com.opengamma.strata.pricer.fx.FxForwardSensitivity 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.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.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.google.common.collect.ComparisonChain;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.market.sensitivity.MutablePointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
/**
* Point sensitivity to a forward rate of an FX rate for a currency pair.
*
* Holds the sensitivity to the curves associated with {@link CurrencyPair} at a reference date.
*/
@BeanDefinition(builderScope = "private")
public final class FxForwardSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The currency pair for which the sensitivity is computed.
*/
@PropertyDefinition(validate = "notNull")
private final CurrencyPair currencyPair;
/**
* The reference currency.
*
* This is the base currency of the FX conversion that occurs using the currency pair.
* The reference currency must be one of the two currencies of the currency pair.
*/
@PropertyDefinition(validate = "notNull")
private final Currency referenceCurrency;
/**
* The date to query the rate for.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate referenceDate;
/**
* The currency of the sensitivity.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The value of the sensitivity.
* This is the amount that is converted from the base currency to the counter currency.
*/
@PropertyDefinition(overrideGet = true)
private final double sensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance from currency pair, reference currency, reference date and sensitivity value.
*
* The sensitivity currency is defaulted to be a currency of the currency pair that is not the reference currency.
*
* @param currencyPair the currency pair
* @param referenceCurrency the reference currency
* @param referenceDate the reference date
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static FxForwardSensitivity of(
CurrencyPair currencyPair,
Currency referenceCurrency,
LocalDate referenceDate,
double sensitivity) {
boolean inverse = referenceCurrency.equals(currencyPair.getCounter());
CurrencyPair pair = inverse ? currencyPair.inverse() : currencyPair;
Currency sensitivityCurrency = pair.getCounter();
return new FxForwardSensitivity(currencyPair, referenceCurrency, referenceDate, sensitivityCurrency, sensitivity);
}
/**
* Obtains an instance from currency pair, reference currency, reference date
* sensitivity currency and sensitivity value.
*
* @param currencyPair the currency pair
* @param referenceCurrency the reference currency
* @param referenceDate the reference date
* @param sensitivityCurrency the currency of the sensitivity
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static FxForwardSensitivity of(
CurrencyPair currencyPair,
Currency referenceCurrency,
LocalDate referenceDate,
Currency sensitivityCurrency,
double sensitivity) {
return new FxForwardSensitivity(currencyPair, referenceCurrency, referenceDate, sensitivityCurrency, sensitivity);
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
if (!currencyPair.contains(referenceCurrency)) {
throw new IllegalArgumentException(Messages.format(
"Reference currency {} must be one of those in the currency pair {}", referenceCurrency, currencyPair));
}
}
//-------------------------------------------------------------------------
/**
* Gets the currency counter to the reference currency.
*
* The currency pair contains two currencies. One is the reference currency.
* This method returns the other.
*
* @return the counter currency
*/
public Currency getReferenceCounterCurrency() {
boolean inverse = referenceCurrency.equals(currencyPair.getBase());
return inverse ? currencyPair.getCounter() : currencyPair.getBase();
}
//-------------------------------------------------------------------------
@Override
public FxForwardSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new FxForwardSensitivity(currencyPair, referenceCurrency, referenceDate, currency, sensitivity);
}
@Override
public FxForwardSensitivity withSensitivity(double sensitivity) {
return new FxForwardSensitivity(currencyPair, referenceCurrency, referenceDate, currency, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof FxForwardSensitivity) {
FxForwardSensitivity otherFx = (FxForwardSensitivity) other;
return ComparisonChain.start()
.compare(currencyPair.toString(), otherFx.currencyPair.toString())
.compare(currency, otherFx.currency)
.compare(referenceCurrency, otherFx.referenceCurrency)
.compare(referenceDate, otherFx.referenceDate)
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public FxForwardSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (FxForwardSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public FxForwardSensitivity multipliedBy(double factor) {
return new FxForwardSensitivity(currencyPair, referenceCurrency, referenceDate, currency, sensitivity * factor);
}
@Override
public FxForwardSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new FxForwardSensitivity(
currencyPair, referenceCurrency, referenceDate, currency, operator.applyAsDouble(sensitivity));
}
@Override
public FxForwardSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public FxForwardSensitivity cloned() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxForwardSensitivity}.
* @return the meta-bean, not null
*/
public static FxForwardSensitivity.Meta meta() {
return FxForwardSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(FxForwardSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private FxForwardSensitivity(
CurrencyPair currencyPair,
Currency referenceCurrency,
LocalDate referenceDate,
Currency currency,
double sensitivity) {
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(referenceCurrency, "referenceCurrency");
JodaBeanUtils.notNull(referenceDate, "referenceDate");
JodaBeanUtils.notNull(currency, "currency");
this.currencyPair = currencyPair;
this.referenceCurrency = referenceCurrency;
this.referenceDate = referenceDate;
this.currency = currency;
this.sensitivity = sensitivity;
validate();
}
@Override
public FxForwardSensitivity.Meta metaBean() {
return FxForwardSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the currency pair for which the sensitivity is computed.
* @return the value of the property, not null
*/
public CurrencyPair getCurrencyPair() {
return currencyPair;
}
//-----------------------------------------------------------------------
/**
* Gets the reference currency.
*
* This is the base currency of the FX conversion that occurs using the currency pair.
* The reference currency must be one of the two currencies of the currency pair.
* @return the value of the property, not null
*/
public Currency getReferenceCurrency() {
return referenceCurrency;
}
//-----------------------------------------------------------------------
/**
* Gets the date to query the rate for.
* @return the value of the property, not null
*/
public LocalDate getReferenceDate() {
return referenceDate;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the sensitivity.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the value of the sensitivity.
* This is the amount that is converted from the base currency to the counter currency.
* @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()) {
FxForwardSensitivity other = (FxForwardSensitivity) obj;
return JodaBeanUtils.equal(currencyPair, other.currencyPair) &&
JodaBeanUtils.equal(referenceCurrency, other.referenceCurrency) &&
JodaBeanUtils.equal(referenceDate, other.referenceDate) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(sensitivity, other.sensitivity);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(currencyPair);
hash = hash * 31 + JodaBeanUtils.hashCode(referenceCurrency);
hash = hash * 31 + JodaBeanUtils.hashCode(referenceDate);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FxForwardSensitivity{");
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("referenceCurrency").append('=').append(JodaBeanUtils.toString(referenceCurrency)).append(',').append(' ');
buf.append("referenceDate").append('=').append(JodaBeanUtils.toString(referenceDate)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxForwardSensitivity}.
*/
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 currencyPair} property.
*/
private final MetaProperty currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", FxForwardSensitivity.class, CurrencyPair.class);
/**
* The meta-property for the {@code referenceCurrency} property.
*/
private final MetaProperty referenceCurrency = DirectMetaProperty.ofImmutable(
this, "referenceCurrency", FxForwardSensitivity.class, Currency.class);
/**
* The meta-property for the {@code referenceDate} property.
*/
private final MetaProperty referenceDate = DirectMetaProperty.ofImmutable(
this, "referenceDate", FxForwardSensitivity.class, LocalDate.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", FxForwardSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", FxForwardSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"currencyPair",
"referenceCurrency",
"referenceDate",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return currencyPair;
case 727652476: // referenceCurrency
return referenceCurrency;
case 1600456089: // referenceDate
return referenceDate;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new FxForwardSensitivity.Builder();
}
@Override
public Class beanType() {
return FxForwardSensitivity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code currencyPair} property.
* @return the meta-property, not null
*/
public MetaProperty currencyPair() {
return currencyPair;
}
/**
* The meta-property for the {@code referenceCurrency} property.
* @return the meta-property, not null
*/
public MetaProperty referenceCurrency() {
return referenceCurrency;
}
/**
* The meta-property for the {@code referenceDate} property.
* @return the meta-property, not null
*/
public MetaProperty referenceDate() {
return referenceDate;
}
/**
* 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 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 1005147787: // currencyPair
return ((FxForwardSensitivity) bean).getCurrencyPair();
case 727652476: // referenceCurrency
return ((FxForwardSensitivity) bean).getReferenceCurrency();
case 1600456089: // referenceDate
return ((FxForwardSensitivity) bean).getReferenceDate();
case 575402001: // currency
return ((FxForwardSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((FxForwardSensitivity) 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 FxForwardSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private CurrencyPair currencyPair;
private Currency referenceCurrency;
private LocalDate referenceDate;
private Currency currency;
private double sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return currencyPair;
case 727652476: // referenceCurrency
return referenceCurrency;
case 1600456089: // referenceDate
return referenceDate;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair) newValue;
break;
case 727652476: // referenceCurrency
this.referenceCurrency = (Currency) newValue;
break;
case 1600456089: // referenceDate
this.referenceDate = (LocalDate) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (Double) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public FxForwardSensitivity build() {
return new FxForwardSensitivity(
currencyPair,
referenceCurrency,
referenceDate,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FxForwardSensitivity.Builder{");
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("referenceCurrency").append('=').append(JodaBeanUtils.toString(referenceCurrency)).append(',').append(' ');
buf.append("referenceDate").append('=').append(JodaBeanUtils.toString(referenceDate)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}