com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity 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.util.Map;
import java.util.NoSuchElementException;
import java.util.function.DoubleUnaryOperator;
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.google.common.collect.ComparisonChain;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.market.curve.RepoGroup;
import com.opengamma.strata.market.sensitivity.MutablePointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* Point sensitivity to the repo curve.
*
* Holds the sensitivity to the repo curve at a specific date.
*/
@BeanDefinition(builderScope = "private")
public final class RepoCurveZeroRateSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The currency of the curve for which the sensitivity is computed.
*/
@PropertyDefinition(validate = "notNull")
private final Currency curveCurrency;
/**
* The time that was queried, expressed as a year fraction.
*/
@PropertyDefinition
private final double yearFraction;
/**
* The currency of the sensitivity.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The repo group.
*
* This defines the group that the discount factors are for.
*/
@PropertyDefinition(validate = "notNull")
private final RepoGroup repoGroup;
/**
* The value of the sensitivity.
*/
@PropertyDefinition(overrideGet = true)
private final double sensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the curve currency, date, group and value.
*
* The currency representing the curve is used also for the sensitivity currency.
*
* @param currency the currency of the curve and sensitivity
* @param yearFraction the year fraction that was looked up on the curve
* @param repoGroup the group
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static RepoCurveZeroRateSensitivity of(
Currency currency,
double yearFraction,
RepoGroup repoGroup,
double sensitivity) {
return of(currency, yearFraction, currency, repoGroup, sensitivity);
}
/**
* Obtains an instance from zero rate sensitivity and group.
*
* @param zeroRateSensitivity the zero rate sensitivity
* @param repoGroup the group
* @return the point sensitivity object
*/
public static RepoCurveZeroRateSensitivity of(ZeroRateSensitivity zeroRateSensitivity, RepoGroup repoGroup) {
return of(
zeroRateSensitivity.getCurveCurrency(),
zeroRateSensitivity.getYearFraction(),
zeroRateSensitivity.getCurrency(),
repoGroup,
zeroRateSensitivity.getSensitivity());
}
/**
* Obtains an instance from the curve currency, date, sensitivity currency,
* group and value.
*
* @param curveCurrency the currency of the curve
* @param yearFraction the year fraction that was looked up on the curve
* @param sensitivityCurrency the currency of the sensitivity
* @param repoGroup the group
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static RepoCurveZeroRateSensitivity of(
Currency curveCurrency,
double yearFraction,
Currency sensitivityCurrency,
RepoGroup repoGroup,
double sensitivity) {
return new RepoCurveZeroRateSensitivity(curveCurrency, yearFraction, sensitivityCurrency, repoGroup, sensitivity);
}
//-------------------------------------------------------------------------
@Override
public RepoCurveZeroRateSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new RepoCurveZeroRateSensitivity(curveCurrency, yearFraction, currency, repoGroup, sensitivity);
}
@Override
public RepoCurveZeroRateSensitivity withSensitivity(double sensitivity) {
return new RepoCurveZeroRateSensitivity(curveCurrency, yearFraction, currency, repoGroup, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof RepoCurveZeroRateSensitivity) {
RepoCurveZeroRateSensitivity otherZero = (RepoCurveZeroRateSensitivity) other;
return ComparisonChain.start()
.compare(curveCurrency, otherZero.curveCurrency)
.compare(currency, otherZero.currency)
.compare(yearFraction, otherZero.yearFraction)
.compare(repoGroup, otherZero.repoGroup)
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public RepoCurveZeroRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (RepoCurveZeroRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public RepoCurveZeroRateSensitivity multipliedBy(double factor) {
return new RepoCurveZeroRateSensitivity(curveCurrency, yearFraction, currency, repoGroup, sensitivity * factor);
}
@Override
public RepoCurveZeroRateSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new RepoCurveZeroRateSensitivity(
curveCurrency, yearFraction, currency, repoGroup, operator.applyAsDouble(sensitivity));
}
@Override
public RepoCurveZeroRateSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public RepoCurveZeroRateSensitivity cloned() {
return this;
}
/**
* Obtains the underlying {@code ZeroRateSensitivity}.
*
* This creates the zero rate sensitivity object by omitting the repo group.
*
* @return the point sensitivity object
*/
public ZeroRateSensitivity createZeroRateSensitivity() {
return ZeroRateSensitivity.of(curveCurrency, yearFraction, currency, sensitivity);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code RepoCurveZeroRateSensitivity}.
* @return the meta-bean, not null
*/
public static RepoCurveZeroRateSensitivity.Meta meta() {
return RepoCurveZeroRateSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(RepoCurveZeroRateSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private RepoCurveZeroRateSensitivity(
Currency curveCurrency,
double yearFraction,
Currency currency,
RepoGroup repoGroup,
double sensitivity) {
JodaBeanUtils.notNull(curveCurrency, "curveCurrency");
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(repoGroup, "repoGroup");
this.curveCurrency = curveCurrency;
this.yearFraction = yearFraction;
this.currency = currency;
this.repoGroup = repoGroup;
this.sensitivity = sensitivity;
}
@Override
public RepoCurveZeroRateSensitivity.Meta metaBean() {
return RepoCurveZeroRateSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the curve for which the sensitivity is computed.
* @return the value of the property, not null
*/
public Currency getCurveCurrency() {
return curveCurrency;
}
//-----------------------------------------------------------------------
/**
* Gets the time that was queried, expressed as a year fraction.
* @return the value of the property
*/
public double getYearFraction() {
return yearFraction;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the sensitivity.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* 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;
}
//-----------------------------------------------------------------------
/**
* Gets the value of the sensitivity.
* @return the value of the property
*/
@Override
public double getSensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
RepoCurveZeroRateSensitivity other = (RepoCurveZeroRateSensitivity) obj;
return JodaBeanUtils.equal(curveCurrency, other.curveCurrency) &&
JodaBeanUtils.equal(yearFraction, other.yearFraction) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(repoGroup, other.repoGroup) &&
JodaBeanUtils.equal(sensitivity, other.sensitivity);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(curveCurrency);
hash = hash * 31 + JodaBeanUtils.hashCode(yearFraction);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(repoGroup);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("RepoCurveZeroRateSensitivity{");
buf.append("curveCurrency").append('=').append(JodaBeanUtils.toString(curveCurrency)).append(',').append(' ');
buf.append("yearFraction").append('=').append(JodaBeanUtils.toString(yearFraction)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("repoGroup").append('=').append(JodaBeanUtils.toString(repoGroup)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RepoCurveZeroRateSensitivity}.
*/
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 curveCurrency} property.
*/
private final MetaProperty curveCurrency = DirectMetaProperty.ofImmutable(
this, "curveCurrency", RepoCurveZeroRateSensitivity.class, Currency.class);
/**
* The meta-property for the {@code yearFraction} property.
*/
private final MetaProperty yearFraction = DirectMetaProperty.ofImmutable(
this, "yearFraction", RepoCurveZeroRateSensitivity.class, Double.TYPE);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", RepoCurveZeroRateSensitivity.class, Currency.class);
/**
* The meta-property for the {@code repoGroup} property.
*/
private final MetaProperty repoGroup = DirectMetaProperty.ofImmutable(
this, "repoGroup", RepoCurveZeroRateSensitivity.class, RepoGroup.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", RepoCurveZeroRateSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"curveCurrency",
"yearFraction",
"currency",
"repoGroup",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1303639584: // curveCurrency
return curveCurrency;
case -1731780257: // yearFraction
return yearFraction;
case 575402001: // currency
return currency;
case -393084371: // repoGroup
return repoGroup;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new RepoCurveZeroRateSensitivity.Builder();
}
@Override
public Class beanType() {
return RepoCurveZeroRateSensitivity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code curveCurrency} property.
* @return the meta-property, not null
*/
public MetaProperty curveCurrency() {
return curveCurrency;
}
/**
* The meta-property for the {@code yearFraction} property.
* @return the meta-property, not null
*/
public MetaProperty yearFraction() {
return yearFraction;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code repoGroup} property.
* @return the meta-property, not null
*/
public MetaProperty repoGroup() {
return repoGroup;
}
/**
* The meta-property for the {@code sensitivity} property.
* @return the meta-property, not null
*/
public MetaProperty sensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1303639584: // curveCurrency
return ((RepoCurveZeroRateSensitivity) bean).getCurveCurrency();
case -1731780257: // yearFraction
return ((RepoCurveZeroRateSensitivity) bean).getYearFraction();
case 575402001: // currency
return ((RepoCurveZeroRateSensitivity) bean).getCurrency();
case -393084371: // repoGroup
return ((RepoCurveZeroRateSensitivity) bean).getRepoGroup();
case 564403871: // sensitivity
return ((RepoCurveZeroRateSensitivity) bean).getSensitivity();
}
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 RepoCurveZeroRateSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private Currency curveCurrency;
private double yearFraction;
private Currency currency;
private RepoGroup repoGroup;
private double sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1303639584: // curveCurrency
return curveCurrency;
case -1731780257: // yearFraction
return yearFraction;
case 575402001: // currency
return currency;
case -393084371: // repoGroup
return repoGroup;
case 564403871: // sensitivity
return sensitivity;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1303639584: // curveCurrency
this.curveCurrency = (Currency) newValue;
break;
case -1731780257: // yearFraction
this.yearFraction = (Double) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case -393084371: // repoGroup
this.repoGroup = (RepoGroup) newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (Double) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public RepoCurveZeroRateSensitivity build() {
return new RepoCurveZeroRateSensitivity(
curveCurrency,
yearFraction,
currency,
repoGroup,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("RepoCurveZeroRateSensitivity.Builder{");
buf.append("curveCurrency").append('=').append(JodaBeanUtils.toString(curveCurrency)).append(',').append(' ');
buf.append("yearFraction").append('=').append(JodaBeanUtils.toString(yearFraction)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("repoGroup").append('=').append(JodaBeanUtils.toString(repoGroup)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}