com.opengamma.strata.pricer.rate.DiscountIborIndexRates 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.rate;
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 java.util.OptionalInt;
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.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.index.IborIndex;
import com.opengamma.strata.basics.index.IborIndexObservation;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.array.DoubleArray;
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;
import com.opengamma.strata.pricer.DiscountFactors;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* An Ibor index curve providing rates from discount factors.
*
* This provides historic and forward rates for a single {@link IborIndex}, such as 'GBP-LIBOR-3M'.
*
* This implementation is based on an underlying curve that is stored with maturities
* and zero-coupon continuously-compounded rates.
*/
@BeanDefinition(builderScope = "private")
public final class DiscountIborIndexRates
implements IborIndexRates, ImmutableBean, Serializable {
/**
* The index that the rates are for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborIndex index;
/**
* The underlying discount factor curve.
*/
@PropertyDefinition(validate = "notNull")
private final DiscountFactors discountFactors;
/**
* 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 forward curve is specified by an instance of {@link DiscountFactors}.
*
* @param index the Ibor index
* @param discountFactors the underlying discount factor forward curve
* @return the rates instance
*/
public static DiscountIborIndexRates of(IborIndex index, DiscountFactors discountFactors) {
return of(index, discountFactors, LocalDateDoubleTimeSeries.empty());
}
/**
* Obtains an instance based on discount factors and historic fixings.
*
* The forward curve is specified by an instance of {@link DiscountFactors}.
*
* @param index the Ibor index
* @param discountFactors the underlying discount factor forward curve
* @param fixings the time-series of fixings
* @return the rates instance
*/
public static DiscountIborIndexRates of(
IborIndex index,
DiscountFactors discountFactors,
LocalDateDoubleTimeSeries fixings) {
return new DiscountIborIndexRates(index, discountFactors, fixings);
}
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.fixings = LocalDateDoubleTimeSeries.empty();
}
//-------------------------------------------------------------------------
@Override
public LocalDate getValuationDate() {
return discountFactors.getValuationDate();
}
@Override
public Optional findData(MarketDataName name) {
return discountFactors.findData(name);
}
@Override
public int getParameterCount() {
return discountFactors.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return discountFactors.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return discountFactors.getParameterMetadata(parameterIndex);
}
@Override
public OptionalInt findParameterIndex(ParameterMetadata metadata) {
return discountFactors.findParameterIndex(metadata);
}
@Override
public DiscountIborIndexRates withParameter(int parameterIndex, double newValue) {
return withDiscountFactors(discountFactors.withParameter(parameterIndex, newValue));
}
@Override
public DiscountIborIndexRates withPerturbation(ParameterPerturbation perturbation) {
return withDiscountFactors(discountFactors.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double rate(IborIndexObservation observation) {
if (!observation.getFixingDate().isAfter(getValuationDate())) {
return historicRate(observation);
}
return rateIgnoringFixings(observation);
}
// historic rate
private double historicRate(IborIndexObservation 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 rateIgnoringFixings(observation);
}
}
@Override
public double rateIgnoringFixings(IborIndexObservation observation) {
LocalDate fixingStartDate = observation.getEffectiveDate();
LocalDate fixingEndDate = observation.getMaturityDate();
double accrualFactor = observation.getYearFraction();
// simply compounded forward rate from discount factors
double dfStart = discountFactors.discountFactor(fixingStartDate);
double dfEnd = discountFactors.discountFactor(fixingEndDate);
return (dfStart / dfEnd - 1) / accrualFactor;
}
//-------------------------------------------------------------------------
@Override
public PointSensitivityBuilder ratePointSensitivity(IborIndexObservation observation) {
LocalDate fixingDate = observation.getFixingDate();
LocalDate valuationDate = getValuationDate();
if (fixingDate.isBefore(valuationDate) ||
(fixingDate.equals(valuationDate) && fixings.get(fixingDate).isPresent())) {
return PointSensitivityBuilder.none();
}
return IborRateSensitivity.of(observation, 1d);
}
@Override
public PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(IborIndexObservation observation) {
return IborRateSensitivity.of(observation, 1d);
}
//-------------------------------------------------------------------------
@Override
public CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity) {
LocalDate fixingStartDate = pointSensitivity.getObservation().getEffectiveDate();
LocalDate fixingEndDate = pointSensitivity.getObservation().getMaturityDate();
double accrualFactor = pointSensitivity.getObservation().getYearFraction();
double forwardBar = pointSensitivity.getSensitivity();
double dfForwardStart = discountFactors.discountFactor(fixingStartDate);
double dfForwardEnd = discountFactors.discountFactor(fixingEndDate);
double dfStartBar = forwardBar / (accrualFactor * dfForwardEnd);
double dfEndBar = -forwardBar * dfForwardStart / (accrualFactor * dfForwardEnd * dfForwardEnd);
ZeroRateSensitivity zrsStart = discountFactors.zeroRatePointSensitivity(fixingStartDate, pointSensitivity.getCurrency());
ZeroRateSensitivity zrsEnd = discountFactors.zeroRatePointSensitivity(fixingEndDate, pointSensitivity.getCurrency());
CurrencyParameterSensitivities psStart = discountFactors.parameterSensitivity(zrsStart).multipliedBy(dfStartBar);
CurrencyParameterSensitivities psEnd = discountFactors.parameterSensitivity(zrsEnd).multipliedBy(dfEndBar);
return psStart.combinedWith(psEnd);
}
@Override
public CurrencyParameterSensitivities createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return discountFactors.createParameterSensitivity(currency, sensitivities);
}
//-------------------------------------------------------------------------
/**
* Returns a new instance with different discount factors.
*
* @param factors the new discount factors
* @return the new instance
*/
public DiscountIborIndexRates withDiscountFactors(DiscountFactors factors) {
return new DiscountIborIndexRates(index, factors, fixings);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code DiscountIborIndexRates}.
* @return the meta-bean, not null
*/
public static DiscountIborIndexRates.Meta meta() {
return DiscountIborIndexRates.Meta.INSTANCE;
}
static {
MetaBean.register(DiscountIborIndexRates.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private DiscountIborIndexRates(
IborIndex index,
DiscountFactors discountFactors,
LocalDateDoubleTimeSeries fixings) {
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(discountFactors, "discountFactors");
JodaBeanUtils.notNull(fixings, "fixings");
this.index = index;
this.discountFactors = discountFactors;
this.fixings = fixings;
}
@Override
public DiscountIborIndexRates.Meta metaBean() {
return DiscountIborIndexRates.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the index that the rates are for.
* @return the value of the property, not null
*/
@Override
public IborIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying discount factor curve.
* @return the value of the property, not null
*/
public DiscountFactors getDiscountFactors() {
return discountFactors;
}
//-----------------------------------------------------------------------
/**
* 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()) {
DiscountIborIndexRates other = (DiscountIborIndexRates) obj;
return JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(discountFactors, other.discountFactors) &&
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(discountFactors);
hash = hash * 31 + JodaBeanUtils.hashCode(fixings);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("DiscountIborIndexRates{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("discountFactors").append('=').append(JodaBeanUtils.toString(discountFactors)).append(',').append(' ');
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code DiscountIborIndexRates}.
*/
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", DiscountIborIndexRates.class, IborIndex.class);
/**
* The meta-property for the {@code discountFactors} property.
*/
private final MetaProperty discountFactors = DirectMetaProperty.ofImmutable(
this, "discountFactors", DiscountIborIndexRates.class, DiscountFactors.class);
/**
* The meta-property for the {@code fixings} property.
*/
private final MetaProperty fixings = DirectMetaProperty.ofImmutable(
this, "fixings", DiscountIborIndexRates.class, LocalDateDoubleTimeSeries.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"index",
"discountFactors",
"fixings");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case -91613053: // discountFactors
return discountFactors;
case -843784602: // fixings
return fixings;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new DiscountIborIndexRates.Builder();
}
@Override
public Class beanType() {
return DiscountIborIndexRates.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 discountFactors} property.
* @return the meta-property, not null
*/
public MetaProperty discountFactors() {
return discountFactors;
}
/**
* 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 ((DiscountIborIndexRates) bean).getIndex();
case -91613053: // discountFactors
return ((DiscountIborIndexRates) bean).getDiscountFactors();
case -843784602: // fixings
return ((DiscountIborIndexRates) 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 DiscountIborIndexRates}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private IborIndex index;
private DiscountFactors discountFactors;
private LocalDateDoubleTimeSeries fixings;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case -91613053: // discountFactors
return discountFactors;
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 = (IborIndex) newValue;
break;
case -91613053: // discountFactors
this.discountFactors = (DiscountFactors) newValue;
break;
case -843784602: // fixings
this.fixings = (LocalDateDoubleTimeSeries) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public DiscountIborIndexRates build() {
return new DiscountIborIndexRates(
index,
discountFactors,
fixings);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("DiscountIborIndexRates.Builder{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("discountFactors").append('=').append(JodaBeanUtils.toString(discountFactors)).append(',').append(' ');
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}