com.opengamma.strata.pricer.fx.ForwardFxIndexRates 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.fx;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.OptionalDouble;
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.ImmutableDefaults;
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.currency.Currency;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.index.FxIndex;
import com.opengamma.strata.basics.index.FxIndexObservation;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
/**
* Provides access to rates for an FX index.
*
* This provides rates for a single currency pair FX index.
*
* This implementation is based on an underlying {@link FxForwardRates} instance.
*/
@BeanDefinition(builderScope = "private")
public final class ForwardFxIndexRates
implements FxIndexRates, ImmutableBean, Serializable {
/**
* The index that the rates are for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final FxIndex index;
/**
* The underlying FX forward rates.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final FxForwardRates fxForwardRates;
/**
* The time-series of fixings, defaulted to an empty time-series.
* This includes the known historical fixings and may be empty.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDateDoubleTimeSeries fixings;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on discount factors with no historic fixings.
*
* The instance is based on the discount factors for each currency.
*
* @param index the index
* @param fxForwardRates the underlying forward FX rates
* @return the rates instance
*/
public static ForwardFxIndexRates of(FxIndex index, FxForwardRates fxForwardRates) {
return of(index, fxForwardRates, LocalDateDoubleTimeSeries.empty());
}
/**
* Obtains an instance based on discount factors and historic fixings.
*
* The instance is based on the discount factors for each currency.
*
* @param index the index
* @param fxForwardRates the underlying forward FX rates
* @param fixings the time-series of fixings
* @return the rates instance
*/
public static ForwardFxIndexRates of(FxIndex index, FxForwardRates fxForwardRates, LocalDateDoubleTimeSeries fixings) {
return new ForwardFxIndexRates(index, fxForwardRates, fixings);
}
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.fixings = LocalDateDoubleTimeSeries.empty();
}
@ImmutableValidator
private void validate() {
if (!index.getCurrencyPair().equals(fxForwardRates.getCurrencyPair())) {
throw new IllegalArgumentException("Underlying FxForwardRates must have same currency pair");
}
}
//-------------------------------------------------------------------------
@Override
public LocalDate getValuationDate() {
return fxForwardRates.getValuationDate();
}
@Override
public Optional findData(MarketDataName name) {
return fxForwardRates.findData(name);
}
@Override
public int getParameterCount() {
return fxForwardRates.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return fxForwardRates.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return fxForwardRates.getParameterMetadata(parameterIndex);
}
@Override
public ForwardFxIndexRates withParameter(int parameterIndex, double newValue) {
return withFxForwardRates(fxForwardRates.withParameter(parameterIndex, newValue));
}
@Override
public ForwardFxIndexRates withPerturbation(ParameterPerturbation perturbation) {
return withFxForwardRates(fxForwardRates.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double rate(FxIndexObservation observation, Currency baseCurrency) {
ArgChecker.isTrue(
index.getCurrencyPair().contains(baseCurrency),
"Currency {} invalid for FxIndex {}", baseCurrency, index);
LocalDate fixingDate = observation.getFixingDate();
double fxIndexRate = !fixingDate.isAfter(getValuationDate()) ? historicRate(observation) : forwardRate(observation);
boolean inverse = baseCurrency.equals(index.getCurrencyPair().getCounter());
return (inverse ? 1d / fxIndexRate : fxIndexRate);
}
// historic rate
private double historicRate(FxIndexObservation observation) {
LocalDate fixingDate = observation.getFixingDate();
OptionalDouble fixedRate = fixings.get(fixingDate);
if (fixedRate.isPresent()) {
return fixedRate.getAsDouble();
} else if (fixingDate.isBefore(getValuationDate())) { // the fixing is required
if (fixings.isEmpty()) {
throw new IllegalArgumentException(
Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", index, fixingDate));
}
throw new IllegalArgumentException(Messages.format("Unable to get fixing for {} on date {}", index, fixingDate));
} else {
return forwardRate(observation);
}
}
// forward rate
private double forwardRate(FxIndexObservation observation) {
return fxForwardRates.rate(index.getCurrencyPair().getBase(), observation.getMaturityDate());
}
//-------------------------------------------------------------------------
@Override
public PointSensitivityBuilder ratePointSensitivity(FxIndexObservation observation, Currency baseCurrency) {
ArgChecker.isTrue(
index.getCurrencyPair().contains(baseCurrency),
"Currency {} invalid for FxIndex {}", baseCurrency, index);
LocalDate fixingDate = observation.getFixingDate();
if (fixingDate.isBefore(getValuationDate()) ||
(fixingDate.equals(getValuationDate()) && fixings.get(fixingDate).isPresent())) {
return PointSensitivityBuilder.none();
}
return FxIndexSensitivity.of(observation, baseCurrency, 1d);
}
//-------------------------------------------------------------------------
@Override
public CurrencyParameterSensitivities parameterSensitivity(FxIndexSensitivity pointSensitivity) {
return fxForwardRates.parameterSensitivity(pointSensitivity.toFxForwardSensitivity());
}
@Override
public MultiCurrencyAmount currencyExposure(FxIndexSensitivity pointSensitivity) {
return fxForwardRates.currencyExposure(pointSensitivity.toFxForwardSensitivity());
}
//-------------------------------------------------------------------------
/**
* Returns a new instance with different FX forward rates.
*
* @param fxForwardRates the new FX forward rates
* @return the new instance
*/
public ForwardFxIndexRates withFxForwardRates(FxForwardRates fxForwardRates) {
return new ForwardFxIndexRates(index, fxForwardRates, fixings);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ForwardFxIndexRates}.
* @return the meta-bean, not null
*/
public static ForwardFxIndexRates.Meta meta() {
return ForwardFxIndexRates.Meta.INSTANCE;
}
static {
MetaBean.register(ForwardFxIndexRates.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private ForwardFxIndexRates(
FxIndex index,
FxForwardRates fxForwardRates,
LocalDateDoubleTimeSeries fixings) {
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(fxForwardRates, "fxForwardRates");
JodaBeanUtils.notNull(fixings, "fixings");
this.index = index;
this.fxForwardRates = fxForwardRates;
this.fixings = fixings;
validate();
}
@Override
public ForwardFxIndexRates.Meta metaBean() {
return ForwardFxIndexRates.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the index that the rates are for.
* @return the value of the property, not null
*/
@Override
public FxIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying FX forward rates.
* @return the value of the property, not null
*/
@Override
public FxForwardRates getFxForwardRates() {
return fxForwardRates;
}
//-----------------------------------------------------------------------
/**
* Gets the time-series of fixings, defaulted to an empty time-series.
* This includes the known historical fixings and may be empty.
* @return the value of the property, not null
*/
@Override
public LocalDateDoubleTimeSeries getFixings() {
return fixings;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ForwardFxIndexRates other = (ForwardFxIndexRates) obj;
return JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(fxForwardRates, other.fxForwardRates) &&
JodaBeanUtils.equal(fixings, other.fixings);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(fxForwardRates);
hash = hash * 31 + JodaBeanUtils.hashCode(fixings);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ForwardFxIndexRates{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("fxForwardRates").append('=').append(JodaBeanUtils.toString(fxForwardRates)).append(',').append(' ');
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ForwardFxIndexRates}.
*/
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 index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", ForwardFxIndexRates.class, FxIndex.class);
/**
* The meta-property for the {@code fxForwardRates} property.
*/
private final MetaProperty fxForwardRates = DirectMetaProperty.ofImmutable(
this, "fxForwardRates", ForwardFxIndexRates.class, FxForwardRates.class);
/**
* The meta-property for the {@code fixings} property.
*/
private final MetaProperty fixings = DirectMetaProperty.ofImmutable(
this, "fixings", ForwardFxIndexRates.class, LocalDateDoubleTimeSeries.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"index",
"fxForwardRates",
"fixings");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case -1002932800: // fxForwardRates
return fxForwardRates;
case -843784602: // fixings
return fixings;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new ForwardFxIndexRates.Builder();
}
@Override
public Class beanType() {
return ForwardFxIndexRates.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code index} property.
* @return the meta-property, not null
*/
public MetaProperty index() {
return index;
}
/**
* The meta-property for the {@code fxForwardRates} property.
* @return the meta-property, not null
*/
public MetaProperty fxForwardRates() {
return fxForwardRates;
}
/**
* The meta-property for the {@code fixings} property.
* @return the meta-property, not null
*/
public MetaProperty fixings() {
return fixings;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 100346066: // index
return ((ForwardFxIndexRates) bean).getIndex();
case -1002932800: // fxForwardRates
return ((ForwardFxIndexRates) bean).getFxForwardRates();
case -843784602: // fixings
return ((ForwardFxIndexRates) bean).getFixings();
}
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 ForwardFxIndexRates}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private FxIndex index;
private FxForwardRates fxForwardRates;
private LocalDateDoubleTimeSeries fixings;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case -1002932800: // fxForwardRates
return fxForwardRates;
case -843784602: // fixings
return fixings;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 100346066: // index
this.index = (FxIndex) newValue;
break;
case -1002932800: // fxForwardRates
this.fxForwardRates = (FxForwardRates) newValue;
break;
case -843784602: // fixings
this.fixings = (LocalDateDoubleTimeSeries) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public ForwardFxIndexRates build() {
return new ForwardFxIndexRates(
index,
fxForwardRates,
fixings);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ForwardFxIndexRates.Builder{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("fxForwardRates").append('=').append(JodaBeanUtils.toString(fxForwardRates)).append(',').append(' ');
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}