com.opengamma.strata.pricer.credit.ConstantRecoveryRates Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.credit;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
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.ImmutableValidator;
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.StandardId;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
/**
* The constant recovery rate.
*
* The recovery rate is constant for any given date.
*/
@BeanDefinition(builderScope = "private")
public final class ConstantRecoveryRates
implements RecoveryRates, ImmutableBean, Serializable {
/**
* The legal entity identifier.
*
* This identifier is used for the reference legal entity of a credit derivative.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final StandardId legalEntityId;
/**
* The valuation date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDate valuationDate;
/**
* The recovery rate.
*
* The recovery rate is represented in decimal form, and must be between 0 and 1 inclusive.
*/
@PropertyDefinition
private final double recoveryRate;
//-------------------------------------------------------------------------
/**
* Obtains an instance.
*
* @param legalEntityId the legal entity identifier
* @param valuationDate the valuation date
* @param recoveryRate the recovery rate
* @return the instance
*/
public static ConstantRecoveryRates of(StandardId legalEntityId, LocalDate valuationDate, double recoveryRate) {
return new ConstantRecoveryRates(legalEntityId, valuationDate, recoveryRate);
}
@ImmutableValidator
private void validate() {
ArgChecker.inRangeInclusive(recoveryRate, 0d, 1d, "recoveryRate");
}
//-------------------------------------------------------------------------
@Override
public double recoveryRate(LocalDate date) {
return recoveryRate;
}
@Override
public Optional findData(MarketDataName name) {
return Optional.empty();
}
@Override
public int getParameterCount() {
return 1;
}
@Override
public double getParameter(int parameterIndex) {
ArgChecker.isTrue(parameterIndex == 0, "Only one parameter for ConstantRecoveryRates");
return recoveryRate;
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return ParameterMetadata.empty();
}
@Override
public ConstantRecoveryRates withParameter(int parameterIndex, double newValue) {
ArgChecker.isTrue(parameterIndex == 0, "Only one parameter for ConstantRecoveryRates");
return new ConstantRecoveryRates(legalEntityId, valuationDate, newValue);
}
@Override
public ConstantRecoveryRates withPerturbation(ParameterPerturbation perturbation) {
double perturbedValue = perturbation.perturbParameter(0, recoveryRate, getParameterMetadata(0));
return new ConstantRecoveryRates(legalEntityId, valuationDate, perturbedValue);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ConstantRecoveryRates}.
* @return the meta-bean, not null
*/
public static ConstantRecoveryRates.Meta meta() {
return ConstantRecoveryRates.Meta.INSTANCE;
}
static {
MetaBean.register(ConstantRecoveryRates.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private ConstantRecoveryRates(
StandardId legalEntityId,
LocalDate valuationDate,
double recoveryRate) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(valuationDate, "valuationDate");
this.legalEntityId = legalEntityId;
this.valuationDate = valuationDate;
this.recoveryRate = recoveryRate;
validate();
}
@Override
public ConstantRecoveryRates.Meta metaBean() {
return ConstantRecoveryRates.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the legal entity identifier.
*
* This identifier is used for the reference legal entity of a credit derivative.
* @return the value of the property, not null
*/
@Override
public StandardId getLegalEntityId() {
return legalEntityId;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
* @return the value of the property, not null
*/
@Override
public LocalDate getValuationDate() {
return valuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the recovery rate.
*
* The recovery rate is represented in decimal form, and must be between 0 and 1 inclusive.
* @return the value of the property
*/
public double getRecoveryRate() {
return recoveryRate;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ConstantRecoveryRates other = (ConstantRecoveryRates) obj;
return JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(recoveryRate, other.recoveryRate);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityId);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(recoveryRate);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ConstantRecoveryRates{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("recoveryRate").append('=').append(JodaBeanUtils.toString(recoveryRate));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ConstantRecoveryRates}.
*/
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 legalEntityId} property.
*/
private final MetaProperty legalEntityId = DirectMetaProperty.ofImmutable(
this, "legalEntityId", ConstantRecoveryRates.class, StandardId.class);
/**
* The meta-property for the {@code valuationDate} property.
*/
private final MetaProperty valuationDate = DirectMetaProperty.ofImmutable(
this, "valuationDate", ConstantRecoveryRates.class, LocalDate.class);
/**
* The meta-property for the {@code recoveryRate} property.
*/
private final MetaProperty recoveryRate = DirectMetaProperty.ofImmutable(
this, "recoveryRate", ConstantRecoveryRates.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"legalEntityId",
"valuationDate",
"recoveryRate");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case 113107279: // valuationDate
return valuationDate;
case 2002873877: // recoveryRate
return recoveryRate;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new ConstantRecoveryRates.Builder();
}
@Override
public Class beanType() {
return ConstantRecoveryRates.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code legalEntityId} property.
* @return the meta-property, not null
*/
public MetaProperty legalEntityId() {
return legalEntityId;
}
/**
* 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 recoveryRate} property.
* @return the meta-property, not null
*/
public MetaProperty recoveryRate() {
return recoveryRate;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return ((ConstantRecoveryRates) bean).getLegalEntityId();
case 113107279: // valuationDate
return ((ConstantRecoveryRates) bean).getValuationDate();
case 2002873877: // recoveryRate
return ((ConstantRecoveryRates) bean).getRecoveryRate();
}
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 ConstantRecoveryRates}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private StandardId legalEntityId;
private LocalDate valuationDate;
private double recoveryRate;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case 113107279: // valuationDate
return valuationDate;
case 2002873877: // recoveryRate
return recoveryRate;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
this.legalEntityId = (StandardId) newValue;
break;
case 113107279: // valuationDate
this.valuationDate = (LocalDate) newValue;
break;
case 2002873877: // recoveryRate
this.recoveryRate = (Double) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public ConstantRecoveryRates build() {
return new ConstantRecoveryRates(
legalEntityId,
valuationDate,
recoveryRate);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ConstantRecoveryRates.Builder{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("recoveryRate").append('=').append(JodaBeanUtils.toString(recoveryRate));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}