com.opengamma.strata.product.bond.Bill Maven / Gradle / Ivy
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/*
* Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.bond;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
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.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.AdjustablePayment;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecuritizedProduct;
import com.opengamma.strata.product.SecurityId;
/**
* A bill.
*
* A bill is a financial instrument that represents a unique fixed payment.
*
*
Price and yield
* Strata uses decimal yields and prices for bills in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932 and a yield of 1.32% is represented by 0.0132.
*/
@BeanDefinition(constructorScope = "package")
public final class Bill
implements SecuritizedProduct, Resolvable, ImmutableBean, Serializable {
/**
* The security identifier.
*
* This identifier uniquely identifies the security within the system.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityId securityId;
/**
* The adjustable notional payment of the bill notional, the amount must be positive.
*/
@PropertyDefinition(validate = "notNull")
private final AdjustablePayment notional;
/**
* The day count convention applicable.
*
* The conversion from dates to a numerical value is made based on this day count.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* Yield convention.
*
* The convention defines how to convert from yield to price and inversely.
*/
@PropertyDefinition(validate = "notNull")
private final BillYieldConvention yieldConvention;
/**
* The legal entity identifier.
*
* This identifier is used for the legal entity that issues the bill.
*/
@PropertyDefinition(validate = "notNull")
private final LegalEntityId legalEntityId;
/**
* The number of days between valuation date and settlement date.
*
* It is usually one business day for US and UK bills and two days for Euroland government bills.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment settlementDateOffset;
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(settlementDateOffset.getDays() >= 0, "The settlement date offset must be non-negative");
ArgChecker.isTrue(notional.getAmount() > 0, "Notional must be strictly positive");
}
@Override
public Currency getCurrency() {
return notional.getCurrency();
}
/**
* Computes the price from the yield at a given settlement date.
*
* @param yield the yield
* @param settlementDate the settlement date
* @return the price
*/
public double priceFromYield(double yield, LocalDate settlementDate) {
double accrualFactor = dayCount.relativeYearFraction(settlementDate, notional.getDate().getUnadjusted());
return yieldConvention.priceFromYield(yield, accrualFactor);
}
/**
* Computes the yield from the price at a given settlement date.
*
* @param price the price
* @param settlementDate the settlement date
* @return the yield
*/
public double yieldFromPrice(double price, LocalDate settlementDate) {
double accrualFactor = dayCount.relativeYearFraction(settlementDate, notional.getDate().getUnadjusted());
return yieldConvention.yieldFromPrice(price, accrualFactor);
}
//-------------------------------------------------------------------------
@Override
public ResolvedBill resolve(ReferenceData refData) {
return ResolvedBill.builder()
.securityId(securityId)
.notional(notional.resolve(refData))
.dayCount(dayCount)
.yieldConvention(yieldConvention)
.legalEntityId(legalEntityId)
.settlementDateOffset(settlementDateOffset).build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code Bill}.
* @return the meta-bean, not null
*/
public static Bill.Meta meta() {
return Bill.Meta.INSTANCE;
}
static {
MetaBean.register(Bill.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static Bill.Builder builder() {
return new Bill.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param notional the value of the property, not null
* @param dayCount the value of the property, not null
* @param yieldConvention the value of the property, not null
* @param legalEntityId the value of the property, not null
* @param settlementDateOffset the value of the property, not null
*/
Bill(
SecurityId securityId,
AdjustablePayment notional,
DayCount dayCount,
BillYieldConvention yieldConvention,
LegalEntityId legalEntityId,
DaysAdjustment settlementDateOffset) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(notional, "notional");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(yieldConvention, "yieldConvention");
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
this.securityId = securityId;
this.notional = notional;
this.dayCount = dayCount;
this.yieldConvention = yieldConvention;
this.legalEntityId = legalEntityId;
this.settlementDateOffset = settlementDateOffset;
validate();
}
@Override
public Bill.Meta metaBean() {
return Bill.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @return the value of the property, not null
*/
@Override
public SecurityId getSecurityId() {
return securityId;
}
//-----------------------------------------------------------------------
/**
* Gets the adjustable notional payment of the bill notional, the amount must be positive.
* @return the value of the property, not null
*/
public AdjustablePayment getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention applicable.
*
* The conversion from dates to a numerical value is made based on this day count.
* @return the value of the property, not null
*/
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets yield convention.
*
* The convention defines how to convert from yield to price and inversely.
* @return the value of the property, not null
*/
public BillYieldConvention getYieldConvention() {
return yieldConvention;
}
//-----------------------------------------------------------------------
/**
* Gets the legal entity identifier.
*
* This identifier is used for the legal entity that issues the bill.
* @return the value of the property, not null
*/
public LegalEntityId getLegalEntityId() {
return legalEntityId;
}
//-----------------------------------------------------------------------
/**
* Gets the number of days between valuation date and settlement date.
*
* It is usually one business day for US and UK bills and two days for Euroland government bills.
* @return the value of the property, not null
*/
public DaysAdjustment getSettlementDateOffset() {
return settlementDateOffset;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
Bill other = (Bill) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(yieldConvention, other.yieldConvention) &&
JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(settlementDateOffset, other.settlementDateOffset);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(yieldConvention);
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityId);
hash = hash * 31 + JodaBeanUtils.hashCode(settlementDateOffset);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("Bill{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("yieldConvention").append('=').append(JodaBeanUtils.toString(yieldConvention)).append(',').append(' ');
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("settlementDateOffset").append('=').append(JodaBeanUtils.toString(settlementDateOffset));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code Bill}.
*/
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 securityId} property.
*/
private final MetaProperty securityId = DirectMetaProperty.ofImmutable(
this, "securityId", Bill.class, SecurityId.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", Bill.class, AdjustablePayment.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", Bill.class, DayCount.class);
/**
* The meta-property for the {@code yieldConvention} property.
*/
private final MetaProperty yieldConvention = DirectMetaProperty.ofImmutable(
this, "yieldConvention", Bill.class, BillYieldConvention.class);
/**
* The meta-property for the {@code legalEntityId} property.
*/
private final MetaProperty legalEntityId = DirectMetaProperty.ofImmutable(
this, "legalEntityId", Bill.class, LegalEntityId.class);
/**
* The meta-property for the {@code settlementDateOffset} property.
*/
private final MetaProperty settlementDateOffset = DirectMetaProperty.ofImmutable(
this, "settlementDateOffset", Bill.class, DaysAdjustment.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"notional",
"dayCount",
"yieldConvention",
"legalEntityId",
"settlementDateOffset");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 1585636160: // notional
return notional;
case 1905311443: // dayCount
return dayCount;
case -1895216418: // yieldConvention
return yieldConvention;
case 866287159: // legalEntityId
return legalEntityId;
case 135924714: // settlementDateOffset
return settlementDateOffset;
}
return super.metaPropertyGet(propertyName);
}
@Override
public Bill.Builder builder() {
return new Bill.Builder();
}
@Override
public Class beanType() {
return Bill.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code securityId} property.
* @return the meta-property, not null
*/
public MetaProperty securityId() {
return securityId;
}
/**
* The meta-property for the {@code notional} property.
* @return the meta-property, not null
*/
public MetaProperty notional() {
return notional;
}
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty dayCount() {
return dayCount;
}
/**
* The meta-property for the {@code yieldConvention} property.
* @return the meta-property, not null
*/
public MetaProperty yieldConvention() {
return yieldConvention;
}
/**
* The meta-property for the {@code legalEntityId} property.
* @return the meta-property, not null
*/
public MetaProperty legalEntityId() {
return legalEntityId;
}
/**
* The meta-property for the {@code settlementDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty settlementDateOffset() {
return settlementDateOffset;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((Bill) bean).getSecurityId();
case 1585636160: // notional
return ((Bill) bean).getNotional();
case 1905311443: // dayCount
return ((Bill) bean).getDayCount();
case -1895216418: // yieldConvention
return ((Bill) bean).getYieldConvention();
case 866287159: // legalEntityId
return ((Bill) bean).getLegalEntityId();
case 135924714: // settlementDateOffset
return ((Bill) bean).getSettlementDateOffset();
}
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 Bill}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityId securityId;
private AdjustablePayment notional;
private DayCount dayCount;
private BillYieldConvention yieldConvention;
private LegalEntityId legalEntityId;
private DaysAdjustment settlementDateOffset;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(Bill beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.notional = beanToCopy.getNotional();
this.dayCount = beanToCopy.getDayCount();
this.yieldConvention = beanToCopy.getYieldConvention();
this.legalEntityId = beanToCopy.getLegalEntityId();
this.settlementDateOffset = beanToCopy.getSettlementDateOffset();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 1585636160: // notional
return notional;
case 1905311443: // dayCount
return dayCount;
case -1895216418: // yieldConvention
return yieldConvention;
case 866287159: // legalEntityId
return legalEntityId;
case 135924714: // settlementDateOffset
return settlementDateOffset;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
this.securityId = (SecurityId) newValue;
break;
case 1585636160: // notional
this.notional = (AdjustablePayment) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -1895216418: // yieldConvention
this.yieldConvention = (BillYieldConvention) newValue;
break;
case 866287159: // legalEntityId
this.legalEntityId = (LegalEntityId) newValue;
break;
case 135924714: // settlementDateOffset
this.settlementDateOffset = (DaysAdjustment) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public Bill build() {
return new Bill(
securityId,
notional,
dayCount,
yieldConvention,
legalEntityId,
settlementDateOffset);
}
//-----------------------------------------------------------------------
/**
* Sets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @param securityId the new value, not null
* @return this, for chaining, not null
*/
public Builder securityId(SecurityId securityId) {
JodaBeanUtils.notNull(securityId, "securityId");
this.securityId = securityId;
return this;
}
/**
* Sets the adjustable notional payment of the bill notional, the amount must be positive.
* @param notional the new value, not null
* @return this, for chaining, not null
*/
public Builder notional(AdjustablePayment notional) {
JodaBeanUtils.notNull(notional, "notional");
this.notional = notional;
return this;
}
/**
* Sets the day count convention applicable.
*
* The conversion from dates to a numerical value is made based on this day count.
* @param dayCount the new value, not null
* @return this, for chaining, not null
*/
public Builder dayCount(DayCount dayCount) {
JodaBeanUtils.notNull(dayCount, "dayCount");
this.dayCount = dayCount;
return this;
}
/**
* Sets yield convention.
*
* The convention defines how to convert from yield to price and inversely.
* @param yieldConvention the new value, not null
* @return this, for chaining, not null
*/
public Builder yieldConvention(BillYieldConvention yieldConvention) {
JodaBeanUtils.notNull(yieldConvention, "yieldConvention");
this.yieldConvention = yieldConvention;
return this;
}
/**
* Sets the legal entity identifier.
*
* This identifier is used for the legal entity that issues the bill.
* @param legalEntityId the new value, not null
* @return this, for chaining, not null
*/
public Builder legalEntityId(LegalEntityId legalEntityId) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
this.legalEntityId = legalEntityId;
return this;
}
/**
* Sets the number of days between valuation date and settlement date.
*
* It is usually one business day for US and UK bills and two days for Euroland government bills.
* @param settlementDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder settlementDateOffset(DaysAdjustment settlementDateOffset) {
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
this.settlementDateOffset = settlementDateOffset;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("Bill.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("yieldConvention").append('=').append(JodaBeanUtils.toString(yieldConvention)).append(',').append(' ');
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("settlementDateOffset").append('=').append(JodaBeanUtils.toString(settlementDateOffset));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}