com.opengamma.strata.pricer.credit.NodalRecoveryRates Maven / Gradle / Ivy
/*
* Copyright (C) 2023 - 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.NoSuchElementException;
import java.util.Optional;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.TypedMetaBean;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableConstructor;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.MinimalMetaBean;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.CurveInfoType;
import com.opengamma.strata.market.curve.InterpolatedNodalCurve;
import com.opengamma.strata.market.curve.NodalCurve;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
/**
* The recovery rates based on a nodal curve.
*
* The underlying curve must contain {@linkplain ValueType#YEAR_FRACTION year fractions}
* against {@linkplain ValueType#RECOVERY_RATE recovery rates}, and the day count must be present.
*/
@BeanDefinition(style = "minimal")
public final class NodalRecoveryRates
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 underlying curve.
*
* The metadata of the curve must define a day count.
*/
@PropertyDefinition(validate = "notNull")
private final NodalCurve curve;
/**
* The day count convention of the curve.
*/
private final transient DayCount dayCount; // cached, not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance.
*
* The curve is specified by an instance of {@link NodalCurve}, such as {@link InterpolatedNodalCurve}.
* The curve must contain {@linkplain ValueType#YEAR_FRACTION year fractions}
* against {@linkplain ValueType#RECOVERY_RATE recovery rates}, and the day count must be present.
*
* @param legalEntityId the legalEntity ID
* @param valuationDate the valuation date for which the curve is valid
* @param curve the underlying curve
* @return the instance
*/
public static NodalRecoveryRates of(StandardId legalEntityId, LocalDate valuationDate, NodalCurve curve) {
return new NodalRecoveryRates(legalEntityId, valuationDate, curve);
}
@ImmutableConstructor
private NodalRecoveryRates(StandardId legalEntityId, LocalDate valuationDate, NodalCurve curve) {
ArgChecker.notNull(legalEntityId, "legalEntityId");
ArgChecker.notNull(valuationDate, "valuationDate");
ArgChecker.notNull(curve, "curve");
curve.getMetadata().getXValueType().checkEquals(
ValueType.YEAR_FRACTION, "Incorrect x-value type for recovery rate curve");
curve.getMetadata().getYValueType().checkEquals(
ValueType.RECOVERY_RATE, "Incorrect y-value type for recovery rate curve");
DayCount dayCount = curve.getMetadata().findInfo(CurveInfoType.DAY_COUNT)
.orElseThrow(() -> new IllegalArgumentException("Incorrect curve metadata, missing DayCount"));
this.legalEntityId = legalEntityId;
this.valuationDate = valuationDate;
this.curve = curve;
this.dayCount = dayCount;
}
//-------------------------------------------------------------------------
@Override
public double recoveryRate(LocalDate date) {
double yearFraction = dayCount.relativeYearFraction(valuationDate, date);
return curve.yValue(yearFraction);
}
@Override
public Optional findData(MarketDataName name) {
if (curve.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(curve));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return curve.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return curve.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return curve.getParameterMetadata(parameterIndex);
}
@Override
public NodalRecoveryRates withParameter(int parameterIndex, double newValue) {
return withCurve(curve.withParameter(parameterIndex, newValue));
}
@Override
public NodalRecoveryRates withPerturbation(ParameterPerturbation perturbation) {
return withCurve(curve.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
/**
* Returns a new instance with a different curve.
*
* @param curve the new curve
* @return the new instance
*/
public NodalRecoveryRates withCurve(NodalCurve curve) {
return new NodalRecoveryRates(legalEntityId, valuationDate, curve);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code NodalRecoveryRates}.
*/
private static final TypedMetaBean META_BEAN =
MinimalMetaBean.of(
NodalRecoveryRates.class,
new String[] {
"legalEntityId",
"valuationDate",
"curve"},
() -> new NodalRecoveryRates.Builder(),
b -> b.getLegalEntityId(),
b -> b.getValuationDate(),
b -> b.getCurve());
/**
* The meta-bean for {@code NodalRecoveryRates}.
* @return the meta-bean, not null
*/
public static TypedMetaBean meta() {
return META_BEAN;
}
static {
MetaBean.register(META_BEAN);
}
/**
* 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 NodalRecoveryRates.Builder builder() {
return new NodalRecoveryRates.Builder();
}
@Override
public TypedMetaBean metaBean() {
return META_BEAN;
}
//-----------------------------------------------------------------------
/**
* 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 underlying curve.
*
* The metadata of the curve must define a day count.
* @return the value of the property, not null
*/
public NodalCurve getCurve() {
return curve;
}
//-----------------------------------------------------------------------
/**
* 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()) {
NodalRecoveryRates other = (NodalRecoveryRates) obj;
return JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(curve, other.curve);
}
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(curve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("NodalRecoveryRates{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code NodalRecoveryRates}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private StandardId legalEntityId;
private LocalDate valuationDate;
private NodalCurve curve;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(NodalRecoveryRates beanToCopy) {
this.legalEntityId = beanToCopy.getLegalEntityId();
this.valuationDate = beanToCopy.getValuationDate();
this.curve = beanToCopy.getCurve();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
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 95027439: // curve
this.curve = (NodalCurve) 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 NodalRecoveryRates build() {
return new NodalRecoveryRates(
legalEntityId,
valuationDate,
curve);
}
//-----------------------------------------------------------------------
/**
* Sets the legal entity identifier.
*
* This identifier is used for the reference legal entity of a credit derivative.
* @param legalEntityId the new value, not null
* @return this, for chaining, not null
*/
public Builder legalEntityId(StandardId legalEntityId) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
this.legalEntityId = legalEntityId;
return this;
}
/**
* Sets the valuation 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 underlying curve.
*
* The metadata of the curve must define a day count.
* @param curve the new value, not null
* @return this, for chaining, not null
*/
public Builder curve(NodalCurve curve) {
JodaBeanUtils.notNull(curve, "curve");
this.curve = curve;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("NodalRecoveryRates.Builder{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}