com.opengamma.strata.product.bond.BondFuture Maven / Gradle / Ivy
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/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.bond;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
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.ImmutableDefaults;
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.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.SecuritizedProduct;
import com.opengamma.strata.product.SecurityId;
/**
* A futures contract, based on a basket of fixed coupon bonds.
*
* A bond future is a financial instrument that is based on the future value of
* a basket of fixed coupon bonds. The profit or loss of a bond future is settled daily.
* This class represents the structure of a single futures contract.
*
*
Price
* Strata uses decimal prices for bond futures in the trade model, pricers and market data.
* This is coherent with the pricing of {@link FixedCouponBond}. The bond futures delivery is a bond
* for an amount computed from the bond future price, a conversion factor and the accrued interest.
*/
@SuppressWarnings("unchecked")
@BeanDefinition(constructorScope = "package")
public final class BondFuture
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 basket of deliverable bonds.
*
* The underling which will be delivered in the future time is chosen from
* a basket of underling securities. This must not be empty.
*
* All of the underlying bonds must have the same notional and currency.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableList deliveryBasket;
/**
* The conversion factor for each bond in the basket.
*
* The price of each underlying security in the basket is rescaled by the conversion factor.
* This must not be empty, and its size must be the same as the size of {@code deliveryBasket}.
*
* All of the underlying bonds must have the same notional and currency.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableList conversionFactors;
/**
* The last trading date.
*
* The future security is traded until this date.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate lastTradeDate;
/**
* The first notice date.
*
* The first date on which the delivery of the underlying is authorized.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate firstNoticeDate;
/**
* The last notice date.
*
* The last date on which the delivery of the underlying is authorized.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate lastNoticeDate;
/**
* The first delivery date.
*
* The first date on which the underlying is delivered.
*
* If not specified, the date will be computed from {@code firstNoticeDate} by using
* {@code settlementDateOffset} in the first element of the delivery basket
* when the future is resolved.
*/
@PropertyDefinition(get = "optional")
private final LocalDate firstDeliveryDate;
/**
* The last delivery date.
*
* The last date on which the underlying is delivered.
*
* If not specified, the date will be computed from {@code lastNoticeDate} by using
* {@code settlementDateOffset} in the first element of the delivery basket
* when the future is resolved.
*/
@PropertyDefinition(get = "optional")
private final LocalDate lastDeliveryDate;
/**
* The definition of how to round the futures price, defaulted to no rounding.
*
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
*/
@PropertyDefinition(validate = "notNull")
private final Rounding rounding;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.rounding(Rounding.none());
}
@ImmutableValidator
private void validate() {
int size = deliveryBasket.size();
ArgChecker.isTrue(size == conversionFactors.size(),
"The delivery basket size should be the same as the conversion factor size");
ArgChecker.inOrderOrEqual(firstNoticeDate, lastNoticeDate, "firstNoticeDate", "lastNoticeDate");
if (firstDeliveryDate != null && lastDeliveryDate != null) {
ArgChecker.inOrderOrEqual(firstDeliveryDate, lastDeliveryDate, "firstDeliveryDate", "lastDeliveryDate");
ArgChecker.inOrderOrEqual(firstNoticeDate, firstDeliveryDate, "firstNoticeDate", "firstDeliveryDate");
ArgChecker.inOrderOrEqual(lastNoticeDate, lastDeliveryDate, "lastNoticeDate", "lastDeliveryDate");
}
if (size > 1) {
ImmutableList bondsList = getDeliveryBasket();
double notional = getNotional();
Currency currency = getCurrency();
for (int i = 1; i < size; ++i) {
ArgChecker.isTrue(bondsList.get(i).getNotional() == notional, "Notional must be same for all bonds");
ArgChecker.isTrue(bondsList.get(i).getCurrency().equals(currency), "Currency must be same for all bonds");
}
}
}
//-------------------------------------------------------------------------
/**
* Obtains the notional of underlying fixed coupon bonds.
*
* All of the bonds in the delivery basket have the same notional.
*
* @return the notional
*/
public double getNotional() {
return deliveryBasket.get(0).getNotional();
}
/**
* Obtains the currency of the underlying fixed coupon bonds.
*
* All of the bonds in the delivery basket have the same currency.
*
* @return the currency
*/
@Override
public Currency getCurrency() {
return deliveryBasket.get(0).getCurrency();
}
//-------------------------------------------------------------------------
@Override
public ResolvedBondFuture resolve(ReferenceData refData) {
List basket = deliveryBasket.stream()
.map(bond -> bond.resolve(refData))
.collect(toImmutableList());
DaysAdjustment settleOffset = deliveryBasket.get(0).getSettlementDateOffset();
return ResolvedBondFuture.builder()
.securityId(securityId)
.deliveryBasket(basket)
.conversionFactors(conversionFactors)
.lastTradeDate(lastTradeDate)
.firstNoticeDate(firstNoticeDate)
.lastNoticeDate(lastNoticeDate)
.firstDeliveryDate(firstDeliveryDate != null ? firstDeliveryDate : settleOffset.adjust(firstNoticeDate, refData))
.lastDeliveryDate(lastDeliveryDate != null ? lastDeliveryDate : settleOffset.adjust(lastNoticeDate, refData))
.rounding(rounding)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code BondFuture}.
* @return the meta-bean, not null
*/
public static BondFuture.Meta meta() {
return BondFuture.Meta.INSTANCE;
}
static {
MetaBean.register(BondFuture.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 BondFuture.Builder builder() {
return new BondFuture.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param deliveryBasket the value of the property, not empty
* @param conversionFactors the value of the property, not empty
* @param lastTradeDate the value of the property, not null
* @param firstNoticeDate the value of the property, not null
* @param lastNoticeDate the value of the property, not null
* @param firstDeliveryDate the value of the property
* @param lastDeliveryDate the value of the property
* @param rounding the value of the property, not null
*/
BondFuture(
SecurityId securityId,
List deliveryBasket,
List conversionFactors,
LocalDate lastTradeDate,
LocalDate firstNoticeDate,
LocalDate lastNoticeDate,
LocalDate firstDeliveryDate,
LocalDate lastDeliveryDate,
Rounding rounding) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notEmpty(deliveryBasket, "deliveryBasket");
JodaBeanUtils.notEmpty(conversionFactors, "conversionFactors");
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
JodaBeanUtils.notNull(firstNoticeDate, "firstNoticeDate");
JodaBeanUtils.notNull(lastNoticeDate, "lastNoticeDate");
JodaBeanUtils.notNull(rounding, "rounding");
this.securityId = securityId;
this.deliveryBasket = ImmutableList.copyOf(deliveryBasket);
this.conversionFactors = ImmutableList.copyOf(conversionFactors);
this.lastTradeDate = lastTradeDate;
this.firstNoticeDate = firstNoticeDate;
this.lastNoticeDate = lastNoticeDate;
this.firstDeliveryDate = firstDeliveryDate;
this.lastDeliveryDate = lastDeliveryDate;
this.rounding = rounding;
validate();
}
@Override
public BondFuture.Meta metaBean() {
return BondFuture.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 basket of deliverable bonds.
*
* The underling which will be delivered in the future time is chosen from
* a basket of underling securities. This must not be empty.
*
* All of the underlying bonds must have the same notional and currency.
* @return the value of the property, not empty
*/
public ImmutableList getDeliveryBasket() {
return deliveryBasket;
}
//-----------------------------------------------------------------------
/**
* Gets the conversion factor for each bond in the basket.
*
* The price of each underlying security in the basket is rescaled by the conversion factor.
* This must not be empty, and its size must be the same as the size of {@code deliveryBasket}.
*
* All of the underlying bonds must have the same notional and currency.
* @return the value of the property, not empty
*/
public ImmutableList getConversionFactors() {
return conversionFactors;
}
//-----------------------------------------------------------------------
/**
* Gets the last trading date.
*
* The future security is traded until this date.
* @return the value of the property, not null
*/
public LocalDate getLastTradeDate() {
return lastTradeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the first notice date.
*
* The first date on which the delivery of the underlying is authorized.
* @return the value of the property, not null
*/
public LocalDate getFirstNoticeDate() {
return firstNoticeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the last notice date.
*
* The last date on which the delivery of the underlying is authorized.
* @return the value of the property, not null
*/
public LocalDate getLastNoticeDate() {
return lastNoticeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the first delivery date.
*
* The first date on which the underlying is delivered.
*
* If not specified, the date will be computed from {@code firstNoticeDate} by using
* {@code settlementDateOffset} in the first element of the delivery basket
* when the future is resolved.
* @return the optional value of the property, not null
*/
public Optional getFirstDeliveryDate() {
return Optional.ofNullable(firstDeliveryDate);
}
//-----------------------------------------------------------------------
/**
* Gets the last delivery date.
*
* The last date on which the underlying is delivered.
*
* If not specified, the date will be computed from {@code lastNoticeDate} by using
* {@code settlementDateOffset} in the first element of the delivery basket
* when the future is resolved.
* @return the optional value of the property, not null
*/
public Optional getLastDeliveryDate() {
return Optional.ofNullable(lastDeliveryDate);
}
//-----------------------------------------------------------------------
/**
* Gets the definition of how to round the futures price, defaulted to no rounding.
*
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
* @return the value of the property, not null
*/
public Rounding getRounding() {
return rounding;
}
//-----------------------------------------------------------------------
/**
* 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()) {
BondFuture other = (BondFuture) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(deliveryBasket, other.deliveryBasket) &&
JodaBeanUtils.equal(conversionFactors, other.conversionFactors) &&
JodaBeanUtils.equal(lastTradeDate, other.lastTradeDate) &&
JodaBeanUtils.equal(firstNoticeDate, other.firstNoticeDate) &&
JodaBeanUtils.equal(lastNoticeDate, other.lastNoticeDate) &&
JodaBeanUtils.equal(firstDeliveryDate, other.firstDeliveryDate) &&
JodaBeanUtils.equal(lastDeliveryDate, other.lastDeliveryDate) &&
JodaBeanUtils.equal(rounding, other.rounding);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(deliveryBasket);
hash = hash * 31 + JodaBeanUtils.hashCode(conversionFactors);
hash = hash * 31 + JodaBeanUtils.hashCode(lastTradeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(firstNoticeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(lastNoticeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(firstDeliveryDate);
hash = hash * 31 + JodaBeanUtils.hashCode(lastDeliveryDate);
hash = hash * 31 + JodaBeanUtils.hashCode(rounding);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(320);
buf.append("BondFuture{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("deliveryBasket").append('=').append(JodaBeanUtils.toString(deliveryBasket)).append(',').append(' ');
buf.append("conversionFactors").append('=').append(JodaBeanUtils.toString(conversionFactors)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("firstNoticeDate").append('=').append(JodaBeanUtils.toString(firstNoticeDate)).append(',').append(' ');
buf.append("lastNoticeDate").append('=').append(JodaBeanUtils.toString(lastNoticeDate)).append(',').append(' ');
buf.append("firstDeliveryDate").append('=').append(JodaBeanUtils.toString(firstDeliveryDate)).append(',').append(' ');
buf.append("lastDeliveryDate").append('=').append(JodaBeanUtils.toString(lastDeliveryDate)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code BondFuture}.
*/
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", BondFuture.class, SecurityId.class);
/**
* The meta-property for the {@code deliveryBasket} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> deliveryBasket = DirectMetaProperty.ofImmutable(
this, "deliveryBasket", BondFuture.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code conversionFactors} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> conversionFactors = DirectMetaProperty.ofImmutable(
this, "conversionFactors", BondFuture.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code lastTradeDate} property.
*/
private final MetaProperty lastTradeDate = DirectMetaProperty.ofImmutable(
this, "lastTradeDate", BondFuture.class, LocalDate.class);
/**
* The meta-property for the {@code firstNoticeDate} property.
*/
private final MetaProperty firstNoticeDate = DirectMetaProperty.ofImmutable(
this, "firstNoticeDate", BondFuture.class, LocalDate.class);
/**
* The meta-property for the {@code lastNoticeDate} property.
*/
private final MetaProperty lastNoticeDate = DirectMetaProperty.ofImmutable(
this, "lastNoticeDate", BondFuture.class, LocalDate.class);
/**
* The meta-property for the {@code firstDeliveryDate} property.
*/
private final MetaProperty firstDeliveryDate = DirectMetaProperty.ofImmutable(
this, "firstDeliveryDate", BondFuture.class, LocalDate.class);
/**
* The meta-property for the {@code lastDeliveryDate} property.
*/
private final MetaProperty lastDeliveryDate = DirectMetaProperty.ofImmutable(
this, "lastDeliveryDate", BondFuture.class, LocalDate.class);
/**
* The meta-property for the {@code rounding} property.
*/
private final MetaProperty rounding = DirectMetaProperty.ofImmutable(
this, "rounding", BondFuture.class, Rounding.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"deliveryBasket",
"conversionFactors",
"lastTradeDate",
"firstNoticeDate",
"lastNoticeDate",
"firstDeliveryDate",
"lastDeliveryDate",
"rounding");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 1999764186: // deliveryBasket
return deliveryBasket;
case 1655488270: // conversionFactors
return conversionFactors;
case -1041950404: // lastTradeDate
return lastTradeDate;
case -1085415050: // firstNoticeDate
return firstNoticeDate;
case -1060668964: // lastNoticeDate
return lastNoticeDate;
case 1755448466: // firstDeliveryDate
return firstDeliveryDate;
case -233366664: // lastDeliveryDate
return lastDeliveryDate;
case -142444: // rounding
return rounding;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BondFuture.Builder builder() {
return new BondFuture.Builder();
}
@Override
public Class beanType() {
return BondFuture.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 deliveryBasket} property.
* @return the meta-property, not null
*/
public MetaProperty> deliveryBasket() {
return deliveryBasket;
}
/**
* The meta-property for the {@code conversionFactors} property.
* @return the meta-property, not null
*/
public MetaProperty> conversionFactors() {
return conversionFactors;
}
/**
* The meta-property for the {@code lastTradeDate} property.
* @return the meta-property, not null
*/
public MetaProperty lastTradeDate() {
return lastTradeDate;
}
/**
* The meta-property for the {@code firstNoticeDate} property.
* @return the meta-property, not null
*/
public MetaProperty firstNoticeDate() {
return firstNoticeDate;
}
/**
* The meta-property for the {@code lastNoticeDate} property.
* @return the meta-property, not null
*/
public MetaProperty lastNoticeDate() {
return lastNoticeDate;
}
/**
* The meta-property for the {@code firstDeliveryDate} property.
* @return the meta-property, not null
*/
public MetaProperty firstDeliveryDate() {
return firstDeliveryDate;
}
/**
* The meta-property for the {@code lastDeliveryDate} property.
* @return the meta-property, not null
*/
public MetaProperty lastDeliveryDate() {
return lastDeliveryDate;
}
/**
* The meta-property for the {@code rounding} property.
* @return the meta-property, not null
*/
public MetaProperty rounding() {
return rounding;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((BondFuture) bean).getSecurityId();
case 1999764186: // deliveryBasket
return ((BondFuture) bean).getDeliveryBasket();
case 1655488270: // conversionFactors
return ((BondFuture) bean).getConversionFactors();
case -1041950404: // lastTradeDate
return ((BondFuture) bean).getLastTradeDate();
case -1085415050: // firstNoticeDate
return ((BondFuture) bean).getFirstNoticeDate();
case -1060668964: // lastNoticeDate
return ((BondFuture) bean).getLastNoticeDate();
case 1755448466: // firstDeliveryDate
return ((BondFuture) bean).firstDeliveryDate;
case -233366664: // lastDeliveryDate
return ((BondFuture) bean).lastDeliveryDate;
case -142444: // rounding
return ((BondFuture) bean).getRounding();
}
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 BondFuture}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityId securityId;
private List deliveryBasket = ImmutableList.of();
private List conversionFactors = ImmutableList.of();
private LocalDate lastTradeDate;
private LocalDate firstNoticeDate;
private LocalDate lastNoticeDate;
private LocalDate firstDeliveryDate;
private LocalDate lastDeliveryDate;
private Rounding rounding;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(BondFuture beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.deliveryBasket = beanToCopy.getDeliveryBasket();
this.conversionFactors = beanToCopy.getConversionFactors();
this.lastTradeDate = beanToCopy.getLastTradeDate();
this.firstNoticeDate = beanToCopy.getFirstNoticeDate();
this.lastNoticeDate = beanToCopy.getLastNoticeDate();
this.firstDeliveryDate = beanToCopy.firstDeliveryDate;
this.lastDeliveryDate = beanToCopy.lastDeliveryDate;
this.rounding = beanToCopy.getRounding();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 1999764186: // deliveryBasket
return deliveryBasket;
case 1655488270: // conversionFactors
return conversionFactors;
case -1041950404: // lastTradeDate
return lastTradeDate;
case -1085415050: // firstNoticeDate
return firstNoticeDate;
case -1060668964: // lastNoticeDate
return lastNoticeDate;
case 1755448466: // firstDeliveryDate
return firstDeliveryDate;
case -233366664: // lastDeliveryDate
return lastDeliveryDate;
case -142444: // rounding
return rounding;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
this.securityId = (SecurityId) newValue;
break;
case 1999764186: // deliveryBasket
this.deliveryBasket = (List) newValue;
break;
case 1655488270: // conversionFactors
this.conversionFactors = (List) newValue;
break;
case -1041950404: // lastTradeDate
this.lastTradeDate = (LocalDate) newValue;
break;
case -1085415050: // firstNoticeDate
this.firstNoticeDate = (LocalDate) newValue;
break;
case -1060668964: // lastNoticeDate
this.lastNoticeDate = (LocalDate) newValue;
break;
case 1755448466: // firstDeliveryDate
this.firstDeliveryDate = (LocalDate) newValue;
break;
case -233366664: // lastDeliveryDate
this.lastDeliveryDate = (LocalDate) newValue;
break;
case -142444: // rounding
this.rounding = (Rounding) 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 BondFuture build() {
return new BondFuture(
securityId,
deliveryBasket,
conversionFactors,
lastTradeDate,
firstNoticeDate,
lastNoticeDate,
firstDeliveryDate,
lastDeliveryDate,
rounding);
}
//-----------------------------------------------------------------------
/**
* 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 basket of deliverable bonds.
*
* The underling which will be delivered in the future time is chosen from
* a basket of underling securities. This must not be empty.
*
* All of the underlying bonds must have the same notional and currency.
* @param deliveryBasket the new value, not empty
* @return this, for chaining, not null
*/
public Builder deliveryBasket(List deliveryBasket) {
JodaBeanUtils.notEmpty(deliveryBasket, "deliveryBasket");
this.deliveryBasket = deliveryBasket;
return this;
}
/**
* Sets the {@code deliveryBasket} property in the builder
* from an array of objects.
* @param deliveryBasket the new value, not empty
* @return this, for chaining, not null
*/
public Builder deliveryBasket(FixedCouponBond... deliveryBasket) {
return deliveryBasket(ImmutableList.copyOf(deliveryBasket));
}
/**
* Sets the conversion factor for each bond in the basket.
*
* The price of each underlying security in the basket is rescaled by the conversion factor.
* This must not be empty, and its size must be the same as the size of {@code deliveryBasket}.
*
* All of the underlying bonds must have the same notional and currency.
* @param conversionFactors the new value, not empty
* @return this, for chaining, not null
*/
public Builder conversionFactors(List conversionFactors) {
JodaBeanUtils.notEmpty(conversionFactors, "conversionFactors");
this.conversionFactors = conversionFactors;
return this;
}
/**
* Sets the {@code conversionFactors} property in the builder
* from an array of objects.
* @param conversionFactors the new value, not empty
* @return this, for chaining, not null
*/
public Builder conversionFactors(Double... conversionFactors) {
return conversionFactors(ImmutableList.copyOf(conversionFactors));
}
/**
* Sets the last trading date.
*
* The future security is traded until this date.
* @param lastTradeDate the new value, not null
* @return this, for chaining, not null
*/
public Builder lastTradeDate(LocalDate lastTradeDate) {
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
this.lastTradeDate = lastTradeDate;
return this;
}
/**
* Sets the first notice date.
*
* The first date on which the delivery of the underlying is authorized.
* @param firstNoticeDate the new value, not null
* @return this, for chaining, not null
*/
public Builder firstNoticeDate(LocalDate firstNoticeDate) {
JodaBeanUtils.notNull(firstNoticeDate, "firstNoticeDate");
this.firstNoticeDate = firstNoticeDate;
return this;
}
/**
* Sets the last notice date.
*
* The last date on which the delivery of the underlying is authorized.
* @param lastNoticeDate the new value, not null
* @return this, for chaining, not null
*/
public Builder lastNoticeDate(LocalDate lastNoticeDate) {
JodaBeanUtils.notNull(lastNoticeDate, "lastNoticeDate");
this.lastNoticeDate = lastNoticeDate;
return this;
}
/**
* Sets the first delivery date.
*
* The first date on which the underlying is delivered.
*
* If not specified, the date will be computed from {@code firstNoticeDate} by using
* {@code settlementDateOffset} in the first element of the delivery basket
* when the future is resolved.
* @param firstDeliveryDate the new value
* @return this, for chaining, not null
*/
public Builder firstDeliveryDate(LocalDate firstDeliveryDate) {
this.firstDeliveryDate = firstDeliveryDate;
return this;
}
/**
* Sets the last delivery date.
*
* The last date on which the underlying is delivered.
*
* If not specified, the date will be computed from {@code lastNoticeDate} by using
* {@code settlementDateOffset} in the first element of the delivery basket
* when the future is resolved.
* @param lastDeliveryDate the new value
* @return this, for chaining, not null
*/
public Builder lastDeliveryDate(LocalDate lastDeliveryDate) {
this.lastDeliveryDate = lastDeliveryDate;
return this;
}
/**
* Sets the definition of how to round the futures price, defaulted to no rounding.
*
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
* @param rounding the new value, not null
* @return this, for chaining, not null
*/
public Builder rounding(Rounding rounding) {
JodaBeanUtils.notNull(rounding, "rounding");
this.rounding = rounding;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(320);
buf.append("BondFuture.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("deliveryBasket").append('=').append(JodaBeanUtils.toString(deliveryBasket)).append(',').append(' ');
buf.append("conversionFactors").append('=').append(JodaBeanUtils.toString(conversionFactors)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("firstNoticeDate").append('=').append(JodaBeanUtils.toString(firstNoticeDate)).append(',').append(' ');
buf.append("lastNoticeDate").append('=').append(JodaBeanUtils.toString(lastNoticeDate)).append(',').append(' ');
buf.append("firstDeliveryDate").append('=').append(JodaBeanUtils.toString(firstDeliveryDate)).append(',').append(' ');
buf.append("lastDeliveryDate").append('=').append(JodaBeanUtils.toString(lastDeliveryDate)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}