com.opengamma.strata.product.bond.CapitalIndexedBondTrade Maven / Gradle / Ivy
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/*
* Copyright (C) 2016 - 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.ImmutableDefaults;
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.currency.Payment;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.PortfolioItemInfo;
import com.opengamma.strata.product.PortfolioItemSummary;
import com.opengamma.strata.product.ProductType;
import com.opengamma.strata.product.ResolvableTrade;
import com.opengamma.strata.product.SecuritizedProductTrade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.SummarizerUtils;
import com.opengamma.strata.product.rate.RateComputation;
/**
* A trade representing a capital indexed bond.
*
* A trade in an underlying {@link CapitalIndexedBond}.
*
*
Price
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
*/
@BeanDefinition(constructorScope = "package")
public final class CapitalIndexedBondTrade
implements
SecuritizedProductTrade, ResolvableTrade, ImmutableBean, Serializable {
/**
* The additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* Either the trade or settlement date is required when calling {@link CapitalIndexedBondTrade#resolve(ReferenceData)}.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final TradeInfo info;
/**
* The bond that was traded.
*
* The product captures the contracted financial details of the trade.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CapitalIndexedBond product;
/**
* The quantity that was traded.
*
* This will be positive if buying and negative if selling.
*/
@PropertyDefinition(overrideGet = true)
private final double quantity;
/**
* The clean price at which the bond was traded.
*
* The "clean" price excludes any accrued interest.
*
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
*/
@PropertyDefinition(validate = "ArgChecker.notNegative", overrideGet = true)
private final double price;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.info = TradeInfo.empty();
}
//-------------------------------------------------------------------------
@Override
public CapitalIndexedBondTrade withInfo(PortfolioItemInfo info) {
return new CapitalIndexedBondTrade(TradeInfo.from(info), product, quantity, price);
}
@Override
public CapitalIndexedBondTrade withQuantity(double quantity) {
return new CapitalIndexedBondTrade(info, product, quantity, price);
}
@Override
public CapitalIndexedBondTrade withPrice(double price) {
return new CapitalIndexedBondTrade(info, product, quantity, price);
}
//-------------------------------------------------------------------------
@Override
public PortfolioItemSummary summarize() {
// ID x 200
String description = getSecurityId().getStandardId().getValue() + " x " + SummarizerUtils.value(getQuantity());
return SummarizerUtils.summary(this, ProductType.BOND, description, getCurrency());
}
@Override
public ResolvedCapitalIndexedBondTrade resolve(ReferenceData refData) {
ResolvedCapitalIndexedBond resolvedProduct = product.resolve(refData);
LocalDate settlementDate = calculateSettlementDate(refData);
double accruedInterest = resolvedProduct.accruedInterest(settlementDate) / product.getNotional();
if (settlementDate.isBefore(resolvedProduct.getStartDate())) {
throw new IllegalArgumentException("Settlement date must not be before bond starts");
}
BondPaymentPeriod settlePeriod;
if (product.getYieldConvention().equals(CapitalIndexedBondYieldConvention.GB_IL_FLOAT)) {
settlePeriod = KnownAmountBondPaymentPeriod.of(
Payment.of(product.getCurrency(),
-product.getNotional() * quantity * (price + accruedInterest), settlementDate),
SchedulePeriod.of(
resolvedProduct.getStartDate(),
settlementDate,
product.getAccrualSchedule().getStartDate(),
settlementDate));
} else {
RateComputation rateComputation = product.getRateCalculation().createRateComputation(settlementDate);
settlePeriod = CapitalIndexedBondPaymentPeriod.builder()
.startDate(resolvedProduct.getStartDate())
.unadjustedStartDate(product.getAccrualSchedule().getStartDate())
.endDate(settlementDate)
.rateComputation(rateComputation)
.currency(product.getCurrency())
.notional(-product.getNotional() * quantity * (price + accruedInterest))
.realCoupon(1d)
.build();
}
return ResolvedCapitalIndexedBondTrade.builder()
.info(info)
.product(resolvedProduct)
.quantity(quantity)
.settlement(ResolvedCapitalIndexedBondSettlement.of(settlementDate, price, settlePeriod))
.build();
}
// calculates the settlement date from the trade date if necessary
private LocalDate calculateSettlementDate(ReferenceData refData) {
if (info.getSettlementDate().isPresent()) {
return info.getSettlementDate().get();
}
if (info.getTradeDate().isPresent()) {
LocalDate tradeDate = info.getTradeDate().get();
return product.getSettlementDateOffset().adjust(tradeDate, refData);
}
throw new IllegalStateException("CapitalIndexedBondTrade.resolve() requires either trade date or settlement date");
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CapitalIndexedBondTrade}.
* @return the meta-bean, not null
*/
public static CapitalIndexedBondTrade.Meta meta() {
return CapitalIndexedBondTrade.Meta.INSTANCE;
}
static {
MetaBean.register(CapitalIndexedBondTrade.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 CapitalIndexedBondTrade.Builder builder() {
return new CapitalIndexedBondTrade.Builder();
}
/**
* Creates an instance.
* @param info the value of the property, not null
* @param product the value of the property, not null
* @param quantity the value of the property
* @param price the value of the property
*/
CapitalIndexedBondTrade(
TradeInfo info,
CapitalIndexedBond product,
double quantity,
double price) {
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
ArgChecker.notNegative(price, "price");
this.info = info;
this.product = product;
this.quantity = quantity;
this.price = price;
}
@Override
public CapitalIndexedBondTrade.Meta metaBean() {
return CapitalIndexedBondTrade.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* Either the trade or settlement date is required when calling {@link CapitalIndexedBondTrade#resolve(ReferenceData)}.
* @return the value of the property, not null
*/
@Override
public TradeInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the bond that was traded.
*
* The product captures the contracted financial details of the trade.
* @return the value of the property, not null
*/
@Override
public CapitalIndexedBond getProduct() {
return product;
}
//-----------------------------------------------------------------------
/**
* Gets the quantity that was traded.
*
* This will be positive if buying and negative if selling.
* @return the value of the property
*/
@Override
public double getQuantity() {
return quantity;
}
//-----------------------------------------------------------------------
/**
* Gets the clean price at which the bond was traded.
*
* The "clean" price excludes any accrued interest.
*
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
* @return the value of the property
*/
@Override
public double getPrice() {
return price;
}
//-----------------------------------------------------------------------
/**
* 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()) {
CapitalIndexedBondTrade other = (CapitalIndexedBondTrade) obj;
return JodaBeanUtils.equal(info, other.info) &&
JodaBeanUtils.equal(product, other.product) &&
JodaBeanUtils.equal(quantity, other.quantity) &&
JodaBeanUtils.equal(price, other.price);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(info);
hash = hash * 31 + JodaBeanUtils.hashCode(product);
hash = hash * 31 + JodaBeanUtils.hashCode(quantity);
hash = hash * 31 + JodaBeanUtils.hashCode(price);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("CapitalIndexedBondTrade{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
buf.append("quantity").append('=').append(JodaBeanUtils.toString(quantity)).append(',').append(' ');
buf.append("price").append('=').append(JodaBeanUtils.toString(price));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CapitalIndexedBondTrade}.
*/
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 info} property.
*/
private final MetaProperty info = DirectMetaProperty.ofImmutable(
this, "info", CapitalIndexedBondTrade.class, TradeInfo.class);
/**
* The meta-property for the {@code product} property.
*/
private final MetaProperty product = DirectMetaProperty.ofImmutable(
this, "product", CapitalIndexedBondTrade.class, CapitalIndexedBond.class);
/**
* The meta-property for the {@code quantity} property.
*/
private final MetaProperty quantity = DirectMetaProperty.ofImmutable(
this, "quantity", CapitalIndexedBondTrade.class, Double.TYPE);
/**
* The meta-property for the {@code price} property.
*/
private final MetaProperty price = DirectMetaProperty.ofImmutable(
this, "price", CapitalIndexedBondTrade.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"info",
"product",
"quantity",
"price");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case -309474065: // product
return product;
case -1285004149: // quantity
return quantity;
case 106934601: // price
return price;
}
return super.metaPropertyGet(propertyName);
}
@Override
public CapitalIndexedBondTrade.Builder builder() {
return new CapitalIndexedBondTrade.Builder();
}
@Override
public Class beanType() {
return CapitalIndexedBondTrade.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code info} property.
* @return the meta-property, not null
*/
public MetaProperty info() {
return info;
}
/**
* The meta-property for the {@code product} property.
* @return the meta-property, not null
*/
public MetaProperty product() {
return product;
}
/**
* The meta-property for the {@code quantity} property.
* @return the meta-property, not null
*/
public MetaProperty quantity() {
return quantity;
}
/**
* The meta-property for the {@code price} property.
* @return the meta-property, not null
*/
public MetaProperty price() {
return price;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3237038: // info
return ((CapitalIndexedBondTrade) bean).getInfo();
case -309474065: // product
return ((CapitalIndexedBondTrade) bean).getProduct();
case -1285004149: // quantity
return ((CapitalIndexedBondTrade) bean).getQuantity();
case 106934601: // price
return ((CapitalIndexedBondTrade) bean).getPrice();
}
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 CapitalIndexedBondTrade}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private TradeInfo info;
private CapitalIndexedBond product;
private double quantity;
private double price;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(CapitalIndexedBondTrade beanToCopy) {
this.info = beanToCopy.getInfo();
this.product = beanToCopy.getProduct();
this.quantity = beanToCopy.getQuantity();
this.price = beanToCopy.getPrice();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case -309474065: // product
return product;
case -1285004149: // quantity
return quantity;
case 106934601: // price
return price;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3237038: // info
this.info = (TradeInfo) newValue;
break;
case -309474065: // product
this.product = (CapitalIndexedBond) newValue;
break;
case -1285004149: // quantity
this.quantity = (Double) newValue;
break;
case 106934601: // price
this.price = (Double) 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 CapitalIndexedBondTrade build() {
return new CapitalIndexedBondTrade(
info,
product,
quantity,
price);
}
//-----------------------------------------------------------------------
/**
* Sets the additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* Either the trade or settlement date is required when calling {@link CapitalIndexedBondTrade#resolve(ReferenceData)}.
* @param info the new value, not null
* @return this, for chaining, not null
*/
public Builder info(TradeInfo info) {
JodaBeanUtils.notNull(info, "info");
this.info = info;
return this;
}
/**
* Sets the bond that was traded.
*
* The product captures the contracted financial details of the trade.
* @param product the new value, not null
* @return this, for chaining, not null
*/
public Builder product(CapitalIndexedBond product) {
JodaBeanUtils.notNull(product, "product");
this.product = product;
return this;
}
/**
* Sets the quantity that was traded.
*
* This will be positive if buying and negative if selling.
* @param quantity the new value
* @return this, for chaining, not null
*/
public Builder quantity(double quantity) {
this.quantity = quantity;
return this;
}
/**
* Sets the clean price at which the bond was traded.
*
* The "clean" price excludes any accrued interest.
*
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
* @param price the new value
* @return this, for chaining, not null
*/
public Builder price(double price) {
ArgChecker.notNegative(price, "price");
this.price = price;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("CapitalIndexedBondTrade.Builder{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
buf.append("quantity").append('=').append(JodaBeanUtils.toString(quantity)).append(',').append(' ');
buf.append("price").append('=').append(JodaBeanUtils.toString(price));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}