com.opengamma.strata.pricer.rate.OvernightRateSensitivity 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.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.FxRateProvider;
import com.opengamma.strata.basics.index.OvernightIndex;
import com.opengamma.strata.basics.index.OvernightIndexObservation;
import com.opengamma.strata.collect.ArgChecker;
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 Overnight index curve.
*
* Holds the sensitivity to the {@link OvernightIndex} curve for a fixing period.
*
* This class handles the common case where the rate for a period is approximated
* instead of computing the individual rate for each date in the period by storing
* the end date of the fixing period.
*/
@BeanDefinition(builderScope = "private")
public final class OvernightRateSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The Overnight rate observation.
*
* This includes the index and fixing date.
*/
@PropertyDefinition(validate = "notNull")
private final OvernightIndexObservation observation;
/**
* The end date of the period.
* This must be after the fixing date.
* It may be the maturity date implied by the fixing date, but it may also be later.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate endDate;
/**
* 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.
* The end date will be the maturity date of the observation.
*
* @param observation the rate observation, including the fixing date
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static OvernightRateSensitivity of(OvernightIndexObservation observation, double sensitivity) {
return of(observation, observation.getCurrency(), sensitivity);
}
/**
* Obtains an instance from the observation and sensitivity value,
* specifying the currency of the value.
*
* The end date will be the maturity date of the observation.
*
* @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 OvernightRateSensitivity of(
OvernightIndexObservation observation,
Currency sensitivityCurrency,
double sensitivity) {
return new OvernightRateSensitivity(observation, observation.getMaturityDate(), sensitivityCurrency, sensitivity);
}
/**
* Obtains an instance for a period observation of the index from the observation
* and sensitivity value.
*
* The currency is defaulted from the index.
*
* @param observation the rate observation, including the fixing date
* @param endDate the end date of the period
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static OvernightRateSensitivity ofPeriod(
OvernightIndexObservation observation,
LocalDate endDate,
double sensitivity) {
return ofPeriod(observation, endDate, observation.getCurrency(), sensitivity);
}
/**
* Obtains an instance for a period observation of the index from the observation
* and sensitivity value, specifying the currency of the value.
*
* @param observation the rate observation, including the fixing date
* @param endDate the end date of the period
* @param sensitivityCurrency the currency of the sensitivity
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static OvernightRateSensitivity ofPeriod(
OvernightIndexObservation observation,
LocalDate endDate,
Currency sensitivityCurrency,
double sensitivity) {
return new OvernightRateSensitivity(observation, endDate, sensitivityCurrency, sensitivity);
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
ArgChecker.inOrderNotEqual(observation.getFixingDate(), endDate, "fixingDate", "endDate");
}
//-------------------------------------------------------------------------
/**
* Gets the Overnight index that the sensitivity refers to.
*
* @return the Overnight index
*/
public OvernightIndex getIndex() {
return observation.getIndex();
}
//-------------------------------------------------------------------------
@Override
public OvernightRateSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new OvernightRateSensitivity(observation, endDate, currency, sensitivity);
}
@Override
public OvernightRateSensitivity withSensitivity(double sensitivity) {
return new OvernightRateSensitivity(observation, endDate, currency, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof OvernightRateSensitivity) {
OvernightRateSensitivity otherOn = (OvernightRateSensitivity) other;
return ComparisonChain.start()
.compare(getIndex().toString(), otherOn.getIndex().toString())
.compare(currency, otherOn.currency)
.compare(observation.getFixingDate(), otherOn.observation.getFixingDate())
.compare(endDate, otherOn.endDate)
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public OvernightRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (OvernightRateSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public OvernightRateSensitivity multipliedBy(double factor) {
return new OvernightRateSensitivity(observation, endDate, currency, sensitivity * factor);
}
@Override
public OvernightRateSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new OvernightRateSensitivity(observation, endDate, currency, operator.applyAsDouble(sensitivity));
}
@Override
public OvernightRateSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public OvernightRateSensitivity cloned() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code OvernightRateSensitivity}.
* @return the meta-bean, not null
*/
public static OvernightRateSensitivity.Meta meta() {
return OvernightRateSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(OvernightRateSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private OvernightRateSensitivity(
OvernightIndexObservation observation,
LocalDate endDate,
Currency currency,
double sensitivity) {
JodaBeanUtils.notNull(observation, "observation");
JodaBeanUtils.notNull(endDate, "endDate");
JodaBeanUtils.notNull(currency, "currency");
this.observation = observation;
this.endDate = endDate;
this.currency = currency;
this.sensitivity = sensitivity;
validate();
}
@Override
public OvernightRateSensitivity.Meta metaBean() {
return OvernightRateSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the Overnight rate observation.
*
* This includes the index and fixing date.
* @return the value of the property, not null
*/
public OvernightIndexObservation getObservation() {
return observation;
}
//-----------------------------------------------------------------------
/**
* Gets the end date of the period.
* This must be after the fixing date.
* It may be the maturity date implied by the fixing date, but it may also be later.
* @return the value of the property, not null
*/
public LocalDate getEndDate() {
return endDate;
}
//-----------------------------------------------------------------------
/**
* 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()) {
OvernightRateSensitivity other = (OvernightRateSensitivity) obj;
return JodaBeanUtils.equal(observation, other.observation) &&
JodaBeanUtils.equal(endDate, other.endDate) &&
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(endDate);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("OvernightRateSensitivity{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(endDate)).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 OvernightRateSensitivity}.
*/
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", OvernightRateSensitivity.class, OvernightIndexObservation.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty endDate = DirectMetaProperty.ofImmutable(
this, "endDate", OvernightRateSensitivity.class, LocalDate.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", OvernightRateSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", OvernightRateSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"observation",
"endDate",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
case -1607727319: // endDate
return endDate;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new OvernightRateSensitivity.Builder();
}
@Override
public Class beanType() {
return OvernightRateSensitivity.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 endDate} property.
* @return the meta-property, not null
*/
public MetaProperty endDate() {
return endDate;
}
/**
* 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 ((OvernightRateSensitivity) bean).getObservation();
case -1607727319: // endDate
return ((OvernightRateSensitivity) bean).getEndDate();
case 575402001: // currency
return ((OvernightRateSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((OvernightRateSensitivity) 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 OvernightRateSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private OvernightIndexObservation observation;
private LocalDate endDate;
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 -1607727319: // endDate
return endDate;
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 = (OvernightIndexObservation) newValue;
break;
case -1607727319: // endDate
this.endDate = (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 OvernightRateSensitivity build() {
return new OvernightRateSensitivity(
observation,
endDate,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("OvernightRateSensitivity.Builder{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(endDate)).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 --------------------------
}