com.opengamma.strata.pricer.rate.SimplePriceIndexValues 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 static java.time.temporal.ChronoUnit.MONTHS;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.YearMonth;
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.ImmutableConstructor;
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.PriceIndex;
import com.opengamma.strata.basics.index.PriceIndexObservation;
import com.opengamma.strata.collect.ArgChecker;
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.ValueType;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.InflationNodalCurve;
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.param.UnitParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
/**
* Provides values for a Price index from a forward curve.
*
* This provides historic and forward rates for a single {@link PriceIndex}, such as 'US-CPI-U'.
*
* This implementation is based on an underlying forward curve.
* Seasonality is included in the curve, see {@link InflationNodalCurve}.
*/
@BeanDefinition(builderScope = "private")
public final class SimplePriceIndexValues
implements PriceIndexValues, ImmutableBean, Serializable {
/**
* The index that the values are for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final PriceIndex index;
/**
* The valuation date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDate valuationDate;
/**
* The underlying curve.
* Each x-value on the curve is the number of months between the valuation month and the estimation month.
* For example, zero represents the valuation month, one the next month and so on.
*/
@PropertyDefinition(validate = "notNull")
private final Curve curve;
/**
* The monthly time-series of fixings.
* This includes the known historical fixings and must not be empty.
*
* Only one value is stored per month. The value is stored in the time-series on the
* last date of each month (which may be a non-working day).
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDateDoubleTimeSeries fixings;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a curve with no seasonality adjustment.
*
* Each x-value on the curve is the number of months between the valuation month and the estimation month.
* For example, zero represents the valuation month, one the next month and so on.
*
* The time-series contains one value per month and must have at least one entry.
* The value is stored in the time-series on the last date of each month (which may be a non-working day).
*
* The curve will be altered to be consistent with the time-series. The last element of the
* series is added as the first point of the interpolated curve to ensure a coherent transition.
*
* @param index the Price index
* @param valuationDate the valuation date for which the curve is valid
* @param fixings the time-series of fixings
* @param curve the underlying forward curve for index estimation
* @return the values instance
*/
public static SimplePriceIndexValues of(
PriceIndex index,
LocalDate valuationDate,
Curve curve,
LocalDateDoubleTimeSeries fixings) {
return new SimplePriceIndexValues(index, valuationDate, curve, fixings);
}
@ImmutableConstructor
private SimplePriceIndexValues(
PriceIndex index,
LocalDate valuationDate,
Curve curve,
LocalDateDoubleTimeSeries fixings) {
ArgChecker.isFalse(fixings.isEmpty(), "Fixings must not be empty");
curve.getMetadata().getXValueType().checkEquals(ValueType.MONTHS, "Incorrect x-value type for price curve");
curve.getMetadata().getYValueType().checkEquals(ValueType.PRICE_INDEX, "Incorrect y-value type for price curve");
this.index = ArgChecker.notNull(index, "index");
this.valuationDate = ArgChecker.notNull(valuationDate, "valuationDate");
this.fixings = ArgChecker.notNull(fixings, "fixings");
this.curve = ArgChecker.notNull(curve, "curve");
}
//-------------------------------------------------------------------------
@Override
public Optional findData(MarketDataName name) {
if (curve.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(curve));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return curve.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return curve.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return curve.getParameterMetadata(parameterIndex);
}
@Override
public OptionalInt findParameterIndex(ParameterMetadata metadata) {
return curve.findParameterIndex(metadata);
}
@Override
public SimplePriceIndexValues withParameter(int parameterIndex, double newValue) {
return withCurve(curve.withParameter(parameterIndex, newValue));
}
@Override
public SimplePriceIndexValues withPerturbation(ParameterPerturbation perturbation) {
return withCurve(curve.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double value(PriceIndexObservation observation) {
YearMonth fixingMonth = observation.getFixingMonth();
// If fixing in the past, check time series and returns the historic month price index if present
if (fixingMonth.isBefore(YearMonth.from(valuationDate))) {
OptionalDouble fixing = fixings.get(fixingMonth.atEndOfMonth());
if (fixing.isPresent()) {
return fixing.getAsDouble();
}
}
// otherwise, return the estimate from the curve.
double nbMonth = numberOfMonths(fixingMonth);
return curve.yValue(nbMonth);
}
//-------------------------------------------------------------------------
@Override
public PointSensitivityBuilder valuePointSensitivity(PriceIndexObservation observation) {
YearMonth fixingMonth = observation.getFixingMonth();
// If fixing in the past, check time series and returns the historic month price index if present
if (fixingMonth.isBefore(YearMonth.from(valuationDate))) {
if (fixings.get(fixingMonth.atEndOfMonth()).isPresent()) {
return PointSensitivityBuilder.none();
}
}
return InflationRateSensitivity.of(observation, 1d);
}
//-------------------------------------------------------------------------
@Override
public CurrencyParameterSensitivities parameterSensitivity(InflationRateSensitivity pointSensitivity) {
UnitParameterSensitivities sens = unitParameterSensitivity(pointSensitivity.getObservation().getFixingMonth());
return sens.multipliedBy(pointSensitivity.getCurrency(), pointSensitivity.getSensitivity());
}
private UnitParameterSensitivities unitParameterSensitivity(YearMonth month) {
// If fixing in the past, check time series and returns the historic month price index if present
if (month.isBefore(YearMonth.from(valuationDate))) {
if (fixings.get(month.atEndOfMonth()).isPresent()) {
return UnitParameterSensitivities.empty();
}
}
double nbMonth = numberOfMonths(month);
return UnitParameterSensitivities.of(curve.yValueParameterSensitivity(nbMonth));
}
@Override
public CurrencyParameterSensitivities createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return CurrencyParameterSensitivities.of(curve.createParameterSensitivity(currency, sensitivities));
}
//-------------------------------------------------------------------------
/**
* Returns a new instance with a different curve. The new curve must include fixing.
*
* @param curve the new curve
* @return the new instance
*/
public SimplePriceIndexValues withCurve(Curve curve) {
return new SimplePriceIndexValues(index, valuationDate, curve, fixings);
}
private double numberOfMonths(YearMonth month) {
return YearMonth.from(valuationDate).until(month, MONTHS);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code SimplePriceIndexValues}.
* @return the meta-bean, not null
*/
public static SimplePriceIndexValues.Meta meta() {
return SimplePriceIndexValues.Meta.INSTANCE;
}
static {
MetaBean.register(SimplePriceIndexValues.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public SimplePriceIndexValues.Meta metaBean() {
return SimplePriceIndexValues.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the index that the values are for.
* @return the value of the property, not null
*/
@Override
public PriceIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
* @return the value of the property, not null
*/
@Override
public LocalDate getValuationDate() {
return valuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying curve.
* Each x-value on the curve is the number of months between the valuation month and the estimation month.
* For example, zero represents the valuation month, one the next month and so on.
* @return the value of the property, not null
*/
public Curve getCurve() {
return curve;
}
//-----------------------------------------------------------------------
/**
* Gets the monthly time-series of fixings.
* This includes the known historical fixings and must not be empty.
*
* Only one value is stored per month. The value is stored in the time-series on the
* last date of each month (which may be a non-working day).
* @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()) {
SimplePriceIndexValues other = (SimplePriceIndexValues) obj;
return JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(curve, other.curve) &&
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(valuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(curve);
hash = hash * 31 + JodaBeanUtils.hashCode(fixings);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("SimplePriceIndexValues{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve)).append(',').append(' ');
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SimplePriceIndexValues}.
*/
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", SimplePriceIndexValues.class, PriceIndex.class);
/**
* The meta-property for the {@code valuationDate} property.
*/
private final MetaProperty valuationDate = DirectMetaProperty.ofImmutable(
this, "valuationDate", SimplePriceIndexValues.class, LocalDate.class);
/**
* The meta-property for the {@code curve} property.
*/
private final MetaProperty curve = DirectMetaProperty.ofImmutable(
this, "curve", SimplePriceIndexValues.class, Curve.class);
/**
* The meta-property for the {@code fixings} property.
*/
private final MetaProperty fixings = DirectMetaProperty.ofImmutable(
this, "fixings", SimplePriceIndexValues.class, LocalDateDoubleTimeSeries.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"index",
"valuationDate",
"curve",
"fixings");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
case -843784602: // fixings
return fixings;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new SimplePriceIndexValues.Builder();
}
@Override
public Class beanType() {
return SimplePriceIndexValues.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 valuationDate} property.
* @return the meta-property, not null
*/
public MetaProperty valuationDate() {
return valuationDate;
}
/**
* The meta-property for the {@code curve} property.
* @return the meta-property, not null
*/
public MetaProperty curve() {
return curve;
}
/**
* 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 ((SimplePriceIndexValues) bean).getIndex();
case 113107279: // valuationDate
return ((SimplePriceIndexValues) bean).getValuationDate();
case 95027439: // curve
return ((SimplePriceIndexValues) bean).getCurve();
case -843784602: // fixings
return ((SimplePriceIndexValues) 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 SimplePriceIndexValues}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private PriceIndex index;
private LocalDate valuationDate;
private Curve curve;
private LocalDateDoubleTimeSeries fixings;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
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 = (PriceIndex) newValue;
break;
case 113107279: // valuationDate
this.valuationDate = (LocalDate) newValue;
break;
case 95027439: // curve
this.curve = (Curve) newValue;
break;
case -843784602: // fixings
this.fixings = (LocalDateDoubleTimeSeries) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public SimplePriceIndexValues build() {
return new SimplePriceIndexValues(
index,
valuationDate,
curve,
fixings);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("SimplePriceIndexValues.Builder{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve)).append(',').append(' ');
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}