com.opengamma.strata.market.curve.RatesCurveGroup Maven / Gradle / Ivy
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/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import static java.util.stream.Collectors.toMap;
import java.io.Serializable;
import java.util.Arrays;
import java.util.Collection;
import java.util.HashMap;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.stream.Stream;
import org.joda.beans.Bean;
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.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.Index;
/**
* A group of curves.
*
* This is used to hold a group of related curves, typically forming a logical set.
* It is often used to hold the results of a curve calibration.
*
* Curve groups can also be created from a set of existing curves.
*/
@BeanDefinition
public final class RatesCurveGroup
implements CurveGroup, ImmutableBean, Serializable {
private static final Logger log = LoggerFactory.getLogger(RatesCurveGroup.class);
/**
* The name of the curve group.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurveGroupName name;
/**
* The discount curves in the group, keyed by currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap discountCurves;
/**
* The forward curves in the group, keyed by index.
*/
@PropertyDefinition(validate = "notNull", builderType = "Map")
private final ImmutableMap forwardCurves;
//-------------------------------------------------------------------------
/**
* Returns a curve group containing the specified curves.
*
* @param name the name of the curve group
* @param discountCurves the discount curves, keyed by currency
* @param forwardCurves the forward curves, keyed by index
* @return a curve group containing the specified curves
*/
public static RatesCurveGroup of(CurveGroupName name, Map discountCurves, Map forwardCurves) {
return new RatesCurveGroup(name, discountCurves, forwardCurves);
}
/**
* Creates a curve group using a curve group definition and some existing curves.
*
* If there are curves named in the definition which are not present in the curves the group is built using
* whatever curves are available.
*
* If there are multiple curves with the same name in the curves one of them is arbitrarily chosen.
*
* Multiple curves with the same name are allowed to support the use case where the list contains the same
* curve multiple times. This means the caller doesn't have to filter the input curves to remove duplicates.
*
* @param curveGroupDefinition the definition of a curve group
* @param curves some curves
* @return a curve group built from the definition and the list of curves
*/
public static RatesCurveGroup ofCurves(RatesCurveGroupDefinition curveGroupDefinition, Curve... curves) {
return ofCurves(curveGroupDefinition, Arrays.asList(curves));
}
/**
* Creates a curve group using a curve group definition and a list of existing curves.
*
* If there are curves named in the definition which are not present in the curves the group is built using
* whatever curves are available.
*
* If there are multiple curves with the same name in the curves one of them is arbitrarily chosen.
*
* Multiple curves with the same name are allowed to support the use case where the list contains the same
* curve multiple times. This means the caller doesn't have to filter the input curves to remove duplicates.
*
* @param curveGroupDefinition the definition of a curve group
* @param curves some curves
* @return a curve group built from the definition and the list of curves
*/
public static RatesCurveGroup ofCurves(RatesCurveGroupDefinition curveGroupDefinition, Collection curves) {
Map discountCurves = new HashMap<>();
Map forwardCurves = new HashMap<>();
Map curveMap = curves.stream()
.collect(toMap(curve -> curve.getMetadata().getCurveName(), curve -> curve, (curve1, curve2) -> curve1));
for (RatesCurveGroupEntry entry : curveGroupDefinition.getEntries()) {
CurveName curveName = entry.getCurveName();
Curve curve = curveMap.get(curveName);
if (curve == null) {
log.debug("No curve found named '{}' when building curve group '{}'", curveName, curveGroupDefinition.getName());
continue;
}
for (Currency currency : entry.getDiscountCurrencies()) {
discountCurves.put(currency, curve);
}
for (Index index : entry.getIndices()) {
forwardCurves.put(index, curve);
}
}
return RatesCurveGroup.of(curveGroupDefinition.getName(), discountCurves, forwardCurves);
}
//-------------------------------------------------------------------------
/**
* Finds the curve with the specified name.
*
* If the curve cannot be found, empty is returned.
*
* @param name the curve name
* @return the curve, empty if not found
*/
@Override
public Optional findCurve(CurveName name) {
return Stream.concat(discountCurves.values().stream(), forwardCurves.values().stream())
.filter(c -> c.getName().equals(name))
.findFirst();
}
/**
* Finds the discount curve for the currency if there is one in the group.
*
* If the curve is not found, optional empty is returned.
*
* @param currency the currency for which a discount curve is required
* @return the discount curve for the currency if there is one in the group
*/
public Optional findDiscountCurve(Currency currency) {
return Optional.ofNullable(discountCurves.get(currency));
}
/**
* Finds the forward curve for the index if there is one in the group.
*
* If the curve is not found, optional empty is returned.
*
* @param index the index for which a forward curve is required
* @return the forward curve for the index if there is one in the group
*/
public Optional findForwardCurve(Index index) {
return Optional.ofNullable(forwardCurves.get(index));
}
/**
* Returns a stream of all curves in the group.
*
* @return Returns a stream of all curves in the group
*/
@Override
public Stream stream() {
return Stream.concat(discountCurves.values().stream(), forwardCurves.values().stream());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code RatesCurveGroup}.
* @return the meta-bean, not null
*/
public static RatesCurveGroup.Meta meta() {
return RatesCurveGroup.Meta.INSTANCE;
}
static {
MetaBean.register(RatesCurveGroup.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static RatesCurveGroup.Builder builder() {
return new RatesCurveGroup.Builder();
}
private RatesCurveGroup(
CurveGroupName name,
Map discountCurves,
Map forwardCurves) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(discountCurves, "discountCurves");
JodaBeanUtils.notNull(forwardCurves, "forwardCurves");
this.name = name;
this.discountCurves = ImmutableMap.copyOf(discountCurves);
this.forwardCurves = ImmutableMap.copyOf(forwardCurves);
}
@Override
public RatesCurveGroup.Meta metaBean() {
return RatesCurveGroup.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the name of the curve group.
* @return the value of the property, not null
*/
@Override
public CurveGroupName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* Gets the discount curves in the group, keyed by currency.
* @return the value of the property, not null
*/
public ImmutableMap getDiscountCurves() {
return discountCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the forward curves in the group, keyed by index.
* @return the value of the property, not null
*/
public ImmutableMap getForwardCurves() {
return forwardCurves;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
RatesCurveGroup other = (RatesCurveGroup) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(discountCurves, other.discountCurves) &&
JodaBeanUtils.equal(forwardCurves, other.forwardCurves);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(discountCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(forwardCurves);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("RatesCurveGroup{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("discountCurves").append('=').append(JodaBeanUtils.toString(discountCurves)).append(',').append(' ');
buf.append("forwardCurves").append('=').append(JodaBeanUtils.toString(forwardCurves));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RatesCurveGroup}.
*/
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", RatesCurveGroup.class, CurveGroupName.class);
/**
* The meta-property for the {@code discountCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> discountCurves = DirectMetaProperty.ofImmutable(
this, "discountCurves", RatesCurveGroup.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code forwardCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> forwardCurves = DirectMetaProperty.ofImmutable(
this, "forwardCurves", RatesCurveGroup.class, (Class) ImmutableMap.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"discountCurves",
"forwardCurves");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case -624113147: // discountCurves
return discountCurves;
case -850086775: // forwardCurves
return forwardCurves;
}
return super.metaPropertyGet(propertyName);
}
@Override
public RatesCurveGroup.Builder builder() {
return new RatesCurveGroup.Builder();
}
@Override
public Class beanType() {
return RatesCurveGroup.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 discountCurves} property.
* @return the meta-property, not null
*/
public MetaProperty> discountCurves() {
return discountCurves;
}
/**
* The meta-property for the {@code forwardCurves} property.
* @return the meta-property, not null
*/
public MetaProperty> forwardCurves() {
return forwardCurves;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((RatesCurveGroup) bean).getName();
case -624113147: // discountCurves
return ((RatesCurveGroup) bean).getDiscountCurves();
case -850086775: // forwardCurves
return ((RatesCurveGroup) bean).getForwardCurves();
}
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 RatesCurveGroup}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private CurveGroupName name;
private Map discountCurves = ImmutableMap.of();
private Map forwardCurves = ImmutableMap.of();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(RatesCurveGroup beanToCopy) {
this.name = beanToCopy.getName();
this.discountCurves = beanToCopy.getDiscountCurves();
this.forwardCurves = beanToCopy.getForwardCurves();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case -624113147: // discountCurves
return discountCurves;
case -850086775: // forwardCurves
return forwardCurves;
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 = (CurveGroupName) newValue;
break;
case -624113147: // discountCurves
this.discountCurves = (Map) newValue;
break;
case -850086775: // forwardCurves
this.forwardCurves = (Map) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public RatesCurveGroup build() {
return new RatesCurveGroup(
name,
discountCurves,
forwardCurves);
}
//-----------------------------------------------------------------------
/**
* Sets the name of the curve group.
* @param name the new value, not null
* @return this, for chaining, not null
*/
public Builder name(CurveGroupName name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* Sets the discount curves in the group, keyed by currency.
* @param discountCurves the new value, not null
* @return this, for chaining, not null
*/
public Builder discountCurves(Map discountCurves) {
JodaBeanUtils.notNull(discountCurves, "discountCurves");
this.discountCurves = discountCurves;
return this;
}
/**
* Sets the forward curves in the group, keyed by index.
* @param forwardCurves the new value, not null
* @return this, for chaining, not null
*/
public Builder forwardCurves(Map forwardCurves) {
JodaBeanUtils.notNull(forwardCurves, "forwardCurves");
this.forwardCurves = forwardCurves;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("RatesCurveGroup.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("discountCurves").append('=').append(JodaBeanUtils.toString(discountCurves)).append(',').append(' ');
buf.append("forwardCurves").append('=').append(JodaBeanUtils.toString(forwardCurves));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}