com.opengamma.strata.product.cms.CmsLeg 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.cms;
import java.io.Serializable;
import java.time.LocalDate;
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.ImmutableConstructor;
import org.joda.beans.gen.ImmutableDefaults;
import org.joda.beans.gen.ImmutablePreBuild;
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.AdjustableDate;
import com.opengamma.strata.basics.date.DateAdjuster;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.index.RateIndex;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.basics.schedule.Schedule;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.basics.schedule.StubConvention;
import com.opengamma.strata.basics.value.ValueSchedule;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.swap.FixingRelativeTo;
import com.opengamma.strata.product.swap.ResolvedSwap;
import com.opengamma.strata.product.swap.Swap;
import com.opengamma.strata.product.swap.SwapIndex;
import com.opengamma.strata.product.swap.type.FixedFloatSwapConvention;
import com.opengamma.strata.product.swap.type.FloatRateSwapLegConvention;
/**
* A CMS leg of a constant maturity swap (CMS) product.
*
* This defines a single CMS leg for CMS or CMS cap/floor.
* The CMS leg of CMS periodically pays coupons based on swap rate, which is the observed
* value of a {@linkplain SwapIndex swap index}.
* A CMS cap/floor instruments are defined as a set of call/put options on successive swap
* rates, creating CMS caplets/floorlets.
*
* The periodic payments in the resolved leg are CMS coupons, CMS caplets or
* CMS floorlets depending on the data in this leg.
* The {@code capSchedule} field is used to represent strike values of individual caplets,
* whereas {@code floorSchedule} is used to represent strike values of individual floorlets.
* Thus at least one of {@code capSchedule} and {@code floorSchedule} must be empty.
* If both the fields are absent, the periodic payments in this leg are CMS coupons.
*/
@BeanDefinition
public final class CmsLeg
implements Resolvable, ImmutableBean, Serializable {
/**
* Whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative swap rates can result in a payment in the opposite direction
* to that implied by this indicator.
*/
@PropertyDefinition(validate = "notNull")
private final PayReceive payReceive;
/**
* The periodic payment schedule.
*
* This is used to define the periodic payment periods.
* These are used directly or indirectly to determine other dates in the leg.
*/
@PropertyDefinition(validate = "notNull")
private final PeriodicSchedule paymentSchedule;
/**
* The offset of payment from the base calculation period date.
*
* The offset is applied to the adjusted end date of each payment period.
* Offset can be based on calendar days or business days.
*
* When building, this will default to the payment offset of the swap convention in the swap index if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment paymentDateOffset;
/**
* The currency of the leg associated with the notional.
*
* This is the currency of the leg and the currency that swap rate calculation is made in.
* The amounts of the notional are expressed in terms of this currency.
*/
@PropertyDefinition(validate = "notNull")
private final Currency currency;
/**
* The notional amount, must be non-negative.
*
* The notional amount applicable during the period.
* The currency of the notional is specified by {@code currency}.
*/
@PropertyDefinition(validate = "notNull")
private final ValueSchedule notional;
/**
* The swap index.
*
* The swap rate to be paid is the observed value of this index.
*/
@PropertyDefinition(validate = "notNull")
private final SwapIndex index;
/**
* The base date that each fixing is made relative to, defaulted to 'PeriodStart'.
*
* The fixing date is relative to either the start or end of each period.
*/
@PropertyDefinition(validate = "notNull")
private final FixingRelativeTo fixingRelativeTo;
/**
* The offset of the fixing date from each adjusted reset date.
*
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
*
* When building, this will default to the fixing offset of the swap convention in the swap index if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment fixingDateOffset;
/**
* The day count convention.
*
* This is used to convert dates to a numerical value.
*
* When building, this will default to the day count of the swap convention in the swap index if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* The cap schedule, optional.
*
* This defines the strike value of a cap as an initial value and a list of adjustments.
* Thus individual caplets may have different strike values.
* The cap rate is only allowed to change at payment period boundaries.
*
* If the product is not a cap, the cap schedule will be absent.
*/
@PropertyDefinition(get = "optional")
private final ValueSchedule capSchedule;
/**
* The floor schedule, optional.
*
* This defines the strike value of a floor as an initial value and a list of adjustments.
* Thus individual floorlets may have different strike values.
* The floor rate is only allowed to change at payment period boundaries.
*
* If the product is not a floor, the floor schedule will be absent.
*/
@PropertyDefinition(get = "optional")
private final ValueSchedule floorSchedule;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.fixingRelativeTo = FixingRelativeTo.PERIOD_START;
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.index != null) {
FixedFloatSwapConvention swapConvention = builder.index.getTemplate().getConvention();
FloatRateSwapLegConvention floatLeg = builder.index.getTemplate().getConvention().getFloatingLeg();
if (builder.fixingDateOffset == null) {
DaysAdjustment offset = swapConvention.getSpotDateOffset();
builder.fixingDateOffset = offset.toBuilder().days(-offset.getDays()).build();
}
if (builder.dayCount == null) {
builder.dayCount = floatLeg.getDayCount();
}
if (builder.paymentDateOffset == null) {
builder.paymentDateOffset = floatLeg.getPaymentDateOffset();
}
if (builder.currency == null) {
builder.currency = floatLeg.getCurrency();
}
}
}
@ImmutableConstructor
private CmsLeg(
PayReceive payReceive,
PeriodicSchedule paymentSchedule,
DaysAdjustment paymentDateOffset,
Currency currency,
ValueSchedule notional,
SwapIndex index,
FixingRelativeTo fixingRelativeTo,
DaysAdjustment fixingDateOffset,
DayCount dayCount,
ValueSchedule capSchedule,
ValueSchedule floorSchedule) {
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.paymentSchedule = ArgChecker.notNull(paymentSchedule, "paymentSchedule");
this.paymentDateOffset = paymentDateOffset;
this.currency = currency;
this.notional = ArgChecker.notNull(notional, "notional");
this.index = ArgChecker.notNull(index, "index");
this.fixingRelativeTo = fixingRelativeTo;
this.fixingDateOffset = fixingDateOffset;
this.dayCount = dayCount;
this.capSchedule = capSchedule;
this.floorSchedule = floorSchedule;
ArgChecker.isTrue(!this.getPaymentSchedule().getStubConvention().isPresent() ||
this.getPaymentSchedule().getStubConvention().get().equals(StubConvention.NONE), "Stub period is not allowed");
ArgChecker.isFalse(this.getCapSchedule().isPresent() && this.getFloorSchedule().isPresent(),
"At least one of cap schedule and floor schedule should be empty");
}
//-------------------------------------------------------------------------
/**
* Gets the accrual start date of the leg.
*
* This is the first accrual date in the leg, often known as the effective date.
*
* @return the start date of the leg
*/
public AdjustableDate getStartDate() {
return paymentSchedule.calculatedStartDate();
}
/**
* Gets the accrual end date of the leg.
*
* This is the last accrual date in the leg, often known as the termination date.
*
* @return the end date of the leg
*/
public AdjustableDate getEndDate() {
return paymentSchedule.calculatedEndDate();
}
/**
* Gets the underlying Rate index that the leg is based on.
*
* @return the index
*/
public RateIndex getUnderlyingIndex() {
return index.getTemplate().getConvention().getFloatingLeg().getIndex();
}
//-------------------------------------------------------------------------
@Override
public ResolvedCmsLeg resolve(ReferenceData refData) {
Schedule adjustedSchedule = paymentSchedule.createSchedule(refData);
DoubleArray cap = getCapSchedule().isPresent() ? capSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray floor = getFloorSchedule().isPresent() ? floorSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray notionals = notional.resolveValues(adjustedSchedule);
DateAdjuster fixingDateAdjuster = fixingDateOffset.resolve(refData);
DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData);
ImmutableList.Builder cmsPeriodsBuild = ImmutableList.builder();
for (int i = 0; i < adjustedSchedule.size(); i++) {
SchedulePeriod period = adjustedSchedule.getPeriod(i);
LocalDate fixingDate = fixingDateAdjuster.adjust(
(fixingRelativeTo.equals(FixingRelativeTo.PERIOD_START)) ? period.getStartDate() : period.getEndDate());
LocalDate paymentDate = paymentDateAdjuster.adjust(period.getEndDate());
double signedNotional = payReceive.normalize(notionals.get(i));
cmsPeriodsBuild.add(CmsPeriod.builder()
.currency(currency)
.notional(signedNotional)
.startDate(period.getStartDate())
.endDate(period.getEndDate())
.unadjustedStartDate(period.getUnadjustedStartDate())
.unadjustedEndDate(period.getUnadjustedEndDate())
.yearFraction(period.yearFraction(dayCount, adjustedSchedule))
.paymentDate(paymentDate)
.fixingDate(fixingDate)
.caplet(cap != null ? cap.get(i) : null)
.floorlet(floor != null ? floor.get(i) : null)
.dayCount(dayCount)
.index(index)
.underlyingSwap(createUnderlyingSwap(fixingDate, refData))
.build());
}
return ResolvedCmsLeg.builder()
.cmsPeriods(cmsPeriodsBuild.build())
.payReceive(payReceive)
.build();
}
// creates and resolves the underlying swap
private ResolvedSwap createUnderlyingSwap(LocalDate fixingDate, ReferenceData refData) {
FixedFloatSwapConvention conv = index.getTemplate().getConvention();
LocalDate effectiveDate = conv.calculateSpotDateFromTradeDate(fixingDate, refData);
LocalDate maturityDate = effectiveDate.plus(index.getTemplate().getTenor());
Swap swap = conv.toTrade(fixingDate, effectiveDate, maturityDate, BuySell.BUY, 1d, 1d).getProduct();
return swap.resolve(refData);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CmsLeg}.
* @return the meta-bean, not null
*/
public static CmsLeg.Meta meta() {
return CmsLeg.Meta.INSTANCE;
}
static {
MetaBean.register(CmsLeg.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 CmsLeg.Builder builder() {
return new CmsLeg.Builder();
}
@Override
public CmsLeg.Meta metaBean() {
return CmsLeg.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative swap rates can result in a payment in the opposite direction
* to that implied by this indicator.
* @return the value of the property, not null
*/
public PayReceive getPayReceive() {
return payReceive;
}
//-----------------------------------------------------------------------
/**
* Gets the periodic payment schedule.
*
* This is used to define the periodic payment periods.
* These are used directly or indirectly to determine other dates in the leg.
* @return the value of the property, not null
*/
public PeriodicSchedule getPaymentSchedule() {
return paymentSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the offset of payment from the base calculation period date.
*
* The offset is applied to the adjusted end date of each payment period.
* Offset can be based on calendar days or business days.
*
* When building, this will default to the payment offset of the swap convention in the swap index if not specified.
* @return the value of the property, not null
*/
public DaysAdjustment getPaymentDateOffset() {
return paymentDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the leg associated with the notional.
*
* This is the currency of the leg and the currency that swap rate calculation is made in.
* The amounts of the notional are expressed in terms of this currency.
* @return the value of the property, not null
*/
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount, must be non-negative.
*
* The notional amount applicable during the period.
* The currency of the notional is specified by {@code currency}.
* @return the value of the property, not null
*/
public ValueSchedule getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the swap index.
*
* The swap rate to be paid is the observed value of this index.
* @return the value of the property, not null
*/
public SwapIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the base date that each fixing is made relative to, defaulted to 'PeriodStart'.
*
* The fixing date is relative to either the start or end of each period.
* @return the value of the property, not null
*/
public FixingRelativeTo getFixingRelativeTo() {
return fixingRelativeTo;
}
//-----------------------------------------------------------------------
/**
* Gets the offset of the fixing date from each adjusted reset date.
*
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
*
* When building, this will default to the fixing offset of the swap convention in the swap index if not specified.
* @return the value of the property, not null
*/
public DaysAdjustment getFixingDateOffset() {
return fixingDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention.
*
* This is used to convert dates to a numerical value.
*
* When building, this will default to the day count of the swap convention in the swap index if not specified.
* @return the value of the property, not null
*/
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets the cap schedule, optional.
*
* This defines the strike value of a cap as an initial value and a list of adjustments.
* Thus individual caplets may have different strike values.
* The cap rate is only allowed to change at payment period boundaries.
*
* If the product is not a cap, the cap schedule will be absent.
* @return the optional value of the property, not null
*/
public Optional getCapSchedule() {
return Optional.ofNullable(capSchedule);
}
//-----------------------------------------------------------------------
/**
* Gets the floor schedule, optional.
*
* This defines the strike value of a floor as an initial value and a list of adjustments.
* Thus individual floorlets may have different strike values.
* The floor rate is only allowed to change at payment period boundaries.
*
* If the product is not a floor, the floor schedule will be absent.
* @return the optional value of the property, not null
*/
public Optional getFloorSchedule() {
return Optional.ofNullable(floorSchedule);
}
//-----------------------------------------------------------------------
/**
* 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()) {
CmsLeg other = (CmsLeg) obj;
return JodaBeanUtils.equal(payReceive, other.payReceive) &&
JodaBeanUtils.equal(paymentSchedule, other.paymentSchedule) &&
JodaBeanUtils.equal(paymentDateOffset, other.paymentDateOffset) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(fixingRelativeTo, other.fixingRelativeTo) &&
JodaBeanUtils.equal(fixingDateOffset, other.fixingDateOffset) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(capSchedule, other.capSchedule) &&
JodaBeanUtils.equal(floorSchedule, other.floorSchedule);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(fixingRelativeTo);
hash = hash * 31 + JodaBeanUtils.hashCode(fixingDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(capSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(floorSchedule);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(384);
buf.append("CmsLeg{");
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
buf.append("paymentDateOffset").append('=').append(JodaBeanUtils.toString(paymentDateOffset)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("fixingRelativeTo").append('=').append(JodaBeanUtils.toString(fixingRelativeTo)).append(',').append(' ');
buf.append("fixingDateOffset").append('=').append(JodaBeanUtils.toString(fixingDateOffset)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("capSchedule").append('=').append(JodaBeanUtils.toString(capSchedule)).append(',').append(' ');
buf.append("floorSchedule").append('=').append(JodaBeanUtils.toString(floorSchedule));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CmsLeg}.
*/
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 payReceive} property.
*/
private final MetaProperty payReceive = DirectMetaProperty.ofImmutable(
this, "payReceive", CmsLeg.class, PayReceive.class);
/**
* The meta-property for the {@code paymentSchedule} property.
*/
private final MetaProperty paymentSchedule = DirectMetaProperty.ofImmutable(
this, "paymentSchedule", CmsLeg.class, PeriodicSchedule.class);
/**
* The meta-property for the {@code paymentDateOffset} property.
*/
private final MetaProperty paymentDateOffset = DirectMetaProperty.ofImmutable(
this, "paymentDateOffset", CmsLeg.class, DaysAdjustment.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", CmsLeg.class, Currency.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", CmsLeg.class, ValueSchedule.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", CmsLeg.class, SwapIndex.class);
/**
* The meta-property for the {@code fixingRelativeTo} property.
*/
private final MetaProperty fixingRelativeTo = DirectMetaProperty.ofImmutable(
this, "fixingRelativeTo", CmsLeg.class, FixingRelativeTo.class);
/**
* The meta-property for the {@code fixingDateOffset} property.
*/
private final MetaProperty fixingDateOffset = DirectMetaProperty.ofImmutable(
this, "fixingDateOffset", CmsLeg.class, DaysAdjustment.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", CmsLeg.class, DayCount.class);
/**
* The meta-property for the {@code capSchedule} property.
*/
private final MetaProperty capSchedule = DirectMetaProperty.ofImmutable(
this, "capSchedule", CmsLeg.class, ValueSchedule.class);
/**
* The meta-property for the {@code floorSchedule} property.
*/
private final MetaProperty floorSchedule = DirectMetaProperty.ofImmutable(
this, "floorSchedule", CmsLeg.class, ValueSchedule.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"payReceive",
"paymentSchedule",
"paymentDateOffset",
"currency",
"notional",
"index",
"fixingRelativeTo",
"fixingDateOffset",
"dayCount",
"capSchedule",
"floorSchedule");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case -1499086147: // paymentSchedule
return paymentSchedule;
case -716438393: // paymentDateOffset
return paymentDateOffset;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case 100346066: // index
return index;
case 232554996: // fixingRelativeTo
return fixingRelativeTo;
case 873743726: // fixingDateOffset
return fixingDateOffset;
case 1905311443: // dayCount
return dayCount;
case -596212599: // capSchedule
return capSchedule;
case -1562227005: // floorSchedule
return floorSchedule;
}
return super.metaPropertyGet(propertyName);
}
@Override
public CmsLeg.Builder builder() {
return new CmsLeg.Builder();
}
@Override
public Class beanType() {
return CmsLeg.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code payReceive} property.
* @return the meta-property, not null
*/
public MetaProperty payReceive() {
return payReceive;
}
/**
* The meta-property for the {@code paymentSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty paymentSchedule() {
return paymentSchedule;
}
/**
* The meta-property for the {@code paymentDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty paymentDateOffset() {
return paymentDateOffset;
}
/**
* 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 notional} property.
* @return the meta-property, not null
*/
public MetaProperty notional() {
return notional;
}
/**
* 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 fixingRelativeTo} property.
* @return the meta-property, not null
*/
public MetaProperty fixingRelativeTo() {
return fixingRelativeTo;
}
/**
* The meta-property for the {@code fixingDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty fixingDateOffset() {
return fixingDateOffset;
}
/**
* 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 capSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty capSchedule() {
return capSchedule;
}
/**
* The meta-property for the {@code floorSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty floorSchedule() {
return floorSchedule;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return ((CmsLeg) bean).getPayReceive();
case -1499086147: // paymentSchedule
return ((CmsLeg) bean).getPaymentSchedule();
case -716438393: // paymentDateOffset
return ((CmsLeg) bean).getPaymentDateOffset();
case 575402001: // currency
return ((CmsLeg) bean).getCurrency();
case 1585636160: // notional
return ((CmsLeg) bean).getNotional();
case 100346066: // index
return ((CmsLeg) bean).getIndex();
case 232554996: // fixingRelativeTo
return ((CmsLeg) bean).getFixingRelativeTo();
case 873743726: // fixingDateOffset
return ((CmsLeg) bean).getFixingDateOffset();
case 1905311443: // dayCount
return ((CmsLeg) bean).getDayCount();
case -596212599: // capSchedule
return ((CmsLeg) bean).capSchedule;
case -1562227005: // floorSchedule
return ((CmsLeg) bean).floorSchedule;
}
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 CmsLeg}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private PayReceive payReceive;
private PeriodicSchedule paymentSchedule;
private DaysAdjustment paymentDateOffset;
private Currency currency;
private ValueSchedule notional;
private SwapIndex index;
private FixingRelativeTo fixingRelativeTo;
private DaysAdjustment fixingDateOffset;
private DayCount dayCount;
private ValueSchedule capSchedule;
private ValueSchedule floorSchedule;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(CmsLeg beanToCopy) {
this.payReceive = beanToCopy.getPayReceive();
this.paymentSchedule = beanToCopy.getPaymentSchedule();
this.paymentDateOffset = beanToCopy.getPaymentDateOffset();
this.currency = beanToCopy.getCurrency();
this.notional = beanToCopy.getNotional();
this.index = beanToCopy.getIndex();
this.fixingRelativeTo = beanToCopy.getFixingRelativeTo();
this.fixingDateOffset = beanToCopy.getFixingDateOffset();
this.dayCount = beanToCopy.getDayCount();
this.capSchedule = beanToCopy.capSchedule;
this.floorSchedule = beanToCopy.floorSchedule;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case -1499086147: // paymentSchedule
return paymentSchedule;
case -716438393: // paymentDateOffset
return paymentDateOffset;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case 100346066: // index
return index;
case 232554996: // fixingRelativeTo
return fixingRelativeTo;
case 873743726: // fixingDateOffset
return fixingDateOffset;
case 1905311443: // dayCount
return dayCount;
case -596212599: // capSchedule
return capSchedule;
case -1562227005: // floorSchedule
return floorSchedule;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
this.payReceive = (PayReceive) newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule = (PeriodicSchedule) newValue;
break;
case -716438393: // paymentDateOffset
this.paymentDateOffset = (DaysAdjustment) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 1585636160: // notional
this.notional = (ValueSchedule) newValue;
break;
case 100346066: // index
this.index = (SwapIndex) newValue;
break;
case 232554996: // fixingRelativeTo
this.fixingRelativeTo = (FixingRelativeTo) newValue;
break;
case 873743726: // fixingDateOffset
this.fixingDateOffset = (DaysAdjustment) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -596212599: // capSchedule
this.capSchedule = (ValueSchedule) newValue;
break;
case -1562227005: // floorSchedule
this.floorSchedule = (ValueSchedule) 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 CmsLeg build() {
preBuild(this);
return new CmsLeg(
payReceive,
paymentSchedule,
paymentDateOffset,
currency,
notional,
index,
fixingRelativeTo,
fixingDateOffset,
dayCount,
capSchedule,
floorSchedule);
}
//-----------------------------------------------------------------------
/**
* Sets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative swap rates can result in a payment in the opposite direction
* to that implied by this indicator.
* @param payReceive the new value, not null
* @return this, for chaining, not null
*/
public Builder payReceive(PayReceive payReceive) {
JodaBeanUtils.notNull(payReceive, "payReceive");
this.payReceive = payReceive;
return this;
}
/**
* Sets the periodic payment schedule.
*
* This is used to define the periodic payment periods.
* These are used directly or indirectly to determine other dates in the leg.
* @param paymentSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentSchedule(PeriodicSchedule paymentSchedule) {
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
this.paymentSchedule = paymentSchedule;
return this;
}
/**
* Sets the offset of payment from the base calculation period date.
*
* The offset is applied to the adjusted end date of each payment period.
* Offset can be based on calendar days or business days.
*
* When building, this will default to the payment offset of the swap convention in the swap index if not specified.
* @param paymentDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentDateOffset(DaysAdjustment paymentDateOffset) {
JodaBeanUtils.notNull(paymentDateOffset, "paymentDateOffset");
this.paymentDateOffset = paymentDateOffset;
return this;
}
/**
* Sets the currency of the leg associated with the notional.
*
* This is the currency of the leg and the currency that swap rate calculation is made in.
* The amounts of the notional are expressed in terms of this currency.
* @param currency the new value, not null
* @return this, for chaining, not null
*/
public Builder currency(Currency currency) {
JodaBeanUtils.notNull(currency, "currency");
this.currency = currency;
return this;
}
/**
* Sets the notional amount, must be non-negative.
*
* The notional amount applicable during the period.
* The currency of the notional is specified by {@code currency}.
* @param notional the new value, not null
* @return this, for chaining, not null
*/
public Builder notional(ValueSchedule notional) {
JodaBeanUtils.notNull(notional, "notional");
this.notional = notional;
return this;
}
/**
* Sets the swap index.
*
* The swap rate to be paid is the observed value of this index.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(SwapIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
return this;
}
/**
* Sets the base date that each fixing is made relative to, defaulted to 'PeriodStart'.
*
* The fixing date is relative to either the start or end of each period.
* @param fixingRelativeTo the new value, not null
* @return this, for chaining, not null
*/
public Builder fixingRelativeTo(FixingRelativeTo fixingRelativeTo) {
JodaBeanUtils.notNull(fixingRelativeTo, "fixingRelativeTo");
this.fixingRelativeTo = fixingRelativeTo;
return this;
}
/**
* Sets the offset of the fixing date from each adjusted reset date.
*
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
*
* When building, this will default to the fixing offset of the swap convention in the swap index if not specified.
* @param fixingDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder fixingDateOffset(DaysAdjustment fixingDateOffset) {
JodaBeanUtils.notNull(fixingDateOffset, "fixingDateOffset");
this.fixingDateOffset = fixingDateOffset;
return this;
}
/**
* Sets the day count convention.
*
* This is used to convert dates to a numerical value.
*
* When building, this will default to the day count of the swap convention in the swap index if not specified.
* @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 the cap schedule, optional.
*
* This defines the strike value of a cap as an initial value and a list of adjustments.
* Thus individual caplets may have different strike values.
* The cap rate is only allowed to change at payment period boundaries.
*
* If the product is not a cap, the cap schedule will be absent.
* @param capSchedule the new value
* @return this, for chaining, not null
*/
public Builder capSchedule(ValueSchedule capSchedule) {
this.capSchedule = capSchedule;
return this;
}
/**
* Sets the floor schedule, optional.
*
* This defines the strike value of a floor as an initial value and a list of adjustments.
* Thus individual floorlets may have different strike values.
* The floor rate is only allowed to change at payment period boundaries.
*
* If the product is not a floor, the floor schedule will be absent.
* @param floorSchedule the new value
* @return this, for chaining, not null
*/
public Builder floorSchedule(ValueSchedule floorSchedule) {
this.floorSchedule = floorSchedule;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(384);
buf.append("CmsLeg.Builder{");
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
buf.append("paymentDateOffset").append('=').append(JodaBeanUtils.toString(paymentDateOffset)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("fixingRelativeTo").append('=').append(JodaBeanUtils.toString(fixingRelativeTo)).append(',').append(' ');
buf.append("fixingDateOffset").append('=').append(JodaBeanUtils.toString(fixingDateOffset)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("capSchedule").append('=').append(JodaBeanUtils.toString(capSchedule)).append(',').append(' ');
buf.append("floorSchedule").append('=').append(JodaBeanUtils.toString(floorSchedule));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}