com.opengamma.strata.market.curve.node.FxSwapCurveNode 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.node;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
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.ImmutableDefaults;
import org.joda.beans.gen.ImmutablePreBuild;
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.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.FxRateId;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.ObservableId;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.CurveNode;
import com.opengamma.strata.market.curve.CurveNodeDate;
import com.opengamma.strata.market.curve.CurveNodeDateOrder;
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.fx.FxSwapTrade;
import com.opengamma.strata.product.fx.ResolvedFxSwapTrade;
import com.opengamma.strata.product.fx.type.FxSwapTemplate;
/**
* A curve node whose instrument is an FX Swap.
*
* The trade produced by the node will pay near and receive far in the second currency (BUY)
* for a positive quantity and a receive near and pay far (SELL) for a negative quantity.
* This convention is line with other nodes where a positive quantity is similar to long a bond or deposit,
* here the long deposit-like is in the second currency.
*/
@BeanDefinition
public final class FxSwapCurveNode
implements CurveNode, ImmutableBean, Serializable {
/**
* The template for the FX Swap associated with this node.
*/
@PropertyDefinition(validate = "notNull")
private final FxSwapTemplate template;
/**
* The identifier used to obtain the FX rate market value, defaulted from the template.
* This only needs to be specified if using multiple market data sources.
*/
@PropertyDefinition(validate = "notNull")
private final FxRateId fxRateId;
/**
* The identifier of the market data value which provides the FX forward points.
*/
@PropertyDefinition(validate = "notNull")
private final ObservableId farForwardPointsId;
/**
* The label to use for the node, defaulted.
*
* When building, this will default based on the far period if not specified.
*/
@PropertyDefinition(validate = "notEmpty", overrideGet = true)
private final String label;
/**
* The method by which the date of the node is calculated, defaulted to 'End'.
*/
@PropertyDefinition
private final CurveNodeDate date;
/**
* The date order rules, used to ensure that the dates in the curve are in order.
* If not specified, this will default to {@link CurveNodeDateOrder#DEFAULT}.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurveNodeDateOrder dateOrder;
//-------------------------------------------------------------------------
/**
* Returns a curve node for an FX Swap using the specified instrument template and keys.
*
* A suitable default label will be created.
*
* @param template the template used for building the instrument for the node
* @param farForwardPointsId the identifier of the FX points at the far date
* @return a node whose instrument is built from the template using a market rate
*/
public static FxSwapCurveNode of(FxSwapTemplate template, ObservableId farForwardPointsId) {
return builder()
.template(template)
.farForwardPointsId(farForwardPointsId)
.build();
}
/**
* Returns a curve node for an FX Swap using the specified instrument template and keys and label.
*
* @param template the template used for building the instrument for the node
* @param farForwardPointsId the identifier of the FX points at the far date
* @param label the label to use for the node
* @return a node whose instrument is built from the template using a market rate
*/
public static FxSwapCurveNode of(FxSwapTemplate template, ObservableId farForwardPointsId, String label) {
return builder()
.template(template)
.farForwardPointsId(farForwardPointsId)
.label(label)
.build();
}
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.date = CurveNodeDate.END;
builder.dateOrder = CurveNodeDateOrder.DEFAULT;
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.template != null) {
if (builder.label == null) {
builder.label = Tenor.of(builder.template.getPeriodToFar()).toString();
}
if (builder.fxRateId == null) {
builder.fxRateId = FxRateId.of(builder.template.getCurrencyPair());
} else {
ArgChecker.isTrue(
builder.fxRateId.getPair().toConventional().equals(builder.template.getCurrencyPair().toConventional()),
"FxRateId currency pair '{}' must match that of the template '{}'",
builder.fxRateId.getPair(),
builder.template.getCurrencyPair());
}
}
}
//-------------------------------------------------------------------------
@Override
public Set> requirements() {
// TODO: extra identifier for near forward points
return ImmutableSet.of(fxRateId, farForwardPointsId);
}
@Override
public LocalDate date(LocalDate valuationDate, ReferenceData refData) {
return date.calculate(
() -> calculateEnd(valuationDate, refData),
() -> calculateLastFixingDate(valuationDate, refData));
}
@Override
public DatedParameterMetadata metadata(LocalDate valuationDate, ReferenceData refData) {
LocalDate nodeDate = date(valuationDate, refData);
if (date.isFixed()) {
return LabelDateParameterMetadata.of(nodeDate, label);
}
Tenor tenor = Tenor.of(template.getPeriodToFar());
return TenorDateParameterMetadata.of(nodeDate, tenor, label);
}
// calculate the end date
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) {
FxSwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, 0, refData);
return trade.getProduct().getFarLeg().resolve(refData).getPaymentDate();
}
// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData) {
throw new UnsupportedOperationException("Node date of 'LastFixing' is not supported for FxSwap");
}
@Override
public FxSwapTrade trade(double quantity, MarketData marketData, ReferenceData refData) {
FxRate fxRate = marketData.getValue(fxRateId);
double rate = fxRate.fxRate(template.getCurrencyPair());
double fxPts = marketData.getValue(farForwardPointsId);
BuySell buySell = quantity > 0 ? BuySell.BUY : BuySell.SELL;
return template.createTrade(marketData.getValuationDate(), buySell, Math.abs(quantity), rate, fxPts, refData);
}
@Override
public ResolvedFxSwapTrade resolvedTrade(double quantity, MarketData marketData, ReferenceData refData) {
return trade(quantity, marketData, refData).resolve(refData);
}
@Override
public ResolvedFxSwapTrade sampleResolvedTrade(
LocalDate valuationDate,
FxRateProvider fxProvider,
ReferenceData refData) {
double rate = fxProvider.fxRate(template.getCurrencyPair());
FxSwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1d, rate, 0d, refData);
return trade.resolve(refData);
}
@Override
public double initialGuess(MarketData marketData, ValueType valueType) {
if (ValueType.DISCOUNT_FACTOR.equals(valueType)) {
return 1d;
}
return 0d;
}
//-------------------------------------------------------------------------
/**
* Returns a copy of this node with the specified date.
*
* @param date the date to use
* @return the node based on this node with the specified date
*/
public FxSwapCurveNode withDate(CurveNodeDate date) {
return new FxSwapCurveNode(template, fxRateId, farForwardPointsId, label, date, dateOrder);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxSwapCurveNode}.
* @return the meta-bean, not null
*/
public static FxSwapCurveNode.Meta meta() {
return FxSwapCurveNode.Meta.INSTANCE;
}
static {
MetaBean.register(FxSwapCurveNode.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 FxSwapCurveNode.Builder builder() {
return new FxSwapCurveNode.Builder();
}
private FxSwapCurveNode(
FxSwapTemplate template,
FxRateId fxRateId,
ObservableId farForwardPointsId,
String label,
CurveNodeDate date,
CurveNodeDateOrder dateOrder) {
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(fxRateId, "fxRateId");
JodaBeanUtils.notNull(farForwardPointsId, "farForwardPointsId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.fxRateId = fxRateId;
this.farForwardPointsId = farForwardPointsId;
this.label = label;
this.date = date;
this.dateOrder = dateOrder;
}
@Override
public FxSwapCurveNode.Meta metaBean() {
return FxSwapCurveNode.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the template for the FX Swap associated with this node.
* @return the value of the property, not null
*/
public FxSwapTemplate getTemplate() {
return template;
}
//-----------------------------------------------------------------------
/**
* Gets the identifier used to obtain the FX rate market value, defaulted from the template.
* This only needs to be specified if using multiple market data sources.
* @return the value of the property, not null
*/
public FxRateId getFxRateId() {
return fxRateId;
}
//-----------------------------------------------------------------------
/**
* Gets the identifier of the market data value which provides the FX forward points.
* @return the value of the property, not null
*/
public ObservableId getFarForwardPointsId() {
return farForwardPointsId;
}
//-----------------------------------------------------------------------
/**
* Gets the label to use for the node, defaulted.
*
* When building, this will default based on the far period if not specified.
* @return the value of the property, not empty
*/
@Override
public String getLabel() {
return label;
}
//-----------------------------------------------------------------------
/**
* Gets the method by which the date of the node is calculated, defaulted to 'End'.
* @return the value of the property
*/
public CurveNodeDate getDate() {
return date;
}
//-----------------------------------------------------------------------
/**
* Gets the date order rules, used to ensure that the dates in the curve are in order.
* If not specified, this will default to {@link CurveNodeDateOrder#DEFAULT}.
* @return the value of the property, not null
*/
@Override
public CurveNodeDateOrder getDateOrder() {
return dateOrder;
}
//-----------------------------------------------------------------------
/**
* 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()) {
FxSwapCurveNode other = (FxSwapCurveNode) obj;
return JodaBeanUtils.equal(template, other.template) &&
JodaBeanUtils.equal(fxRateId, other.fxRateId) &&
JodaBeanUtils.equal(farForwardPointsId, other.farForwardPointsId) &&
JodaBeanUtils.equal(label, other.label) &&
JodaBeanUtils.equal(date, other.date) &&
JodaBeanUtils.equal(dateOrder, other.dateOrder);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(template);
hash = hash * 31 + JodaBeanUtils.hashCode(fxRateId);
hash = hash * 31 + JodaBeanUtils.hashCode(farForwardPointsId);
hash = hash * 31 + JodaBeanUtils.hashCode(label);
hash = hash * 31 + JodaBeanUtils.hashCode(date);
hash = hash * 31 + JodaBeanUtils.hashCode(dateOrder);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("FxSwapCurveNode{");
buf.append("template").append('=').append(JodaBeanUtils.toString(template)).append(',').append(' ');
buf.append("fxRateId").append('=').append(JodaBeanUtils.toString(fxRateId)).append(',').append(' ');
buf.append("farForwardPointsId").append('=').append(JodaBeanUtils.toString(farForwardPointsId)).append(',').append(' ');
buf.append("label").append('=').append(JodaBeanUtils.toString(label)).append(',').append(' ');
buf.append("date").append('=').append(JodaBeanUtils.toString(date)).append(',').append(' ');
buf.append("dateOrder").append('=').append(JodaBeanUtils.toString(dateOrder));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxSwapCurveNode}.
*/
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", FxSwapCurveNode.class, FxSwapTemplate.class);
/**
* The meta-property for the {@code fxRateId} property.
*/
private final MetaProperty fxRateId = DirectMetaProperty.ofImmutable(
this, "fxRateId", FxSwapCurveNode.class, FxRateId.class);
/**
* The meta-property for the {@code farForwardPointsId} property.
*/
private final MetaProperty farForwardPointsId = DirectMetaProperty.ofImmutable(
this, "farForwardPointsId", FxSwapCurveNode.class, ObservableId.class);
/**
* The meta-property for the {@code label} property.
*/
private final MetaProperty label = DirectMetaProperty.ofImmutable(
this, "label", FxSwapCurveNode.class, String.class);
/**
* The meta-property for the {@code date} property.
*/
private final MetaProperty date = DirectMetaProperty.ofImmutable(
this, "date", FxSwapCurveNode.class, CurveNodeDate.class);
/**
* The meta-property for the {@code dateOrder} property.
*/
private final MetaProperty dateOrder = DirectMetaProperty.ofImmutable(
this, "dateOrder", FxSwapCurveNode.class, CurveNodeDateOrder.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"template",
"fxRateId",
"farForwardPointsId",
"label",
"date",
"dateOrder");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return template;
case -1054985843: // fxRateId
return fxRateId;
case -566044884: // farForwardPointsId
return farForwardPointsId;
case 102727412: // label
return label;
case 3076014: // date
return date;
case -263699392: // dateOrder
return dateOrder;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FxSwapCurveNode.Builder builder() {
return new FxSwapCurveNode.Builder();
}
@Override
public Class beanType() {
return FxSwapCurveNode.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 fxRateId} property.
* @return the meta-property, not null
*/
public MetaProperty fxRateId() {
return fxRateId;
}
/**
* The meta-property for the {@code farForwardPointsId} property.
* @return the meta-property, not null
*/
public MetaProperty farForwardPointsId() {
return farForwardPointsId;
}
/**
* 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 date} property.
* @return the meta-property, not null
*/
public MetaProperty date() {
return date;
}
/**
* The meta-property for the {@code dateOrder} property.
* @return the meta-property, not null
*/
public MetaProperty dateOrder() {
return dateOrder;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return ((FxSwapCurveNode) bean).getTemplate();
case -1054985843: // fxRateId
return ((FxSwapCurveNode) bean).getFxRateId();
case -566044884: // farForwardPointsId
return ((FxSwapCurveNode) bean).getFarForwardPointsId();
case 102727412: // label
return ((FxSwapCurveNode) bean).getLabel();
case 3076014: // date
return ((FxSwapCurveNode) bean).getDate();
case -263699392: // dateOrder
return ((FxSwapCurveNode) bean).getDateOrder();
}
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 FxSwapCurveNode}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private FxSwapTemplate template;
private FxRateId fxRateId;
private ObservableId farForwardPointsId;
private String label;
private CurveNodeDate date;
private CurveNodeDateOrder dateOrder;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FxSwapCurveNode beanToCopy) {
this.template = beanToCopy.getTemplate();
this.fxRateId = beanToCopy.getFxRateId();
this.farForwardPointsId = beanToCopy.getFarForwardPointsId();
this.label = beanToCopy.getLabel();
this.date = beanToCopy.getDate();
this.dateOrder = beanToCopy.getDateOrder();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return template;
case -1054985843: // fxRateId
return fxRateId;
case -566044884: // farForwardPointsId
return farForwardPointsId;
case 102727412: // label
return label;
case 3076014: // date
return date;
case -263699392: // dateOrder
return dateOrder;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1321546630: // template
this.template = (FxSwapTemplate) newValue;
break;
case -1054985843: // fxRateId
this.fxRateId = (FxRateId) newValue;
break;
case -566044884: // farForwardPointsId
this.farForwardPointsId = (ObservableId) newValue;
break;
case 102727412: // label
this.label = (String) newValue;
break;
case 3076014: // date
this.date = (CurveNodeDate) newValue;
break;
case -263699392: // dateOrder
this.dateOrder = (CurveNodeDateOrder) 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 FxSwapCurveNode build() {
preBuild(this);
return new FxSwapCurveNode(
template,
fxRateId,
farForwardPointsId,
label,
date,
dateOrder);
}
//-----------------------------------------------------------------------
/**
* Sets the template for the FX Swap associated with this node.
* @param template the new value, not null
* @return this, for chaining, not null
*/
public Builder template(FxSwapTemplate template) {
JodaBeanUtils.notNull(template, "template");
this.template = template;
return this;
}
/**
* Sets the identifier used to obtain the FX rate market value, defaulted from the template.
* This only needs to be specified if using multiple market data sources.
* @param fxRateId the new value, not null
* @return this, for chaining, not null
*/
public Builder fxRateId(FxRateId fxRateId) {
JodaBeanUtils.notNull(fxRateId, "fxRateId");
this.fxRateId = fxRateId;
return this;
}
/**
* Sets the identifier of the market data value which provides the FX forward points.
* @param farForwardPointsId the new value, not null
* @return this, for chaining, not null
*/
public Builder farForwardPointsId(ObservableId farForwardPointsId) {
JodaBeanUtils.notNull(farForwardPointsId, "farForwardPointsId");
this.farForwardPointsId = farForwardPointsId;
return this;
}
/**
* Sets the label to use for the node, defaulted.
*
* When building, this will default based on the far period 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 method by which the date of the node is calculated, defaulted to 'End'.
* @param date the new value
* @return this, for chaining, not null
*/
public Builder date(CurveNodeDate date) {
this.date = date;
return this;
}
/**
* Sets the date order rules, used to ensure that the dates in the curve are in order.
* If not specified, this will default to {@link CurveNodeDateOrder#DEFAULT}.
* @param dateOrder the new value, not null
* @return this, for chaining, not null
*/
public Builder dateOrder(CurveNodeDateOrder dateOrder) {
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.dateOrder = dateOrder;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("FxSwapCurveNode.Builder{");
buf.append("template").append('=').append(JodaBeanUtils.toString(template)).append(',').append(' ');
buf.append("fxRateId").append('=').append(JodaBeanUtils.toString(fxRateId)).append(',').append(' ');
buf.append("farForwardPointsId").append('=').append(JodaBeanUtils.toString(farForwardPointsId)).append(',').append(' ');
buf.append("label").append('=').append(JodaBeanUtils.toString(label)).append(',').append(' ');
buf.append("date").append('=').append(JodaBeanUtils.toString(date)).append(',').append(' ');
buf.append("dateOrder").append('=').append(JodaBeanUtils.toString(dateOrder));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}