com.opengamma.strata.pricer.fxopt.FxOptionSensitivity 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.fxopt;
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.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyPair;
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;
/**
* Point sensitivity to an implied volatility for a FX option model.
*
* Holds the sensitivity to a specific volatility point.
*/
@BeanDefinition(builderScope = "private")
public final class FxOptionSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The name of the volatilities.
*/
@PropertyDefinition(validate = "notNull")
private final FxOptionVolatilitiesName volatilitiesName;
/**
* The currency pair for which the sensitivity is presented.
*/
@PropertyDefinition(validate = "notNull")
private final CurrencyPair currencyPair;
/**
* The time to expiry of the option as a year fraction.
*/
@PropertyDefinition(validate = "notNull")
private final double expiry;
/**
* The strike rate.
*/
@PropertyDefinition
private final double strike;
/**
* The forward rate.
*/
@PropertyDefinition
private final double forward;
/**
* The currency of the sensitivity.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The value of the sensitivity.
*/
@PropertyDefinition(overrideGet = true)
private final double sensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance, specifying sensitivity currency.
*
* @param volatilitiesName the name of the volatilities
* @param currencyPair the currency pair
* @param expiry the time to expiry of the option as a year fraction
* @param strike the strike rate
* @param forward the forward rate
* @param sensitivityCurrency the currency of the sensitivity
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static FxOptionSensitivity of(
FxOptionVolatilitiesName volatilitiesName,
CurrencyPair currencyPair,
double expiry,
double strike,
double forward,
Currency sensitivityCurrency,
double sensitivity) {
return new FxOptionSensitivity(
volatilitiesName, currencyPair, expiry, strike, forward, sensitivityCurrency, sensitivity);
}
//-------------------------------------------------------------------------
@Override
public FxOptionSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new FxOptionSensitivity(volatilitiesName, currencyPair, expiry, strike, forward, currency, sensitivity);
}
@Override
public FxOptionSensitivity withSensitivity(double sensitivity) {
return new FxOptionSensitivity(volatilitiesName, currencyPair, expiry, strike, forward, currency, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof FxOptionSensitivity) {
FxOptionSensitivity otherOption = (FxOptionSensitivity) other;
return ComparisonChain.start()
.compare(volatilitiesName, otherOption.volatilitiesName)
.compare(currencyPair.toString(), otherOption.currencyPair.toString())
.compare(expiry, otherOption.expiry)
.compare(strike, otherOption.strike)
.compare(forward, otherOption.forward)
.compare(currency, otherOption.currency)
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public FxOptionSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (FxOptionSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public FxOptionSensitivity multipliedBy(double factor) {
return new FxOptionSensitivity(
volatilitiesName, currencyPair, expiry, strike, forward, currency, sensitivity * factor);
}
@Override
public FxOptionSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new FxOptionSensitivity(
volatilitiesName, currencyPair, expiry, strike, forward, currency, operator.applyAsDouble(sensitivity));
}
@Override
public FxOptionSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public FxOptionSensitivity cloned() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxOptionSensitivity}.
* @return the meta-bean, not null
*/
public static FxOptionSensitivity.Meta meta() {
return FxOptionSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(FxOptionSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private FxOptionSensitivity(
FxOptionVolatilitiesName volatilitiesName,
CurrencyPair currencyPair,
double expiry,
double strike,
double forward,
Currency currency,
double sensitivity) {
JodaBeanUtils.notNull(volatilitiesName, "volatilitiesName");
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(currency, "currency");
this.volatilitiesName = volatilitiesName;
this.currencyPair = currencyPair;
this.expiry = expiry;
this.strike = strike;
this.forward = forward;
this.currency = currency;
this.sensitivity = sensitivity;
}
@Override
public FxOptionSensitivity.Meta metaBean() {
return FxOptionSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the name of the volatilities.
* @return the value of the property, not null
*/
public FxOptionVolatilitiesName getVolatilitiesName() {
return volatilitiesName;
}
//-----------------------------------------------------------------------
/**
* Gets the currency pair for which the sensitivity is presented.
* @return the value of the property, not null
*/
public CurrencyPair getCurrencyPair() {
return currencyPair;
}
//-----------------------------------------------------------------------
/**
* Gets the time to expiry of the option as a year fraction.
* @return the value of the property, not null
*/
public double getExpiry() {
return expiry;
}
//-----------------------------------------------------------------------
/**
* Gets the strike rate.
* @return the value of the property
*/
public double getStrike() {
return strike;
}
//-----------------------------------------------------------------------
/**
* Gets the forward rate.
* @return the value of the property
*/
public double getForward() {
return forward;
}
//-----------------------------------------------------------------------
/**
* 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.
* @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()) {
FxOptionSensitivity other = (FxOptionSensitivity) obj;
return JodaBeanUtils.equal(volatilitiesName, other.volatilitiesName) &&
JodaBeanUtils.equal(currencyPair, other.currencyPair) &&
JodaBeanUtils.equal(expiry, other.expiry) &&
JodaBeanUtils.equal(strike, other.strike) &&
JodaBeanUtils.equal(forward, other.forward) &&
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(volatilitiesName);
hash = hash * 31 + JodaBeanUtils.hashCode(currencyPair);
hash = hash * 31 + JodaBeanUtils.hashCode(expiry);
hash = hash * 31 + JodaBeanUtils.hashCode(strike);
hash = hash * 31 + JodaBeanUtils.hashCode(forward);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("FxOptionSensitivity{");
buf.append("volatilitiesName").append('=').append(JodaBeanUtils.toString(volatilitiesName)).append(',').append(' ');
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("strike").append('=').append(JodaBeanUtils.toString(strike)).append(',').append(' ');
buf.append("forward").append('=').append(JodaBeanUtils.toString(forward)).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 FxOptionSensitivity}.
*/
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 volatilitiesName} property.
*/
private final MetaProperty volatilitiesName = DirectMetaProperty.ofImmutable(
this, "volatilitiesName", FxOptionSensitivity.class, FxOptionVolatilitiesName.class);
/**
* The meta-property for the {@code currencyPair} property.
*/
private final MetaProperty currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", FxOptionSensitivity.class, CurrencyPair.class);
/**
* The meta-property for the {@code expiry} property.
*/
private final MetaProperty expiry = DirectMetaProperty.ofImmutable(
this, "expiry", FxOptionSensitivity.class, Double.TYPE);
/**
* The meta-property for the {@code strike} property.
*/
private final MetaProperty strike = DirectMetaProperty.ofImmutable(
this, "strike", FxOptionSensitivity.class, Double.TYPE);
/**
* The meta-property for the {@code forward} property.
*/
private final MetaProperty forward = DirectMetaProperty.ofImmutable(
this, "forward", FxOptionSensitivity.class, Double.TYPE);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", FxOptionSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", FxOptionSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"volatilitiesName",
"currencyPair",
"expiry",
"strike",
"forward",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 2100884654: // volatilitiesName
return volatilitiesName;
case 1005147787: // currencyPair
return currencyPair;
case -1289159373: // expiry
return expiry;
case -891985998: // strike
return strike;
case -677145915: // forward
return forward;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new FxOptionSensitivity.Builder();
}
@Override
public Class beanType() {
return FxOptionSensitivity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code volatilitiesName} property.
* @return the meta-property, not null
*/
public MetaProperty volatilitiesName() {
return volatilitiesName;
}
/**
* 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 expiry} property.
* @return the meta-property, not null
*/
public MetaProperty expiry() {
return expiry;
}
/**
* The meta-property for the {@code strike} property.
* @return the meta-property, not null
*/
public MetaProperty strike() {
return strike;
}
/**
* The meta-property for the {@code forward} property.
* @return the meta-property, not null
*/
public MetaProperty forward() {
return forward;
}
/**
* 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 2100884654: // volatilitiesName
return ((FxOptionSensitivity) bean).getVolatilitiesName();
case 1005147787: // currencyPair
return ((FxOptionSensitivity) bean).getCurrencyPair();
case -1289159373: // expiry
return ((FxOptionSensitivity) bean).getExpiry();
case -891985998: // strike
return ((FxOptionSensitivity) bean).getStrike();
case -677145915: // forward
return ((FxOptionSensitivity) bean).getForward();
case 575402001: // currency
return ((FxOptionSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((FxOptionSensitivity) 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 FxOptionSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private FxOptionVolatilitiesName volatilitiesName;
private CurrencyPair currencyPair;
private double expiry;
private double strike;
private double forward;
private Currency currency;
private double sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 2100884654: // volatilitiesName
return volatilitiesName;
case 1005147787: // currencyPair
return currencyPair;
case -1289159373: // expiry
return expiry;
case -891985998: // strike
return strike;
case -677145915: // forward
return forward;
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 2100884654: // volatilitiesName
this.volatilitiesName = (FxOptionVolatilitiesName) newValue;
break;
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair) newValue;
break;
case -1289159373: // expiry
this.expiry = (Double) newValue;
break;
case -891985998: // strike
this.strike = (Double) newValue;
break;
case -677145915: // forward
this.forward = (Double) 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 FxOptionSensitivity build() {
return new FxOptionSensitivity(
volatilitiesName,
currencyPair,
expiry,
strike,
forward,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("FxOptionSensitivity.Builder{");
buf.append("volatilitiesName").append('=').append(JodaBeanUtils.toString(volatilitiesName)).append(',').append(' ');
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("strike").append('=').append(JodaBeanUtils.toString(strike)).append(',').append(' ');
buf.append("forward").append('=').append(JodaBeanUtils.toString(forward)).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 --------------------------
}