com.opengamma.strata.product.credit.CdsTrade 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.credit;
import java.io.Serializable;
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.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.AdjustablePayment;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.product.PortfolioItemInfo;
import com.opengamma.strata.product.PortfolioItemSummary;
import com.opengamma.strata.product.ProductTrade;
import com.opengamma.strata.product.ProductType;
import com.opengamma.strata.product.ResolvableTrade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.SummarizerUtils;
/**
* A trade in a single-name credit default swap (CDS).
*
* An Over-The-Counter (OTC) trade in a {@link Cds}.
*
* A CDS is a financial instrument where the protection seller agrees to compensate
* the protection buyer when the reference entity suffers a default.
* The protection seller is paid premium regularly from the protection buyer until
* the expiry of the CDS contract or the reference entity defaults before the expiry.
*/
@BeanDefinition
public final class CdsTrade
implements ProductTrade, ResolvableTrade, ImmutableBean, Serializable {
/**
* The additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final TradeInfo info;
/**
* The CDS product that was agreed when the trade occurred.
*
* The product captures the contracted financial details of the trade.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Cds product;
/**
* The upfront fee of the product.
*
* This specifies a single amount payable by the buyer to the seller.
* Thus the sign must be compatible with the product Pay/Receive flag.
*
* Some CDSs, especially legacy products, are traded at par and the upfront fee is not paid.
*/
@PropertyDefinition(get = "optional")
private final AdjustablePayment upfrontFee;
//-------------------------------------------------------------------------
@Override
public CdsTrade withInfo(PortfolioItemInfo info) {
return new CdsTrade(TradeInfo.from(info), product, upfrontFee);
}
//-------------------------------------------------------------------------
@Override
public PortfolioItemSummary summarize() {
// 2Y Buy USD 1mm ENTITY / 1.5% : 21Jan18-21Jan20
PeriodicSchedule paymentSchedule = product.getPaymentSchedule();
StringBuilder buf = new StringBuilder(96);
buf.append(SummarizerUtils.datePeriod(paymentSchedule.getStartDate(), paymentSchedule.getEndDate()));
buf.append(' ');
buf.append(product.getBuySell());
buf.append(' ');
buf.append(SummarizerUtils.amount(product.getCurrency(), product.getNotional()));
buf.append(' ');
buf.append(product.getLegalEntityId().getValue());
buf.append(" / ");
buf.append(SummarizerUtils.percent(product.getFixedRate()));
buf.append(" : ");
buf.append(SummarizerUtils.dateRange(paymentSchedule.getStartDate(), paymentSchedule.getEndDate()));
return SummarizerUtils.summary(this, ProductType.CDS, buf.toString(), product.getCurrency());
}
@Override
public ResolvedCdsTrade resolve(ReferenceData refData) {
return ResolvedCdsTrade.builder()
.info(info)
.product(product.resolve(refData))
.upfrontFee(upfrontFee != null ? upfrontFee.resolve(refData) : null)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CdsTrade}.
* @return the meta-bean, not null
*/
public static CdsTrade.Meta meta() {
return CdsTrade.Meta.INSTANCE;
}
static {
MetaBean.register(CdsTrade.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 CdsTrade.Builder builder() {
return new CdsTrade.Builder();
}
private CdsTrade(
TradeInfo info,
Cds product,
AdjustablePayment upfrontFee) {
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.upfrontFee = upfrontFee;
}
@Override
public CdsTrade.Meta metaBean() {
return CdsTrade.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* @return the value of the property, not null
*/
@Override
public TradeInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the CDS product that was agreed when the trade occurred.
*
* The product captures the contracted financial details of the trade.
* @return the value of the property, not null
*/
@Override
public Cds getProduct() {
return product;
}
//-----------------------------------------------------------------------
/**
* Gets the upfront fee of the product.
*
* This specifies a single amount payable by the buyer to the seller.
* Thus the sign must be compatible with the product Pay/Receive flag.
*
* Some CDSs, especially legacy products, are traded at par and the upfront fee is not paid.
* @return the optional value of the property, not null
*/
public Optional getUpfrontFee() {
return Optional.ofNullable(upfrontFee);
}
//-----------------------------------------------------------------------
/**
* 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()) {
CdsTrade other = (CdsTrade) obj;
return JodaBeanUtils.equal(info, other.info) &&
JodaBeanUtils.equal(product, other.product) &&
JodaBeanUtils.equal(upfrontFee, other.upfrontFee);
}
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(upfrontFee);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("CdsTrade{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
buf.append("upfrontFee").append('=').append(JodaBeanUtils.toString(upfrontFee));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CdsTrade}.
*/
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", CdsTrade.class, TradeInfo.class);
/**
* The meta-property for the {@code product} property.
*/
private final MetaProperty product = DirectMetaProperty.ofImmutable(
this, "product", CdsTrade.class, Cds.class);
/**
* The meta-property for the {@code upfrontFee} property.
*/
private final MetaProperty upfrontFee = DirectMetaProperty.ofImmutable(
this, "upfrontFee", CdsTrade.class, AdjustablePayment.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"info",
"product",
"upfrontFee");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case -309474065: // product
return product;
case 963468344: // upfrontFee
return upfrontFee;
}
return super.metaPropertyGet(propertyName);
}
@Override
public CdsTrade.Builder builder() {
return new CdsTrade.Builder();
}
@Override
public Class beanType() {
return CdsTrade.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 upfrontFee} property.
* @return the meta-property, not null
*/
public MetaProperty upfrontFee() {
return upfrontFee;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3237038: // info
return ((CdsTrade) bean).getInfo();
case -309474065: // product
return ((CdsTrade) bean).getProduct();
case 963468344: // upfrontFee
return ((CdsTrade) bean).upfrontFee;
}
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 CdsTrade}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private TradeInfo info;
private Cds product;
private AdjustablePayment upfrontFee;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(CdsTrade beanToCopy) {
this.info = beanToCopy.getInfo();
this.product = beanToCopy.getProduct();
this.upfrontFee = beanToCopy.upfrontFee;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case -309474065: // product
return product;
case 963468344: // upfrontFee
return upfrontFee;
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 = (Cds) newValue;
break;
case 963468344: // upfrontFee
this.upfrontFee = (AdjustablePayment) 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 CdsTrade build() {
return new CdsTrade(
info,
product,
upfrontFee);
}
//-----------------------------------------------------------------------
/**
* Sets the additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* @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 CDS product that was agreed when the trade occurred.
*
* 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(Cds product) {
JodaBeanUtils.notNull(product, "product");
this.product = product;
return this;
}
/**
* Sets the upfront fee of the product.
*
* This specifies a single amount payable by the buyer to the seller.
* Thus the sign must be compatible with the product Pay/Receive flag.
*
* Some CDSs, especially legacy products, are traded at par and the upfront fee is not paid.
* @param upfrontFee the new value
* @return this, for chaining, not null
*/
public Builder upfrontFee(AdjustablePayment upfrontFee) {
this.upfrontFee = upfrontFee;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("CdsTrade.Builder{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
buf.append("upfrontFee").append('=').append(JodaBeanUtils.toString(upfrontFee));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}