com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.bond;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.Map.Entry;
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.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.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.market.curve.LegalEntityGroup;
import com.opengamma.strata.market.curve.RepoGroup;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.pricer.DiscountFactors;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecurityId;
/**
* An immutable provider of data for bond pricing, based on repo and issuer discounting.
*
* This used to price bonds issued by a legal entity.
* The data to do this includes discount factors of repo curves and issuer curves.
* If the bond is inflation linked, the price index data is obtained from {@link RatesProvider}.
*
* Two types of discount factors are provided by this class.
* Repo curves are looked up using either the security ID of the bond, or the issuer (legal entity).
* Issuer curves are only looked up using the issuer (legal entity).
*/
@BeanDefinition
public final class ImmutableLegalEntityDiscountingProvider
implements LegalEntityDiscountingProvider, ImmutableBean, Serializable {
/**
* The valuation date.
* All curves and other data items in this provider are calibrated for this date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDate valuationDate;
/**
* The groups used to find a repo curve by security.
*
* This maps the security ID to a group.
* The group is used to find the curve in {@code repoCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap repoCurveSecurityGroups;
/**
* The groups used to find a repo curve by legal entity.
*
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap repoCurveGroups;
/**
* The repo curves, keyed by group and currency.
* The curve data, predicting the future, associated with each repo group and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap, DiscountFactors> repoCurves;
/**
* The groups used to find an issuer curve by legal entity.
*
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
*
* This property was renamed in version 1.1 of Strata from {@code legalEntityMap}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap issuerCurveGroups;
/**
* The issuer curves, keyed by group and currency.
* The curve data, predicting the future, associated with each legal entity group and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap, DiscountFactors> issuerCurves;
//-------------------------------------------------------------------------
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.valuationDate == null && !builder.issuerCurves.isEmpty()) {
builder.valuationDate = builder.issuerCurves.values().iterator().next().getValuationDate();
}
}
@ImmutableValidator
private void validate() {
for (Entry, DiscountFactors> entry : repoCurves.entrySet()) {
if (!entry.getValue().getValuationDate().isEqual(valuationDate)) {
throw new IllegalArgumentException("Invalid valuation date for the repo curve: " + entry.getValue());
}
RepoGroup group = entry.getKey().getFirst();
if (!repoCurveGroups.containsValue(group) && !repoCurveSecurityGroups.containsValue(group)) {
throw new IllegalArgumentException("No map to the repo group from ID: " + group);
}
}
for (Entry, DiscountFactors> entry : issuerCurves.entrySet()) {
if (!entry.getValue().getValuationDate().isEqual(valuationDate)) {
throw new IllegalArgumentException("Invalid valuation date for the issuer curve: " + entry.getValue());
}
if (!issuerCurveGroups.containsValue(entry.getKey().getFirst())) {
throw new IllegalArgumentException("No map to the legal entity group from ID: " + entry.getKey().getFirst());
}
}
}
//-------------------------------------------------------------------------
@Override
public RepoCurveDiscountFactors repoCurveDiscountFactors(SecurityId securityId, LegalEntityId issuerId, Currency currency) {
RepoGroup repoGroup = repoCurveSecurityGroups.get(securityId);
if (repoGroup == null) {
repoGroup = repoCurveGroups.get(issuerId);
if (repoGroup == null) {
throw new IllegalArgumentException("Unable to find map for ID: " + securityId + ", " + issuerId);
}
}
return repoCurveDiscountFactors(repoGroup, currency);
}
@Override
public RepoCurveDiscountFactors repoCurveDiscountFactors(LegalEntityId issuerId, Currency currency) {
RepoGroup repoGroup = repoCurveGroups.get(issuerId);
if (repoGroup == null) {
throw new IllegalArgumentException("Unable to find map for ID: " + issuerId);
}
return repoCurveDiscountFactors(repoGroup, currency);
}
// lookup the discount factors for the repo group
private RepoCurveDiscountFactors repoCurveDiscountFactors(RepoGroup repoGroup, Currency currency) {
DiscountFactors discountFactors = repoCurves.get(Pair.of(repoGroup, currency));
if (discountFactors == null) {
throw new IllegalArgumentException("Unable to find repo curve: " + repoGroup + ", " + currency);
}
return RepoCurveDiscountFactors.of(discountFactors, repoGroup);
}
//-------------------------------------------------------------------------
@Override
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency) {
LegalEntityGroup legalEntityGroup = issuerCurveGroups.get(issuerId);
if (legalEntityGroup == null) {
throw new IllegalArgumentException("Unable to find map for ID: " + issuerId);
}
return issuerCurveDiscountFactors(legalEntityGroup, currency);
}
// lookup the discount factors for the legal entity group
private IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityGroup legalEntityGroup, Currency currency) {
DiscountFactors discountFactors = issuerCurves.get(Pair.of(legalEntityGroup, currency));
if (discountFactors == null) {
throw new IllegalArgumentException("Unable to find issuer curve: " + legalEntityGroup + ", " + currency);
}
return IssuerCurveDiscountFactors.of(discountFactors, legalEntityGroup);
}
//-------------------------------------------------------------------------
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof RepoCurveZeroRateSensitivity) {
RepoCurveZeroRateSensitivity pt = (RepoCurveZeroRateSensitivity) point;
RepoCurveDiscountFactors factors = repoCurveDiscountFactors(pt.getRepoGroup(), pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
} else if (point instanceof IssuerCurveZeroRateSensitivity) {
IssuerCurveZeroRateSensitivity pt = (IssuerCurveZeroRateSensitivity) point;
IssuerCurveDiscountFactors factors = issuerCurveDiscountFactors(pt.getLegalEntityGroup(), pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
return sens;
}
//-------------------------------------------------------------------------
@Override
public T data(MarketDataId id) {
throw new IllegalArgumentException("Unknown identifier: " + id.toString());
}
@Override
public Optional findData(MarketDataName name) {
if (name instanceof CurveName) {
return Stream.concat(repoCurves.values().stream(), issuerCurves.values().stream())
.map(df -> df.findData(name))
.filter(opt -> opt.isPresent())
.map(opt -> opt.get())
.findFirst();
}
return Optional.empty();
}
@Override
public ImmutableLegalEntityDiscountingProvider toImmutableLegalEntityDiscountingProvider() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ImmutableLegalEntityDiscountingProvider}.
* @return the meta-bean, not null
*/
public static ImmutableLegalEntityDiscountingProvider.Meta meta() {
return ImmutableLegalEntityDiscountingProvider.Meta.INSTANCE;
}
static {
MetaBean.register(ImmutableLegalEntityDiscountingProvider.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 ImmutableLegalEntityDiscountingProvider.Builder builder() {
return new ImmutableLegalEntityDiscountingProvider.Builder();
}
private ImmutableLegalEntityDiscountingProvider(
LocalDate valuationDate,
Map repoCurveSecurityGroups,
Map repoCurveGroups,
Map, DiscountFactors> repoCurves,
Map issuerCurveGroups,
Map, DiscountFactors> issuerCurves) {
JodaBeanUtils.notNull(valuationDate, "valuationDate");
JodaBeanUtils.notNull(repoCurveSecurityGroups, "repoCurveSecurityGroups");
JodaBeanUtils.notNull(repoCurveGroups, "repoCurveGroups");
JodaBeanUtils.notNull(repoCurves, "repoCurves");
JodaBeanUtils.notNull(issuerCurveGroups, "issuerCurveGroups");
JodaBeanUtils.notNull(issuerCurves, "issuerCurves");
this.valuationDate = valuationDate;
this.repoCurveSecurityGroups = ImmutableMap.copyOf(repoCurveSecurityGroups);
this.repoCurveGroups = ImmutableMap.copyOf(repoCurveGroups);
this.repoCurves = ImmutableMap.copyOf(repoCurves);
this.issuerCurveGroups = ImmutableMap.copyOf(issuerCurveGroups);
this.issuerCurves = ImmutableMap.copyOf(issuerCurves);
validate();
}
@Override
public ImmutableLegalEntityDiscountingProvider.Meta metaBean() {
return ImmutableLegalEntityDiscountingProvider.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
* All curves and other data items in this provider are calibrated for this date.
* @return the value of the property, not null
*/
@Override
public LocalDate getValuationDate() {
return valuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the groups used to find a repo curve by security.
*
* This maps the security ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @return the value of the property, not null
*/
public ImmutableMap getRepoCurveSecurityGroups() {
return repoCurveSecurityGroups;
}
//-----------------------------------------------------------------------
/**
* Gets the groups used to find a repo curve by legal entity.
*
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @return the value of the property, not null
*/
public ImmutableMap getRepoCurveGroups() {
return repoCurveGroups;
}
//-----------------------------------------------------------------------
/**
* Gets the repo curves, keyed by group and currency.
* The curve data, predicting the future, associated with each repo group and currency.
* @return the value of the property, not null
*/
public ImmutableMap, DiscountFactors> getRepoCurves() {
return repoCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the groups used to find an issuer curve by legal entity.
*
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
*
* This property was renamed in version 1.1 of Strata from {@code legalEntityMap}.
* @return the value of the property, not null
*/
public ImmutableMap getIssuerCurveGroups() {
return issuerCurveGroups;
}
//-----------------------------------------------------------------------
/**
* Gets the issuer curves, keyed by group and currency.
* The curve data, predicting the future, associated with each legal entity group and currency.
* @return the value of the property, not null
*/
public ImmutableMap, DiscountFactors> getIssuerCurves() {
return issuerCurves;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ImmutableLegalEntityDiscountingProvider other = (ImmutableLegalEntityDiscountingProvider) obj;
return JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(repoCurveSecurityGroups, other.repoCurveSecurityGroups) &&
JodaBeanUtils.equal(repoCurveGroups, other.repoCurveGroups) &&
JodaBeanUtils.equal(repoCurves, other.repoCurves) &&
JodaBeanUtils.equal(issuerCurveGroups, other.issuerCurveGroups) &&
JodaBeanUtils.equal(issuerCurves, other.issuerCurves);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurveSecurityGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurveGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurveGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurves);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("ImmutableLegalEntityDiscountingProvider{");
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("repoCurveSecurityGroups").append('=').append(JodaBeanUtils.toString(repoCurveSecurityGroups)).append(',').append(' ');
buf.append("repoCurveGroups").append('=').append(JodaBeanUtils.toString(repoCurveGroups)).append(',').append(' ');
buf.append("repoCurves").append('=').append(JodaBeanUtils.toString(repoCurves)).append(',').append(' ');
buf.append("issuerCurveGroups").append('=').append(JodaBeanUtils.toString(issuerCurveGroups)).append(',').append(' ');
buf.append("issuerCurves").append('=').append(JodaBeanUtils.toString(issuerCurves));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ImmutableLegalEntityDiscountingProvider}.
*/
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 valuationDate} property.
*/
private final MetaProperty valuationDate = DirectMetaProperty.ofImmutable(
this, "valuationDate", ImmutableLegalEntityDiscountingProvider.class, LocalDate.class);
/**
* The meta-property for the {@code repoCurveSecurityGroups} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> repoCurveSecurityGroups = DirectMetaProperty.ofImmutable(
this, "repoCurveSecurityGroups", ImmutableLegalEntityDiscountingProvider.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code repoCurveGroups} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> repoCurveGroups = DirectMetaProperty.ofImmutable(
this, "repoCurveGroups", ImmutableLegalEntityDiscountingProvider.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code repoCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty, DiscountFactors>> repoCurves = DirectMetaProperty.ofImmutable(
this, "repoCurves", ImmutableLegalEntityDiscountingProvider.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code issuerCurveGroups} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> issuerCurveGroups = DirectMetaProperty.ofImmutable(
this, "issuerCurveGroups", ImmutableLegalEntityDiscountingProvider.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code issuerCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty, DiscountFactors>> issuerCurves = DirectMetaProperty.ofImmutable(
this, "issuerCurves", ImmutableLegalEntityDiscountingProvider.class, (Class) ImmutableMap.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"valuationDate",
"repoCurveSecurityGroups",
"repoCurveGroups",
"repoCurves",
"issuerCurveGroups",
"issuerCurves");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
return valuationDate;
case -1749299407: // repoCurveSecurityGroups
return repoCurveSecurityGroups;
case -1279842095: // repoCurveGroups
return repoCurveGroups;
case 587630454: // repoCurves
return repoCurves;
case 1830129450: // issuerCurveGroups
return issuerCurveGroups;
case -1909076611: // issuerCurves
return issuerCurves;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ImmutableLegalEntityDiscountingProvider.Builder builder() {
return new ImmutableLegalEntityDiscountingProvider.Builder();
}
@Override
public Class beanType() {
return ImmutableLegalEntityDiscountingProvider.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code valuationDate} property.
* @return the meta-property, not null
*/
public MetaProperty valuationDate() {
return valuationDate;
}
/**
* The meta-property for the {@code repoCurveSecurityGroups} property.
* @return the meta-property, not null
*/
public MetaProperty> repoCurveSecurityGroups() {
return repoCurveSecurityGroups;
}
/**
* The meta-property for the {@code repoCurveGroups} property.
* @return the meta-property, not null
*/
public MetaProperty> repoCurveGroups() {
return repoCurveGroups;
}
/**
* The meta-property for the {@code repoCurves} property.
* @return the meta-property, not null
*/
public MetaProperty, DiscountFactors>> repoCurves() {
return repoCurves;
}
/**
* The meta-property for the {@code issuerCurveGroups} property.
* @return the meta-property, not null
*/
public MetaProperty> issuerCurveGroups() {
return issuerCurveGroups;
}
/**
* The meta-property for the {@code issuerCurves} property.
* @return the meta-property, not null
*/
public MetaProperty, DiscountFactors>> issuerCurves() {
return issuerCurves;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
return ((ImmutableLegalEntityDiscountingProvider) bean).getValuationDate();
case -1749299407: // repoCurveSecurityGroups
return ((ImmutableLegalEntityDiscountingProvider) bean).getRepoCurveSecurityGroups();
case -1279842095: // repoCurveGroups
return ((ImmutableLegalEntityDiscountingProvider) bean).getRepoCurveGroups();
case 587630454: // repoCurves
return ((ImmutableLegalEntityDiscountingProvider) bean).getRepoCurves();
case 1830129450: // issuerCurveGroups
return ((ImmutableLegalEntityDiscountingProvider) bean).getIssuerCurveGroups();
case -1909076611: // issuerCurves
return ((ImmutableLegalEntityDiscountingProvider) bean).getIssuerCurves();
}
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 ImmutableLegalEntityDiscountingProvider}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private LocalDate valuationDate;
private Map repoCurveSecurityGroups = ImmutableMap.of();
private Map repoCurveGroups = ImmutableMap.of();
private Map, DiscountFactors> repoCurves = ImmutableMap.of();
private Map issuerCurveGroups = ImmutableMap.of();
private Map, DiscountFactors> issuerCurves = ImmutableMap.of();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ImmutableLegalEntityDiscountingProvider beanToCopy) {
this.valuationDate = beanToCopy.getValuationDate();
this.repoCurveSecurityGroups = beanToCopy.getRepoCurveSecurityGroups();
this.repoCurveGroups = beanToCopy.getRepoCurveGroups();
this.repoCurves = beanToCopy.getRepoCurves();
this.issuerCurveGroups = beanToCopy.getIssuerCurveGroups();
this.issuerCurves = beanToCopy.getIssuerCurves();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
return valuationDate;
case -1749299407: // repoCurveSecurityGroups
return repoCurveSecurityGroups;
case -1279842095: // repoCurveGroups
return repoCurveGroups;
case 587630454: // repoCurves
return repoCurves;
case 1830129450: // issuerCurveGroups
return issuerCurveGroups;
case -1909076611: // issuerCurves
return issuerCurves;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
this.valuationDate = (LocalDate) newValue;
break;
case -1749299407: // repoCurveSecurityGroups
this.repoCurveSecurityGroups = (Map) newValue;
break;
case -1279842095: // repoCurveGroups
this.repoCurveGroups = (Map) newValue;
break;
case 587630454: // repoCurves
this.repoCurves = (Map, DiscountFactors>) newValue;
break;
case 1830129450: // issuerCurveGroups
this.issuerCurveGroups = (Map) newValue;
break;
case -1909076611: // issuerCurves
this.issuerCurves = (Map, DiscountFactors>) 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 ImmutableLegalEntityDiscountingProvider build() {
preBuild(this);
return new ImmutableLegalEntityDiscountingProvider(
valuationDate,
repoCurveSecurityGroups,
repoCurveGroups,
repoCurves,
issuerCurveGroups,
issuerCurves);
}
//-----------------------------------------------------------------------
/**
* Sets the valuation date.
* All curves and other data items in this provider are calibrated for this date.
* @param valuationDate the new value, not null
* @return this, for chaining, not null
*/
public Builder valuationDate(LocalDate valuationDate) {
JodaBeanUtils.notNull(valuationDate, "valuationDate");
this.valuationDate = valuationDate;
return this;
}
/**
* Sets the groups used to find a repo curve by security.
*
* This maps the security ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @param repoCurveSecurityGroups the new value, not null
* @return this, for chaining, not null
*/
public Builder repoCurveSecurityGroups(Map repoCurveSecurityGroups) {
JodaBeanUtils.notNull(repoCurveSecurityGroups, "repoCurveSecurityGroups");
this.repoCurveSecurityGroups = repoCurveSecurityGroups;
return this;
}
/**
* Sets the groups used to find a repo curve by legal entity.
*
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @param repoCurveGroups the new value, not null
* @return this, for chaining, not null
*/
public Builder repoCurveGroups(Map repoCurveGroups) {
JodaBeanUtils.notNull(repoCurveGroups, "repoCurveGroups");
this.repoCurveGroups = repoCurveGroups;
return this;
}
/**
* Sets the repo curves, keyed by group and currency.
* The curve data, predicting the future, associated with each repo group and currency.
* @param repoCurves the new value, not null
* @return this, for chaining, not null
*/
public Builder repoCurves(Map, DiscountFactors> repoCurves) {
JodaBeanUtils.notNull(repoCurves, "repoCurves");
this.repoCurves = repoCurves;
return this;
}
/**
* Sets the groups used to find an issuer curve by legal entity.
*
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
*
* This property was renamed in version 1.1 of Strata from {@code legalEntityMap}.
* @param issuerCurveGroups the new value, not null
* @return this, for chaining, not null
*/
public Builder issuerCurveGroups(Map issuerCurveGroups) {
JodaBeanUtils.notNull(issuerCurveGroups, "issuerCurveGroups");
this.issuerCurveGroups = issuerCurveGroups;
return this;
}
/**
* Sets the issuer curves, keyed by group and currency.
* The curve data, predicting the future, associated with each legal entity group and currency.
* @param issuerCurves the new value, not null
* @return this, for chaining, not null
*/
public Builder issuerCurves(Map, DiscountFactors> issuerCurves) {
JodaBeanUtils.notNull(issuerCurves, "issuerCurves");
this.issuerCurves = issuerCurves;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("ImmutableLegalEntityDiscountingProvider.Builder{");
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("repoCurveSecurityGroups").append('=').append(JodaBeanUtils.toString(repoCurveSecurityGroups)).append(',').append(' ');
buf.append("repoCurveGroups").append('=').append(JodaBeanUtils.toString(repoCurveGroups)).append(',').append(' ');
buf.append("repoCurves").append('=').append(JodaBeanUtils.toString(repoCurves)).append(',').append(' ');
buf.append("issuerCurveGroups").append('=').append(JodaBeanUtils.toString(issuerCurveGroups)).append(',').append(' ');
buf.append("issuerCurves").append('=').append(JodaBeanUtils.toString(issuerCurves));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}