com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors 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.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.market.curve.RepoGroup;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.pricer.DiscountFactors;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* Provides access to discount factors for a repo curve.
*
* The discount factor represents the time value of money for the specified security, issuer and currency
* when comparing the valuation date to the specified date.
*/
@BeanDefinition(builderScope = "private")
public final class RepoCurveDiscountFactors
implements ImmutableBean, Serializable {
/**
* The underlying discount factors for a single currency.
*
* This contains curve, curve currency, valuation date and day count convention.
* The discount factor, its point sensitivity and curve sensitivity are computed by this {@code DiscountFactors}.
*/
@PropertyDefinition(validate = "notNull")
private final DiscountFactors discountFactors;
/**
* The repo group.
*
* This defines the group that the discount factors are for.
*/
@PropertyDefinition(validate = "notNull")
private final RepoGroup repoGroup;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on discount factors and group.
*
* @param discountFactors the discount factors
* @param group the group
* @return the repo curve discount factors
*/
public static RepoCurveDiscountFactors of(DiscountFactors discountFactors, RepoGroup group) {
return new RepoCurveDiscountFactors(discountFactors, group);
}
//-------------------------------------------------------------------------
/**
* Gets the currency.
*
* The currency that discount factors are provided for.
*
* @return the currency
*/
public Currency getCurrency() {
return discountFactors.getCurrency();
}
/**
* Gets the valuation date.
*
* The raw data in this provider is calibrated for this date.
*
* @return the valuation date
*/
public LocalDate getValuationDate() {
return discountFactors.getValuationDate();
}
//-------------------------------------------------------------------------
/**
* Gets the discount factor.
*
* The discount factor represents the time value of money for the specified currency and bond
* when comparing the valuation date to the specified date.
*
* If the valuation date is on or after the specified date, the discount factor is 1.
*
* @param date the date to discount to
* @return the discount factor
*/
public double discountFactor(LocalDate date) {
return discountFactors.discountFactor(date);
}
/**
* Calculates the zero rate point sensitivity at the specified date.
*
* This returns a sensitivity instance referring to the zero rate sensitivity of the curve
* used to determine the discount factor.
* The sensitivity typically has the value {@code (-discountFactor * relativeYearFraction)}.
* The sensitivity refers to the result of {@link #discountFactor(LocalDate)}.
*
* @param date the date to discount to
* @return the point sensitivity of the zero rate
* @throws RuntimeException if the result cannot be calculated
*/
public RepoCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date) {
return zeroRatePointSensitivity(date, getCurrency());
}
/**
* Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
*
* This returns a sensitivity instance referring to the zero rate sensitivity of the curve
* used to determine the discount factor.
* The sensitivity typically has the value {@code (-discountFactor * relativeYearFraction)}.
* The sensitivity refers to the result of {@link #discountFactor(LocalDate)}.
*
* This method allows the currency of the sensitivity to differ from the currency of the curve.
*
* @param date the date to discount to
* @param sensitivityCurrency the currency of the sensitivity
* @return the point sensitivity of the zero rate
* @throws RuntimeException if the result cannot be calculated
*/
public RepoCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency) {
ZeroRateSensitivity zeroRateSensitivity = discountFactors.zeroRatePointSensitivity(date, sensitivityCurrency);
return RepoCurveZeroRateSensitivity.of(zeroRateSensitivity, repoGroup);
}
/**
* Calculates the curve parameter sensitivity from the point sensitivity.
*
* This is used to convert a single point sensitivity to curve parameter sensitivity.
* The calculation typically involves multiplying the point and unit sensitivities.
*
* @param pointSensitivity the point sensitivity to convert
* @return the parameter sensitivity
* @throws RuntimeException if the result cannot be calculated
*/
public CurrencyParameterSensitivities parameterSensitivity(RepoCurveZeroRateSensitivity pointSensitivity) {
return discountFactors.parameterSensitivity(pointSensitivity.createZeroRateSensitivity());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code RepoCurveDiscountFactors}.
* @return the meta-bean, not null
*/
public static RepoCurveDiscountFactors.Meta meta() {
return RepoCurveDiscountFactors.Meta.INSTANCE;
}
static {
MetaBean.register(RepoCurveDiscountFactors.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private RepoCurveDiscountFactors(
DiscountFactors discountFactors,
RepoGroup repoGroup) {
JodaBeanUtils.notNull(discountFactors, "discountFactors");
JodaBeanUtils.notNull(repoGroup, "repoGroup");
this.discountFactors = discountFactors;
this.repoGroup = repoGroup;
}
@Override
public RepoCurveDiscountFactors.Meta metaBean() {
return RepoCurveDiscountFactors.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying discount factors for a single currency.
*
* This contains curve, curve currency, valuation date and day count convention.
* The discount factor, its point sensitivity and curve sensitivity are computed by this {@code DiscountFactors}.
* @return the value of the property, not null
*/
public DiscountFactors getDiscountFactors() {
return discountFactors;
}
//-----------------------------------------------------------------------
/**
* Gets the repo group.
*
* This defines the group that the discount factors are for.
* @return the value of the property, not null
*/
public RepoGroup getRepoGroup() {
return repoGroup;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
RepoCurveDiscountFactors other = (RepoCurveDiscountFactors) obj;
return JodaBeanUtils.equal(discountFactors, other.discountFactors) &&
JodaBeanUtils.equal(repoGroup, other.repoGroup);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(discountFactors);
hash = hash * 31 + JodaBeanUtils.hashCode(repoGroup);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("RepoCurveDiscountFactors{");
buf.append("discountFactors").append('=').append(JodaBeanUtils.toString(discountFactors)).append(',').append(' ');
buf.append("repoGroup").append('=').append(JodaBeanUtils.toString(repoGroup));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RepoCurveDiscountFactors}.
*/
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 discountFactors} property.
*/
private final MetaProperty discountFactors = DirectMetaProperty.ofImmutable(
this, "discountFactors", RepoCurveDiscountFactors.class, DiscountFactors.class);
/**
* The meta-property for the {@code repoGroup} property.
*/
private final MetaProperty repoGroup = DirectMetaProperty.ofImmutable(
this, "repoGroup", RepoCurveDiscountFactors.class, RepoGroup.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"discountFactors",
"repoGroup");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -91613053: // discountFactors
return discountFactors;
case -393084371: // repoGroup
return repoGroup;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new RepoCurveDiscountFactors.Builder();
}
@Override
public Class beanType() {
return RepoCurveDiscountFactors.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code discountFactors} property.
* @return the meta-property, not null
*/
public MetaProperty discountFactors() {
return discountFactors;
}
/**
* The meta-property for the {@code repoGroup} property.
* @return the meta-property, not null
*/
public MetaProperty repoGroup() {
return repoGroup;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -91613053: // discountFactors
return ((RepoCurveDiscountFactors) bean).getDiscountFactors();
case -393084371: // repoGroup
return ((RepoCurveDiscountFactors) bean).getRepoGroup();
}
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 RepoCurveDiscountFactors}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private DiscountFactors discountFactors;
private RepoGroup repoGroup;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -91613053: // discountFactors
return discountFactors;
case -393084371: // repoGroup
return repoGroup;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -91613053: // discountFactors
this.discountFactors = (DiscountFactors) newValue;
break;
case -393084371: // repoGroup
this.repoGroup = (RepoGroup) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public RepoCurveDiscountFactors build() {
return new RepoCurveDiscountFactors(
discountFactors,
repoGroup);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("RepoCurveDiscountFactors.Builder{");
buf.append("discountFactors").append('=').append(JodaBeanUtils.toString(discountFactors)).append(',').append(' ');
buf.append("repoGroup").append('=').append(JodaBeanUtils.toString(repoGroup));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}