyDefinition(validate = "notNull")
private final CurveName name;
/**
* The curve currency.
*
* The resultant curve will be used for discounting based on this currency.
* This is typically the same as the currency of the curve node instruments in {@code curveNodes}.
*/
@PropertyDefinition(validate = "notNull")
private final Currency currency;
/**
* The curve valuation date.
*
* The date on which the resultant curve is used for pricing.
* This date is not necessarily the same as the {@code valuationDate} of {@code MarketData}
* on which the market data was snapped.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate curveValuationDate;
/**
* The day count.
*
* If the x-value of the curve represents time as a year fraction, the day count
* can be specified to define how the year fraction is calculated.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* The curve nodes.
*
* The nodes are used to find the par rates and calibrate the curve.
*/
@PropertyDefinition(validate = "notNull", builderType = "List")
private final ImmutableList curveNodes;
/**
* The flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
*/
@PropertyDefinition(validate = "notNull")
private final boolean computeJacobian;
/**
* The flag indicating if the node trade should be stored or not.
*
* This property is used only for credit curve calibration.
*/
@PropertyDefinition(validate = "notNull")
private final boolean storeNodeTrade;
//-------------------------------------------------------------------------
/**
* Obtains an instance.
*
* @param name the name
* @param currency the currency
* @param curveValuationDate the curve valuation date
* @param dayCount the day count
* @param curveNodes the curve nodes
* @param computeJacobian the Jacobian flag
* @param storeNodeTrade the node trade flag
* @return the instance
*/
public static IsdaCreditCurveDefinition of(
CurveName name,
Currency currency,
LocalDate curveValuationDate,
DayCount dayCount,
List curveNodes,
boolean computeJacobian,
boolean storeNodeTrade) {
return new IsdaCreditCurveDefinition(
name,
currency,
curveValuationDate,
dayCount,
curveNodes,
computeJacobian,
storeNodeTrade);
}
/**
* Creates the ISDA compliant curve.
*
* The parameter metadata is not stored in the metadata of the curve.
*
* @param yearFractions the year fraction values
* @param zeroRates the zero rate values
* @return the curve
*/
public InterpolatedNodalCurve curve(DoubleArray yearFractions, DoubleArray zeroRates) {
CurveMetadata baseMetadata = Curves.zeroRates(name, dayCount);
return InterpolatedNodalCurve.of(
baseMetadata,
yearFractions,
zeroRates,
CurveInterpolators.PRODUCT_LINEAR,
CurveExtrapolators.FLAT,
CurveExtrapolators.PRODUCT_LINEAR);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code IsdaCreditCurveDefinition}.
* @return the meta-bean, not null
*/
public static IsdaCreditCurveDefinition.Meta meta() {
return IsdaCreditCurveDefinition.Meta.INSTANCE;
}
static {
MetaBean.register(IsdaCreditCurveDefinition.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private IsdaCreditCurveDefinition(
CurveName name,
Currency currency,
LocalDate curveValuationDate,
DayCount dayCount,
List curveNodes,
boolean computeJacobian,
boolean storeNodeTrade) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(curveValuationDate, "curveValuationDate");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(curveNodes, "curveNodes");
JodaBeanUtils.notNull(computeJacobian, "computeJacobian");
JodaBeanUtils.notNull(storeNodeTrade, "storeNodeTrade");
this.name = name;
this.currency = currency;
this.curveValuationDate = curveValuationDate;
this.dayCount = dayCount;
this.curveNodes = ImmutableList.copyOf(curveNodes);
this.computeJacobian = computeJacobian;
this.storeNodeTrade = storeNodeTrade;
}
@Override
public IsdaCreditCurveDefinition.Meta metaBean() {
return IsdaCreditCurveDefinition.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the curve name.
* @return the value of the property, not null
*/
public CurveName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* Gets the curve currency.
*
* The resultant curve will be used for discounting based on this currency.
* This is typically the same as the currency of the curve node instruments in {@code curveNodes}.
* @return the value of the property, not null
*/
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the curve valuation date.
*
* The date on which the resultant curve is used for pricing.
* This date is not necessarily the same as the {@code valuationDate} of {@code MarketData}
* on which the market data was snapped.
* @return the value of the property, not null
*/
public LocalDate getCurveValuationDate() {
return curveValuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the day count.
*
* If the x-value of the curve represents time as a year fraction, the day count
* can be specified to define how the year fraction is calculated.
* @return the value of the property, not null
*/
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets the curve nodes.
*
* The nodes are used to find the par rates and calibrate the curve.
* @return the value of the property, not null
*/
public ImmutableList getCurveNodes() {
return curveNodes;
}
//-----------------------------------------------------------------------
/**
* Gets the flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
* @return the value of the property, not null
*/
public boolean isComputeJacobian() {
return computeJacobian;
}
//-----------------------------------------------------------------------
/**
* Gets the flag indicating if the node trade should be stored or not.
*
* This property is used only for credit curve calibration.
* @return the value of the property, not null
*/
public boolean isStoreNodeTrade() {
return storeNodeTrade;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IsdaCreditCurveDefinition other = (IsdaCreditCurveDefinition) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(curveValuationDate, other.curveValuationDate) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(curveNodes, other.curveNodes) &&
(computeJacobian == other.computeJacobian) &&
(storeNodeTrade == other.storeNodeTrade);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(curveValuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(curveNodes);
hash = hash * 31 + JodaBeanUtils.hashCode(computeJacobian);
hash = hash * 31 + JodaBeanUtils.hashCode(storeNodeTrade);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("IsdaCreditCurveDefinition{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("curveValuationDate").append('=').append(JodaBeanUtils.toString(curveValuationDate)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("curveNodes").append('=').append(JodaBeanUtils.toString(curveNodes)).append(',').append(' ');
buf.append("computeJacobian").append('=').append(JodaBeanUtils.toString(computeJacobian)).append(',').append(' ');
buf.append("storeNodeTrade").append('=').append(JodaBeanUtils.toString(storeNodeTrade));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IsdaCreditCurveDefinition}.
*/
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 name} property.
*/
private final MetaProperty name = DirectMetaProperty.ofImmutable(
this, "name", IsdaCreditCurveDefinition.class, CurveName.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", IsdaCreditCurveDefinition.class, Currency.class);
/**
* The meta-property for the {@code curveValuationDate} property.
*/
private final MetaProperty curveValuationDate = DirectMetaProperty.ofImmutable(
this, "curveValuationDate", IsdaCreditCurveDefinition.class, LocalDate.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", IsdaCreditCurveDefinition.class, DayCount.class);
/**
* The meta-property for the {@code curveNodes} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> curveNodes = DirectMetaProperty.ofImmutable(
this, "curveNodes", IsdaCreditCurveDefinition.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code computeJacobian} property.
*/
private final MetaProperty computeJacobian = DirectMetaProperty.ofImmutable(
this, "computeJacobian", IsdaCreditCurveDefinition.class, Boolean.TYPE);
/**
* The meta-property for the {@code storeNodeTrade} property.
*/
private final MetaProperty storeNodeTrade = DirectMetaProperty.ofImmutable(
this, "storeNodeTrade", IsdaCreditCurveDefinition.class, Boolean.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"currency",
"curveValuationDate",
"dayCount",
"curveNodes",
"computeJacobian",
"storeNodeTrade");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 575402001: // currency
return currency;
case 318917792: // curveValuationDate
return curveValuationDate;
case 1905311443: // dayCount
return dayCount;
case -1863622910: // curveNodes
return curveNodes;
case -1730091410: // computeJacobian
return computeJacobian;
case 561141921: // storeNodeTrade
return storeNodeTrade;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new IsdaCreditCurveDefinition.Builder();
}
@Override
public Class beanType() {
return IsdaCreditCurveDefinition.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code name} property.
* @return the meta-property, not null
*/
public MetaProperty name() {
return name;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code curveValuationDate} property.
* @return the meta-property, not null
*/
public MetaProperty curveValuationDate() {
return curveValuationDate;
}
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty dayCount() {
return dayCount;
}
/**
* The meta-property for the {@code curveNodes} property.
* @return the meta-property, not null
*/
public MetaProperty> curveNodes() {
return curveNodes;
}
/**
* The meta-property for the {@code computeJacobian} property.
* @return the meta-property, not null
*/
public MetaProperty computeJacobian() {
return computeJacobian;
}
/**
* The meta-property for the {@code storeNodeTrade} property.
* @return the meta-property, not null
*/
public MetaProperty storeNodeTrade() {
return storeNodeTrade;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((IsdaCreditCurveDefinition) bean).getName();
case 575402001: // currency
return ((IsdaCreditCurveDefinition) bean).getCurrency();
case 318917792: // curveValuationDate
return ((IsdaCreditCurveDefinition) bean).getCurveValuationDate();
case 1905311443: // dayCount
return ((IsdaCreditCurveDefinition) bean).getDayCount();
case -1863622910: // curveNodes
return ((IsdaCreditCurveDefinition) bean).getCurveNodes();
case -1730091410: // computeJacobian
return ((IsdaCreditCurveDefinition) bean).isComputeJacobian();
case 561141921: // storeNodeTrade
return ((IsdaCreditCurveDefinition) bean).isStoreNodeTrade();
}
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 IsdaCreditCurveDefinition}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private CurveName name;
private Currency currency;
private LocalDate curveValuationDate;
private DayCount dayCount;
private List curveNodes = ImmutableList.of();
private boolean computeJacobian;
private boolean storeNodeTrade;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 575402001: // currency
return currency;
case 318917792: // curveValuationDate
return curveValuationDate;
case 1905311443: // dayCount
return dayCount;
case -1863622910: // curveNodes
return curveNodes;
case -1730091410: // computeJacobian
return computeJacobian;
case 561141921: // storeNodeTrade
return storeNodeTrade;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3373707: // name
this.name = (CurveName) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 318917792: // curveValuationDate
this.curveValuationDate = (LocalDate) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -1863622910: // curveNodes
this.curveNodes = (List) newValue;
break;
case -1730091410: // computeJacobian
this.computeJacobian = (Boolean) newValue;
break;
case 561141921: // storeNodeTrade
this.storeNodeTrade = (Boolean) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public IsdaCreditCurveDefinition build() {
return new IsdaCreditCurveDefinition(
name,
currency,
curveValuationDate,
dayCount,
curveNodes,
computeJacobian,
storeNodeTrade);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("IsdaCreditCurveDefinition.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("curveValuationDate").append('=').append(JodaBeanUtils.toString(curveValuationDate)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("curveNodes").append('=').append(JodaBeanUtils.toString(curveNodes)).append(',').append(' ');
buf.append("computeJacobian").append('=').append(JodaBeanUtils.toString(computeJacobian)).append(',').append(' ');
buf.append("storeNodeTrade").append('=').append(JodaBeanUtils.toString(storeNodeTrade));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}