com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity 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.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.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxRateProvider;
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 zero hazard rate curve.
*
* Holds the sensitivity to the zero hazard rate curve at a specific date.
*/
@BeanDefinition(builderScope = "private")
public final class CreditCurveZeroRateSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The legal entity identifier.
*
* This identifier is used for the reference legal entity of a credit derivative.
*/
@PropertyDefinition(validate = "notNull")
private final StandardId legalEntityId;
/**
* The zero rate sensitivity.
*
* This stores curve currency, year fraction, sensitivity currency and sensitivity value.
*/
@PropertyDefinition(validate = "notNull")
private final ZeroRateSensitivity zeroRateSensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance.
*
* @param legalEntityId the legal entity identifier
* @param currency the currency of the curve and sensitivity
* @param yearFraction the year fraction that was looked up on the curve
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static CreditCurveZeroRateSensitivity of(
StandardId legalEntityId,
Currency currency,
double yearFraction,
double sensitivity) {
ZeroRateSensitivity zeroRateSensitivity = ZeroRateSensitivity.of(currency, yearFraction, sensitivity);
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity);
}
/**
* Obtains an instance with sensitivity currency specified.
*
* @param legalEntityId the legal entity identifier
* @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 sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static CreditCurveZeroRateSensitivity of(
StandardId legalEntityId,
Currency curveCurrency,
double yearFraction,
Currency sensitivityCurrency,
double sensitivity) {
ZeroRateSensitivity zeroRateSensitivity =
ZeroRateSensitivity.of(curveCurrency, yearFraction, sensitivityCurrency, sensitivity);
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity);
}
/**
* Obtains an instance from {@code ZeroRateSensitivity} and {@code StandardId}.
*
* @param legalEntityId the legal entity identifier
* @param zeroRateSensitivity the zero rate sensitivity
* @return the point sensitivity object
*/
public static CreditCurveZeroRateSensitivity of(
StandardId legalEntityId,
ZeroRateSensitivity zeroRateSensitivity) {
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity);
}
//-------------------------------------------------------------------------
@Override
public Currency getCurrency() {
return zeroRateSensitivity.getCurrency();
}
@Override
public double getSensitivity() {
return zeroRateSensitivity.getSensitivity();
}
/**
* Gets the currency of the curve for which the sensitivity is computed.
*
* @return the curve currency
*/
public Currency getCurveCurrency() {
return zeroRateSensitivity.getCurveCurrency();
}
/**
* Gets the time that was queried, expressed as a year fraction.
*
* @return the year fraction
*/
public double getYearFraction() {
return zeroRateSensitivity.getYearFraction();
}
//-------------------------------------------------------------------------
@Override
public CreditCurveZeroRateSensitivity withCurrency(Currency currency) {
if (this.zeroRateSensitivity.getCurrency().equals(currency)) {
return this;
}
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.withCurrency(currency));
}
@Override
public CreditCurveZeroRateSensitivity withSensitivity(double sensitivity) {
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.withSensitivity(sensitivity));
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof CreditCurveZeroRateSensitivity) {
CreditCurveZeroRateSensitivity otherZero = (CreditCurveZeroRateSensitivity) other;
return ComparisonChain.start()
.compare(zeroRateSensitivity.getYearFraction(), otherZero.zeroRateSensitivity.getYearFraction())
.compare(zeroRateSensitivity.getCurrency(), otherZero.zeroRateSensitivity.getCurrency())
.compare(zeroRateSensitivity.getCurveCurrency(), otherZero.zeroRateSensitivity.getCurveCurrency())
.compare(legalEntityId, otherZero.legalEntityId)
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public CreditCurveZeroRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.convertedTo(resultCurrency, rateProvider));
}
//-------------------------------------------------------------------------
@Override
public CreditCurveZeroRateSensitivity multipliedBy(double factor) {
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.multipliedBy(factor));
}
@Override
public CreditCurveZeroRateSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity.mapSensitivity(operator));
}
@Override
public CreditCurveZeroRateSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public CreditCurveZeroRateSensitivity cloned() {
return this;
}
//-------------------------------------------------------------------------
/**
* Obtains the underlying {@code ZeroRateSensitivity}.
*
* This creates the zero rate sensitivity object by omitting the legal entity identifier.
*
* @return the point sensitivity object
*/
public ZeroRateSensitivity toZeroRateSensitivity() {
return zeroRateSensitivity;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CreditCurveZeroRateSensitivity}.
* @return the meta-bean, not null
*/
public static CreditCurveZeroRateSensitivity.Meta meta() {
return CreditCurveZeroRateSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(CreditCurveZeroRateSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private CreditCurveZeroRateSensitivity(
StandardId legalEntityId,
ZeroRateSensitivity zeroRateSensitivity) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(zeroRateSensitivity, "zeroRateSensitivity");
this.legalEntityId = legalEntityId;
this.zeroRateSensitivity = zeroRateSensitivity;
}
@Override
public CreditCurveZeroRateSensitivity.Meta metaBean() {
return CreditCurveZeroRateSensitivity.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
*/
public StandardId getLegalEntityId() {
return legalEntityId;
}
//-----------------------------------------------------------------------
/**
* Gets the zero rate sensitivity.
*
* This stores curve currency, year fraction, sensitivity currency and sensitivity value.
* @return the value of the property, not null
*/
public ZeroRateSensitivity getZeroRateSensitivity() {
return zeroRateSensitivity;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
CreditCurveZeroRateSensitivity other = (CreditCurveZeroRateSensitivity) obj;
return JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(zeroRateSensitivity, other.zeroRateSensitivity);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityId);
hash = hash * 31 + JodaBeanUtils.hashCode(zeroRateSensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("CreditCurveZeroRateSensitivity{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("zeroRateSensitivity").append('=').append(JodaBeanUtils.toString(zeroRateSensitivity));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CreditCurveZeroRateSensitivity}.
*/
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", CreditCurveZeroRateSensitivity.class, StandardId.class);
/**
* The meta-property for the {@code zeroRateSensitivity} property.
*/
private final MetaProperty zeroRateSensitivity = DirectMetaProperty.ofImmutable(
this, "zeroRateSensitivity", CreditCurveZeroRateSensitivity.class, ZeroRateSensitivity.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"legalEntityId",
"zeroRateSensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case 1232683479: // zeroRateSensitivity
return zeroRateSensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new CreditCurveZeroRateSensitivity.Builder();
}
@Override
public Class beanType() {
return CreditCurveZeroRateSensitivity.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 zeroRateSensitivity} property.
* @return the meta-property, not null
*/
public MetaProperty zeroRateSensitivity() {
return zeroRateSensitivity;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return ((CreditCurveZeroRateSensitivity) bean).getLegalEntityId();
case 1232683479: // zeroRateSensitivity
return ((CreditCurveZeroRateSensitivity) bean).getZeroRateSensitivity();
}
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 CreditCurveZeroRateSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private StandardId legalEntityId;
private ZeroRateSensitivity zeroRateSensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case 1232683479: // zeroRateSensitivity
return zeroRateSensitivity;
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 1232683479: // zeroRateSensitivity
this.zeroRateSensitivity = (ZeroRateSensitivity) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public CreditCurveZeroRateSensitivity build() {
return new CreditCurveZeroRateSensitivity(
legalEntityId,
zeroRateSensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("CreditCurveZeroRateSensitivity.Builder{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("zeroRateSensitivity").append('=').append(JodaBeanUtils.toString(zeroRateSensitivity));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}