com.opengamma.strata.market.curve.node.CdsIsdaCreditCurveNode 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.node;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.OptionalDouble;
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.ImmutablePreBuild;
import org.joda.beans.gen.ImmutableValidator;
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 com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.ObservableId;
import com.opengamma.strata.market.curve.IsdaCreditCurveNode;
import com.opengamma.strata.market.param.DatedParameterMetadata;
import com.opengamma.strata.market.param.LabelDateParameterMetadata;
import com.opengamma.strata.market.param.TenorDateParameterMetadata;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.credit.CdsCalibrationTrade;
import com.opengamma.strata.product.credit.CdsQuote;
import com.opengamma.strata.product.credit.CdsTrade;
import com.opengamma.strata.product.credit.type.CdsQuoteConvention;
import com.opengamma.strata.product.credit.type.CdsTemplate;
import com.opengamma.strata.product.credit.type.DatesCdsTemplate;
import com.opengamma.strata.product.credit.type.TenorCdsTemplate;
/**
* An ISDA compliant curve node whose instrument is a credit default swap.
*
* The trade produced by the node will be a protection receiver (BUY) for a positive quantity
* and a protection payer (SELL) for a negative quantity.
*/
@BeanDefinition
public final class CdsIsdaCreditCurveNode
implements IsdaCreditCurveNode, ImmutableBean, Serializable {
/**
* The template for the CDS associated with this node.
*/
@PropertyDefinition(validate = "notNull")
private final CdsTemplate template;
/**
* The label to use for the node.
*
* When building, this will default based on {@code template} if not specified.
*/
@PropertyDefinition(validate = "notEmpty", overrideGet = true)
private final String label;
/**
* The identifier of the market data value that provides the quoted value.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ObservableId observableId;
/**
* The legal entity identifier.
*
* This identifier is used for the reference legal entity of the CDS.
*/
@PropertyDefinition(validate = "notNull")
private final StandardId legalEntityId;
/**
* The market quote convention.
*
* The CDS is quoted in par spread, points upfront or quoted spread.
* See {@link CdsQuoteConvention} for detail.
*/
@PropertyDefinition(validate = "notNull")
private final CdsQuoteConvention quoteConvention;
/**
* The fixed coupon rate.
*
* This must be represented in decimal form.
*/
@PropertyDefinition(get = "optional")
private final Double fixedRate;
//-------------------------------------------------------------------------
/**
* Returns a curve node with par spread convention.
*
* @param template the template
* @param observableId the observable ID
* @param legalEntityId the legal entity ID
* @return the curve node
*/
public static CdsIsdaCreditCurveNode ofParSpread(
CdsTemplate template,
ObservableId observableId,
StandardId legalEntityId) {
return builder()
.template(template)
.observableId(observableId)
.legalEntityId(legalEntityId)
.quoteConvention(CdsQuoteConvention.PAR_SPREAD)
.build();
}
/**
* Returns a curve node with points upfront convention.
*
* @param template the template
* @param observableId the observable ID
* @param legalEntityId the legal entity ID
* @param fixedRate the fixed rate
* @return the curve node
*/
public static CdsIsdaCreditCurveNode ofPointsUpfront(
CdsTemplate template,
ObservableId observableId,
StandardId legalEntityId,
Double fixedRate) {
return builder()
.template(template)
.observableId(observableId)
.legalEntityId(legalEntityId)
.quoteConvention(CdsQuoteConvention.POINTS_UPFRONT)
.fixedRate(fixedRate)
.build();
}
/**
* Returns a curve node with quoted spread convention.
*
* @param template the template
* @param observableId the observable ID
* @param legalEntityId the legal entity ID
* @param fixedRate the fixed rate
* @return the curve node
*/
public static CdsIsdaCreditCurveNode ofQuotedSpread(
CdsTemplate template,
ObservableId observableId,
StandardId legalEntityId,
Double fixedRate) {
return builder()
.template(template)
.observableId(observableId)
.legalEntityId(legalEntityId)
.quoteConvention(CdsQuoteConvention.QUOTED_SPREAD)
.fixedRate(fixedRate)
.build();
}
//-------------------------------------------------------------------------
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.template != null) {
if (builder.label == null) {
builder.label = builder.template instanceof TenorCdsTemplate ?
((TenorCdsTemplate) builder.template).getTenor().toString() :
((DatesCdsTemplate) builder.template).getEndDate().toString();
}
}
}
@ImmutableValidator
private void validate() {
if (quoteConvention.equals(CdsQuoteConvention.PAR_SPREAD)) {
ArgChecker.isTrue(fixedRate == null, "The fixed rate must be empty for par spread quote");
} else {
ArgChecker.isTrue(fixedRate != null,
"The fixed rate must be specifed if quote convention is points upfront or quoted spread");
}
}
//-------------------------------------------------------------------------
@Override
public LocalDate date(LocalDate tradeDate, ReferenceData refData) {
CdsTrade trade = template.createTrade(legalEntityId, tradeDate, BuySell.BUY, 1, 1, refData);
return trade.getProduct().resolve(refData).getProtectionEndDate();
}
@Override
public DatedParameterMetadata metadata(LocalDate nodeDate) {
return template instanceof TenorCdsTemplate ?
TenorDateParameterMetadata.of(nodeDate, ((TenorCdsTemplate) template).getTenor(), label) :
LabelDateParameterMetadata.of(nodeDate, label);
}
/**
* Creates a trade representing the CDS at the node.
*
* This uses the observed market data to build the CDS trade that the node represents.
* The resulting trade is not resolved.
* The notional of the trade is taken from the 'quantity' variable.
* The quantity is signed and will affect whether the trade is Buy or Sell.
* The valuation date is defined by the market data.
*
* @param quantity the quantity or notional of the trade
* @param marketData the market data required to build a trade for the instrument, including the valuation date
* @param refData the reference data, used to resolve the trade dates
* @return a trade representing the instrument at the node
*/
public CdsCalibrationTrade trade(double quantity, MarketData marketData, ReferenceData refData) {
BuySell buySell = quantity > 0 ? BuySell.BUY : BuySell.SELL;
LocalDate valuationDate = marketData.getValuationDate();
double quoteValue = marketData.getValue(observableId);
CdsQuote quote = CdsQuote.of(quoteConvention, quoteValue);
double notional = Math.abs(quantity);
if (quoteConvention.equals(CdsQuoteConvention.PAR_SPREAD)) {
return CdsCalibrationTrade.of(
template.createTrade(legalEntityId, valuationDate, buySell, notional, quoteValue, refData), quote);
}
double coupon = getFixedRate().getAsDouble(); // always success
return CdsCalibrationTrade.of(
template.createTrade(legalEntityId, valuationDate, buySell, notional, coupon, refData), quote);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CdsIsdaCreditCurveNode}.
* @return the meta-bean, not null
*/
public static CdsIsdaCreditCurveNode.Meta meta() {
return CdsIsdaCreditCurveNode.Meta.INSTANCE;
}
static {
MetaBean.register(CdsIsdaCreditCurveNode.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 CdsIsdaCreditCurveNode.Builder builder() {
return new CdsIsdaCreditCurveNode.Builder();
}
private CdsIsdaCreditCurveNode(
CdsTemplate template,
String label,
ObservableId observableId,
StandardId legalEntityId,
CdsQuoteConvention quoteConvention,
Double fixedRate) {
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(observableId, "observableId");
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(quoteConvention, "quoteConvention");
this.template = template;
this.label = label;
this.observableId = observableId;
this.legalEntityId = legalEntityId;
this.quoteConvention = quoteConvention;
this.fixedRate = fixedRate;
validate();
}
@Override
public CdsIsdaCreditCurveNode.Meta metaBean() {
return CdsIsdaCreditCurveNode.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the template for the CDS associated with this node.
* @return the value of the property, not null
*/
public CdsTemplate getTemplate() {
return template;
}
//-----------------------------------------------------------------------
/**
* Gets the label to use for the node.
*
* When building, this will default based on {@code template} if not specified.
* @return the value of the property, not empty
*/
@Override
public String getLabel() {
return label;
}
//-----------------------------------------------------------------------
/**
* Gets the identifier of the market data value that provides the quoted value.
* @return the value of the property, not null
*/
@Override
public ObservableId getObservableId() {
return observableId;
}
//-----------------------------------------------------------------------
/**
* Gets the legal entity identifier.
*
* This identifier is used for the reference legal entity of the CDS.
* @return the value of the property, not null
*/
public StandardId getLegalEntityId() {
return legalEntityId;
}
//-----------------------------------------------------------------------
/**
* Gets the market quote convention.
*
* The CDS is quoted in par spread, points upfront or quoted spread.
* See {@link CdsQuoteConvention} for detail.
* @return the value of the property, not null
*/
public CdsQuoteConvention getQuoteConvention() {
return quoteConvention;
}
//-----------------------------------------------------------------------
/**
* Gets the fixed coupon rate.
*
* This must be represented in decimal form.
* @return the optional value of the property, not null
*/
public OptionalDouble getFixedRate() {
return fixedRate != null ? OptionalDouble.of(fixedRate) : OptionalDouble.empty();
}
//-----------------------------------------------------------------------
/**
* 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()) {
CdsIsdaCreditCurveNode other = (CdsIsdaCreditCurveNode) obj;
return JodaBeanUtils.equal(template, other.template) &&
JodaBeanUtils.equal(label, other.label) &&
JodaBeanUtils.equal(observableId, other.observableId) &&
JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(quoteConvention, other.quoteConvention) &&
JodaBeanUtils.equal(fixedRate, other.fixedRate);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(template);
hash = hash * 31 + JodaBeanUtils.hashCode(label);
hash = hash * 31 + JodaBeanUtils.hashCode(observableId);
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityId);
hash = hash * 31 + JodaBeanUtils.hashCode(quoteConvention);
hash = hash * 31 + JodaBeanUtils.hashCode(fixedRate);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("CdsIsdaCreditCurveNode{");
buf.append("template").append('=').append(JodaBeanUtils.toString(template)).append(',').append(' ');
buf.append("label").append('=').append(JodaBeanUtils.toString(label)).append(',').append(' ');
buf.append("observableId").append('=').append(JodaBeanUtils.toString(observableId)).append(',').append(' ');
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("quoteConvention").append('=').append(JodaBeanUtils.toString(quoteConvention)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CdsIsdaCreditCurveNode}.
*/
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 template} property.
*/
private final MetaProperty template = DirectMetaProperty.ofImmutable(
this, "template", CdsIsdaCreditCurveNode.class, CdsTemplate.class);
/**
* The meta-property for the {@code label} property.
*/
private final MetaProperty label = DirectMetaProperty.ofImmutable(
this, "label", CdsIsdaCreditCurveNode.class, String.class);
/**
* The meta-property for the {@code observableId} property.
*/
private final MetaProperty observableId = DirectMetaProperty.ofImmutable(
this, "observableId", CdsIsdaCreditCurveNode.class, ObservableId.class);
/**
* The meta-property for the {@code legalEntityId} property.
*/
private final MetaProperty legalEntityId = DirectMetaProperty.ofImmutable(
this, "legalEntityId", CdsIsdaCreditCurveNode.class, StandardId.class);
/**
* The meta-property for the {@code quoteConvention} property.
*/
private final MetaProperty quoteConvention = DirectMetaProperty.ofImmutable(
this, "quoteConvention", CdsIsdaCreditCurveNode.class, CdsQuoteConvention.class);
/**
* The meta-property for the {@code fixedRate} property.
*/
private final MetaProperty fixedRate = DirectMetaProperty.ofImmutable(
this, "fixedRate", CdsIsdaCreditCurveNode.class, Double.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"template",
"label",
"observableId",
"legalEntityId",
"quoteConvention",
"fixedRate");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return template;
case 102727412: // label
return label;
case -518800962: // observableId
return observableId;
case 866287159: // legalEntityId
return legalEntityId;
case 2049149709: // quoteConvention
return quoteConvention;
case 747425396: // fixedRate
return fixedRate;
}
return super.metaPropertyGet(propertyName);
}
@Override
public CdsIsdaCreditCurveNode.Builder builder() {
return new CdsIsdaCreditCurveNode.Builder();
}
@Override
public Class beanType() {
return CdsIsdaCreditCurveNode.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code template} property.
* @return the meta-property, not null
*/
public MetaProperty template() {
return template;
}
/**
* The meta-property for the {@code label} property.
* @return the meta-property, not null
*/
public MetaProperty label() {
return label;
}
/**
* The meta-property for the {@code observableId} property.
* @return the meta-property, not null
*/
public MetaProperty observableId() {
return observableId;
}
/**
* The meta-property for the {@code legalEntityId} property.
* @return the meta-property, not null
*/
public MetaProperty legalEntityId() {
return legalEntityId;
}
/**
* The meta-property for the {@code quoteConvention} property.
* @return the meta-property, not null
*/
public MetaProperty quoteConvention() {
return quoteConvention;
}
/**
* The meta-property for the {@code fixedRate} property.
* @return the meta-property, not null
*/
public MetaProperty fixedRate() {
return fixedRate;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return ((CdsIsdaCreditCurveNode) bean).getTemplate();
case 102727412: // label
return ((CdsIsdaCreditCurveNode) bean).getLabel();
case -518800962: // observableId
return ((CdsIsdaCreditCurveNode) bean).getObservableId();
case 866287159: // legalEntityId
return ((CdsIsdaCreditCurveNode) bean).getLegalEntityId();
case 2049149709: // quoteConvention
return ((CdsIsdaCreditCurveNode) bean).getQuoteConvention();
case 747425396: // fixedRate
return ((CdsIsdaCreditCurveNode) bean).fixedRate;
}
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 CdsIsdaCreditCurveNode}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private CdsTemplate template;
private String label;
private ObservableId observableId;
private StandardId legalEntityId;
private CdsQuoteConvention quoteConvention;
private Double fixedRate;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(CdsIsdaCreditCurveNode beanToCopy) {
this.template = beanToCopy.getTemplate();
this.label = beanToCopy.getLabel();
this.observableId = beanToCopy.getObservableId();
this.legalEntityId = beanToCopy.getLegalEntityId();
this.quoteConvention = beanToCopy.getQuoteConvention();
this.fixedRate = beanToCopy.fixedRate;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return template;
case 102727412: // label
return label;
case -518800962: // observableId
return observableId;
case 866287159: // legalEntityId
return legalEntityId;
case 2049149709: // quoteConvention
return quoteConvention;
case 747425396: // fixedRate
return fixedRate;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1321546630: // template
this.template = (CdsTemplate) newValue;
break;
case 102727412: // label
this.label = (String) newValue;
break;
case -518800962: // observableId
this.observableId = (ObservableId) newValue;
break;
case 866287159: // legalEntityId
this.legalEntityId = (StandardId) newValue;
break;
case 2049149709: // quoteConvention
this.quoteConvention = (CdsQuoteConvention) newValue;
break;
case 747425396: // fixedRate
this.fixedRate = (Double) 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 CdsIsdaCreditCurveNode build() {
preBuild(this);
return new CdsIsdaCreditCurveNode(
template,
label,
observableId,
legalEntityId,
quoteConvention,
fixedRate);
}
//-----------------------------------------------------------------------
/**
* Sets the template for the CDS associated with this node.
* @param template the new value, not null
* @return this, for chaining, not null
*/
public Builder template(CdsTemplate template) {
JodaBeanUtils.notNull(template, "template");
this.template = template;
return this;
}
/**
* Sets the label to use for the node.
*
* When building, this will default based on {@code template} if not specified.
* @param label the new value, not empty
* @return this, for chaining, not null
*/
public Builder label(String label) {
JodaBeanUtils.notEmpty(label, "label");
this.label = label;
return this;
}
/**
* Sets the identifier of the market data value that provides the quoted value.
* @param observableId the new value, not null
* @return this, for chaining, not null
*/
public Builder observableId(ObservableId observableId) {
JodaBeanUtils.notNull(observableId, "observableId");
this.observableId = observableId;
return this;
}
/**
* Sets the legal entity identifier.
*
* This identifier is used for the reference legal entity of the CDS.
* @param legalEntityId the new value, not null
* @return this, for chaining, not null
*/
public Builder legalEntityId(StandardId legalEntityId) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
this.legalEntityId = legalEntityId;
return this;
}
/**
* Sets the market quote convention.
*
* The CDS is quoted in par spread, points upfront or quoted spread.
* See {@link CdsQuoteConvention} for detail.
* @param quoteConvention the new value, not null
* @return this, for chaining, not null
*/
public Builder quoteConvention(CdsQuoteConvention quoteConvention) {
JodaBeanUtils.notNull(quoteConvention, "quoteConvention");
this.quoteConvention = quoteConvention;
return this;
}
/**
* Sets the fixed coupon rate.
*
* This must be represented in decimal form.
* @param fixedRate the new value
* @return this, for chaining, not null
*/
public Builder fixedRate(Double fixedRate) {
this.fixedRate = fixedRate;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("CdsIsdaCreditCurveNode.Builder{");
buf.append("template").append('=').append(JodaBeanUtils.toString(template)).append(',').append(' ');
buf.append("label").append('=').append(JodaBeanUtils.toString(label)).append(',').append(' ');
buf.append("observableId").append('=').append(JodaBeanUtils.toString(observableId)).append(',').append(' ');
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("quoteConvention").append('=').append(JodaBeanUtils.toString(quoteConvention)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}