com.opengamma.strata.pricer.rate.IborRateSensitivity 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.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.FxRateProvider;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.index.IborIndexObservation;
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 rate from an Ibor index curve.
*
* Holds the sensitivity to the {@link IborIndex} curve at a fixing date.
*/
@BeanDefinition(builderScope = "private")
public final class IborRateSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The Ibor index observation.
*
* This includes the index and fixing date.
*/
@PropertyDefinition(validate = "notNull")
private final IborIndexObservation observation;
/**
* 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 from the observation and sensitivity value.
*
* The currency is defaulted from the index.
*
* @param observation the rate observation, including the fixing date
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static IborRateSensitivity of(IborIndexObservation observation, double sensitivity) {
return new IborRateSensitivity(observation, observation.getIndex().getCurrency(), sensitivity);
}
/**
* Obtains an instance from the observation and sensitivity value,
* specifying the currency of the value.
*
* @param observation the rate observation, including the fixing date
* @param sensitivityCurrency the currency of the sensitivity
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static IborRateSensitivity of(
IborIndexObservation observation,
Currency sensitivityCurrency,
double sensitivity) {
return new IborRateSensitivity(observation, sensitivityCurrency, sensitivity);
}
//-------------------------------------------------------------------------
/**
* Gets the Ibor index that the sensitivity refers to.
*
* @return the Ibor index
*/
public IborIndex getIndex() {
return observation.getIndex();
}
//-------------------------------------------------------------------------
@Override
public IborRateSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new IborRateSensitivity(observation, currency, sensitivity);
}
@Override
public IborRateSensitivity withSensitivity(double sensitivity) {
return new IborRateSensitivity(observation, currency, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof IborRateSensitivity) {
IborRateSensitivity otherIbor = (IborRateSensitivity) other;
return ComparisonChain.start()
.compare(getIndex().toString(), otherIbor.getIndex().toString())
.compare(currency, otherIbor.currency)
.compare(observation.getFixingDate(), otherIbor.observation.getFixingDate())
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public IborRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (IborRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public IborRateSensitivity multipliedBy(double factor) {
return new IborRateSensitivity(observation, currency, sensitivity * factor);
}
@Override
public IborRateSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new IborRateSensitivity(observation, currency, operator.applyAsDouble(sensitivity));
}
@Override
public IborRateSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public IborRateSensitivity cloned() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code IborRateSensitivity}.
* @return the meta-bean, not null
*/
public static IborRateSensitivity.Meta meta() {
return IborRateSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(IborRateSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private IborRateSensitivity(
IborIndexObservation observation,
Currency currency,
double sensitivity) {
JodaBeanUtils.notNull(observation, "observation");
JodaBeanUtils.notNull(currency, "currency");
this.observation = observation;
this.currency = currency;
this.sensitivity = sensitivity;
}
@Override
public IborRateSensitivity.Meta metaBean() {
return IborRateSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index observation.
*
* This includes the index and fixing date.
* @return the value of the property, not null
*/
public IborIndexObservation getObservation() {
return observation;
}
//-----------------------------------------------------------------------
/**
* 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()) {
IborRateSensitivity other = (IborRateSensitivity) obj;
return JodaBeanUtils.equal(observation, other.observation) &&
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(observation);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("IborRateSensitivity{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).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 IborRateSensitivity}.
*/
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 observation} property.
*/
private final MetaProperty observation = DirectMetaProperty.ofImmutable(
this, "observation", IborRateSensitivity.class, IborIndexObservation.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", IborRateSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", IborRateSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"observation",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new IborRateSensitivity.Builder();
}
@Override
public Class beanType() {
return IborRateSensitivity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code observation} property.
* @return the meta-property, not null
*/
public MetaProperty observation() {
return observation;
}
/**
* 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 122345516: // observation
return ((IborRateSensitivity) bean).getObservation();
case 575402001: // currency
return ((IborRateSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((IborRateSensitivity) 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 IborRateSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private IborIndexObservation observation;
private Currency currency;
private double sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
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 122345516: // observation
this.observation = (IborIndexObservation) 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 IborRateSensitivity build() {
return new IborRateSensitivity(
observation,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("IborRateSensitivity.Builder{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).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 --------------------------
}