com.opengamma.strata.market.curve.node.OvernightFutureCurveNode Maven / Gradle / Ivy
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/*
* Copyright (C) 2020 - 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.time.YearMonth;
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.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.FxRateProvider;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.MarketData;
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.observable.QuoteId;
import com.opengamma.strata.market.param.DatedParameterMetadata;
import com.opengamma.strata.market.param.YearMonthDateParameterMetadata;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.index.OvernightFutureTrade;
import com.opengamma.strata.product.index.ResolvedOvernightFutureTrade;
import com.opengamma.strata.product.index.type.OvernightFutureTemplate;
/**
* A curve node whose instrument is an Overnight Future.
*
* The trade produced by the node will be a long for a positive quantity and a short for a negative quantity.
* This convention is line with other nodes where a positive quantity is similar to long a bond or deposit.
*/
@BeanDefinition
public final class OvernightFutureCurveNode
implements CurveNode, ImmutableBean, Serializable {
/**
* The template for the Overnight Futures associated with this node.
* The contract specification of the future.
*/
@PropertyDefinition(validate = "notNull")
private final OvernightFutureTemplate template;
/**
* The identifier of the market data value which provides the price.
*/
@PropertyDefinition(validate = "notNull")
private final QuoteId rateId;
/**
* The additional spread added to the price.
* This amount is directly added to the price, where 0.993 represents a 0.7% rate.
*/
@PropertyDefinition
private final double additionalSpread;
/**
* The label to use for the node, may be empty.
*
* If empty, a default label will be created when the metadata is built.
* The default label depends on the valuation date, so cannot be created in the node.
*/
@PropertyDefinition(validate = "notNull", 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;
//-------------------------------------------------------------------------
/**
* Obtains a curve node for an Overnight Future using the specified contract and rate key.
*
* @param template the template used for building the instrument for the node
* @param rateId the identifier of the market rate for the security
* @return a node whose instrument is built from the template using a market rate
*/
public static OvernightFutureCurveNode of(OvernightFutureTemplate template, QuoteId rateId) {
return of(template, rateId, 0d);
}
/**
* Obtains a curve node for an Overnight Future using the specified contract, rate key and spread.
*
* @param template the template used for building the instrument for the node
* @param rateId the identifier of the market rate for the security
* @param additionalSpread the additional spread amount added to the rate
* @return a node whose instrument is built from the template using a market rate
*/
public static OvernightFutureCurveNode of(OvernightFutureTemplate template, QuoteId rateId, double additionalSpread) {
return of(template, rateId, additionalSpread, "");
}
/**
* Obtains a curve node for an Overnight Future using the specified contract, rate key, spread and label.
*
* @param template the template used for building the instrument for the node
* @param rateId the identifier of the market rate for the security
* @param additionalSpread the additional spread amount added to the rate
* @param label the label to use for the node, if empty an appropriate default label will be generated
* @return a node whose instrument is built from the template using a market rate
*/
public static OvernightFutureCurveNode of(
OvernightFutureTemplate template,
QuoteId rateId,
double additionalSpread,
String label) {
return new OvernightFutureCurveNode(
template, rateId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT);
}
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.date = CurveNodeDate.END;
builder.dateOrder = CurveNodeDateOrder.DEFAULT;
}
//-------------------------------------------------------------------------
@Override
public Set requirements() {
return ImmutableSet.of(rateId);
}
@Override
public LocalDate date(LocalDate valuationDate, ReferenceData refData) {
LocalDate lastFixingDate = template.calculateLastFixingDateFromTradeDate(valuationDate, refData);
return date.calculate(
() -> template.getIndex().calculateMaturityFromEffective(lastFixingDate, refData),
() -> lastFixingDate);
}
@Override
public DatedParameterMetadata metadata(LocalDate valuationDate, ReferenceData refData) {
LocalDate nodeDate = date(valuationDate, refData);
LocalDate referenceDate = template.calculateReferenceDateFromTradeDate(valuationDate, refData);
if (label.isEmpty()) {
return YearMonthDateParameterMetadata.of(nodeDate, YearMonth.from(referenceDate));
}
return YearMonthDateParameterMetadata.of(nodeDate, YearMonth.from(referenceDate), label);
}
@Override
public OvernightFutureTrade trade(double quantity, MarketData marketData, ReferenceData refData) {
LocalDate valuationDate = marketData.getValuationDate();
double price = marketPrice(marketData) + additionalSpread;
SecurityId secId = SecurityId.of(rateId.getStandardId()); // quote must also be security
return template.createTrade(valuationDate, secId, quantity, price, refData);
}
@Override
public ResolvedOvernightFutureTrade resolvedTrade(double quantity, MarketData marketData, ReferenceData refData) {
return trade(quantity, marketData, refData).resolve(refData);
}
@Override
public ResolvedOvernightFutureTrade sampleResolvedTrade(
LocalDate valuationDate,
FxRateProvider fxProvider,
ReferenceData refData) {
SecurityId secId = SecurityId.of(rateId.getStandardId()); // quote must also be security
OvernightFutureTrade trade = template.createTrade(valuationDate, secId, 1d, 1d, refData);
return trade.resolve(refData);
}
@Override
public double initialGuess(MarketData marketData, ValueType valueType) {
double rate = 1d - marketPrice(marketData);
if (ValueType.ZERO_RATE.equals(valueType) || ValueType.FORWARD_RATE.equals(valueType)) {
return rate;
}
if (ValueType.DISCOUNT_FACTOR.equals(valueType)) {
return 1d;
}
return 0d;
}
// check if market value is correct
private double marketPrice(MarketData marketData) {
double price = marketData.getValue(rateId);
ArgChecker.isTrue(price < 2, "Price must be in decimal form, such as 0.993 for a 0.7% rate, but was: {}", price);
return price;
}
//-------------------------------------------------------------------------
/**
* 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 OvernightFutureCurveNode withDate(CurveNodeDate date) {
return new OvernightFutureCurveNode(template, rateId, additionalSpread, label, date, dateOrder);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code OvernightFutureCurveNode}.
* @return the meta-bean, not null
*/
public static OvernightFutureCurveNode.Meta meta() {
return OvernightFutureCurveNode.Meta.INSTANCE;
}
static {
MetaBean.register(OvernightFutureCurveNode.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 OvernightFutureCurveNode.Builder builder() {
return new OvernightFutureCurveNode.Builder();
}
private OvernightFutureCurveNode(
OvernightFutureTemplate template,
QuoteId rateId,
double additionalSpread,
String label,
CurveNodeDate date,
CurveNodeDateOrder dateOrder) {
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(rateId, "rateId");
JodaBeanUtils.notNull(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.rateId = rateId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date = date;
this.dateOrder = dateOrder;
}
@Override
public OvernightFutureCurveNode.Meta metaBean() {
return OvernightFutureCurveNode.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the template for the Overnight Futures associated with this node.
* The contract specification of the future.
* @return the value of the property, not null
*/
public OvernightFutureTemplate getTemplate() {
return template;
}
//-----------------------------------------------------------------------
/**
* Gets the identifier of the market data value which provides the price.
* @return the value of the property, not null
*/
public QuoteId getRateId() {
return rateId;
}
//-----------------------------------------------------------------------
/**
* Gets the additional spread added to the price.
* This amount is directly added to the price, where 0.993 represents a 0.7% rate.
* @return the value of the property
*/
public double getAdditionalSpread() {
return additionalSpread;
}
//-----------------------------------------------------------------------
/**
* Gets the label to use for the node, may be empty.
*
* If empty, a default label will be created when the metadata is built.
* The default label depends on the valuation date, so cannot be created in the node.
* @return the value of the property, not null
*/
@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()) {
OvernightFutureCurveNode other = (OvernightFutureCurveNode) obj;
return JodaBeanUtils.equal(template, other.template) &&
JodaBeanUtils.equal(rateId, other.rateId) &&
JodaBeanUtils.equal(additionalSpread, other.additionalSpread) &&
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(rateId);
hash = hash * 31 + JodaBeanUtils.hashCode(additionalSpread);
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("OvernightFutureCurveNode{");
buf.append("template").append('=').append(JodaBeanUtils.toString(template)).append(',').append(' ');
buf.append("rateId").append('=').append(JodaBeanUtils.toString(rateId)).append(',').append(' ');
buf.append("additionalSpread").append('=').append(JodaBeanUtils.toString(additionalSpread)).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 OvernightFutureCurveNode}.
*/
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", OvernightFutureCurveNode.class, OvernightFutureTemplate.class);
/**
* The meta-property for the {@code rateId} property.
*/
private final MetaProperty rateId = DirectMetaProperty.ofImmutable(
this, "rateId", OvernightFutureCurveNode.class, QuoteId.class);
/**
* The meta-property for the {@code additionalSpread} property.
*/
private final MetaProperty additionalSpread = DirectMetaProperty.ofImmutable(
this, "additionalSpread", OvernightFutureCurveNode.class, Double.TYPE);
/**
* The meta-property for the {@code label} property.
*/
private final MetaProperty label = DirectMetaProperty.ofImmutable(
this, "label", OvernightFutureCurveNode.class, String.class);
/**
* The meta-property for the {@code date} property.
*/
private final MetaProperty date = DirectMetaProperty.ofImmutable(
this, "date", OvernightFutureCurveNode.class, CurveNodeDate.class);
/**
* The meta-property for the {@code dateOrder} property.
*/
private final MetaProperty dateOrder = DirectMetaProperty.ofImmutable(
this, "dateOrder", OvernightFutureCurveNode.class, CurveNodeDateOrder.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"template",
"rateId",
"additionalSpread",
"label",
"date",
"dateOrder");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1321546630: // template
return template;
case -938107365: // rateId
return rateId;
case 291232890: // additionalSpread
return additionalSpread;
case 102727412: // label
return label;
case 3076014: // date
return date;
case -263699392: // dateOrder
return dateOrder;
}
return super.metaPropertyGet(propertyName);
}
@Override
public OvernightFutureCurveNode.Builder builder() {
return new OvernightFutureCurveNode.Builder();
}
@Override
public Class beanType() {
return OvernightFutureCurveNode.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 rateId} property.
* @return the meta-property, not null
*/
public MetaProperty rateId() {
return rateId;
}
/**
* The meta-property for the {@code additionalSpread} property.
* @return the meta-property, not null
*/
public MetaProperty additionalSpread() {
return additionalSpread;
}
/**
* 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 ((OvernightFutureCurveNode) bean).getTemplate();
case -938107365: // rateId
return ((OvernightFutureCurveNode) bean).getRateId();
case 291232890: // additionalSpread
return ((OvernightFutureCurveNode) bean).getAdditionalSpread();
case 102727412: // label
return ((OvernightFutureCurveNode) bean).getLabel();
case 3076014: // date
return ((OvernightFutureCurveNode) bean).getDate();
case -263699392: // dateOrder
return ((OvernightFutureCurveNode) 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 OvernightFutureCurveNode}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private OvernightFutureTemplate template;
private QuoteId rateId;
private double additionalSpread;
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(OvernightFutureCurveNode beanToCopy) {
this.template = beanToCopy.getTemplate();
this.rateId = beanToCopy.getRateId();
this.additionalSpread = beanToCopy.getAdditionalSpread();
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 -938107365: // rateId
return rateId;
case 291232890: // additionalSpread
return additionalSpread;
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 = (OvernightFutureTemplate) newValue;
break;
case -938107365: // rateId
this.rateId = (QuoteId) newValue;
break;
case 291232890: // additionalSpread
this.additionalSpread = (Double) 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 OvernightFutureCurveNode build() {
return new OvernightFutureCurveNode(
template,
rateId,
additionalSpread,
label,
date,
dateOrder);
}
//-----------------------------------------------------------------------
/**
* Sets the template for the Overnight Futures associated with this node.
* The contract specification of the future.
* @param template the new value, not null
* @return this, for chaining, not null
*/
public Builder template(OvernightFutureTemplate template) {
JodaBeanUtils.notNull(template, "template");
this.template = template;
return this;
}
/**
* Sets the identifier of the market data value which provides the price.
* @param rateId the new value, not null
* @return this, for chaining, not null
*/
public Builder rateId(QuoteId rateId) {
JodaBeanUtils.notNull(rateId, "rateId");
this.rateId = rateId;
return this;
}
/**
* Sets the additional spread added to the price.
* This amount is directly added to the price, where 0.993 represents a 0.7% rate.
* @param additionalSpread the new value
* @return this, for chaining, not null
*/
public Builder additionalSpread(double additionalSpread) {
this.additionalSpread = additionalSpread;
return this;
}
/**
* Sets the label to use for the node, may be empty.
*
* If empty, a default label will be created when the metadata is built.
* The default label depends on the valuation date, so cannot be created in the node.
* @param label the new value, not null
* @return this, for chaining, not null
*/
public Builder label(String label) {
JodaBeanUtils.notNull(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("OvernightFutureCurveNode.Builder{");
buf.append("template").append('=').append(JodaBeanUtils.toString(template)).append(',').append(' ');
buf.append("rateId").append('=').append(JodaBeanUtils.toString(rateId)).append(',').append(' ');
buf.append("additionalSpread").append('=').append(JodaBeanUtils.toString(additionalSpread)).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 --------------------------
}