com.opengamma.strata.product.fx.FxNdf 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.fx;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableValidator;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.index.FxIndex;
import com.opengamma.strata.basics.index.FxIndexObservation;
/**
* A Non-Deliverable Forward (NDF).
*
* An NDF is a financial instrument that returns the difference between a fixed FX rate
* agreed at the inception of the trade and the FX rate at maturity.
* It is primarily used to handle FX requirements for currencies that have settlement restrictions.
* For example, the forward may be between USD and CNY (Chinese Yuan).
*/
@BeanDefinition
public final class FxNdf
implements FxProduct, Resolvable, ImmutableBean, Serializable {
/**
* The notional amount in the settlement currency, positive if receiving, negative if paying.
*
* The amount is signed.
* A positive amount indicates the payment is to be received.
* A negative amount indicates the payment is to be paid.
*
* This must be specified in one of the two currencies of the forward.
*/
@PropertyDefinition(validate = "notNull")
private final CurrencyAmount settlementCurrencyNotional;
/**
* The FX rate agreed for the value date at the inception of the trade.
*
* The settlement amount is based on the difference between this rate and the
* rate observed on the fixing date using the {@code index}.
*
* The forward is between the two currencies defined by the rate.
*/
@PropertyDefinition(validate = "notNull")
private final FxRate agreedFxRate;
/**
* The index defining the FX rate to observe on the fixing date.
*
* The index is used to settle the trade by providing the actual FX rate on the fixing date.
* The value of the trade is based on the difference between the actual rate and the agreed rate.
*
* The forward is between the two currencies defined by the index.
*/
@PropertyDefinition(validate = "notNull")
private final FxIndex index;
/**
* The date that the forward settles.
*
* On this date, the settlement amount will be exchanged.
* This date should be a valid business day.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate paymentDate;
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
CurrencyPair pair = index.getCurrencyPair();
if (!pair.contains(settlementCurrencyNotional.getCurrency())) {
throw new IllegalArgumentException("FxIndex and settlement notional currency are incompatible");
}
if (!(pair.equals(agreedFxRate.getPair()) || pair.isInverse(agreedFxRate.getPair()))) {
throw new IllegalArgumentException("FxIndex and agreed FX rate are incompatible");
}
}
//-------------------------------------------------------------------------
@Override
public CurrencyPair getCurrencyPair() {
return index.getCurrencyPair().toConventional();
}
@Override
public ImmutableSet allPaymentCurrencies() {
return ImmutableSet.of(getSettlementCurrency());
}
/**
* Gets the settlement currency.
*
* @return the currency that is to be settled
*/
public Currency getSettlementCurrency() {
return settlementCurrencyNotional.getCurrency();
}
/**
* Gets the non-deliverable currency.
*
* Returns the currency that is not the settlement currency.
*
* @return the currency that is not to be settled
*/
public Currency getNonDeliverableCurrency() {
Currency base = agreedFxRate.getPair().getBase();
return base.equals(getSettlementCurrency()) ? agreedFxRate.getPair().getCounter() : base;
}
//-------------------------------------------------------------------------
@Override
public ResolvedFxNdf resolve(ReferenceData refData) {
LocalDate fixingDate = index.calculateFixingFromMaturity(paymentDate, refData);
return ResolvedFxNdf.builder()
.settlementCurrencyNotional(settlementCurrencyNotional)
.agreedFxRate(agreedFxRate)
.observation(FxIndexObservation.of(index, fixingDate, refData))
.paymentDate(paymentDate)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxNdf}.
* @return the meta-bean, not null
*/
public static FxNdf.Meta meta() {
return FxNdf.Meta.INSTANCE;
}
static {
MetaBean.register(FxNdf.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 FxNdf.Builder builder() {
return new FxNdf.Builder();
}
private FxNdf(
CurrencyAmount settlementCurrencyNotional,
FxRate agreedFxRate,
FxIndex index,
LocalDate paymentDate) {
JodaBeanUtils.notNull(settlementCurrencyNotional, "settlementCurrencyNotional");
JodaBeanUtils.notNull(agreedFxRate, "agreedFxRate");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(paymentDate, "paymentDate");
this.settlementCurrencyNotional = settlementCurrencyNotional;
this.agreedFxRate = agreedFxRate;
this.index = index;
this.paymentDate = paymentDate;
validate();
}
@Override
public FxNdf.Meta metaBean() {
return FxNdf.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount in the settlement currency, positive if receiving, negative if paying.
*
* The amount is signed.
* A positive amount indicates the payment is to be received.
* A negative amount indicates the payment is to be paid.
*
* This must be specified in one of the two currencies of the forward.
* @return the value of the property, not null
*/
public CurrencyAmount getSettlementCurrencyNotional() {
return settlementCurrencyNotional;
}
//-----------------------------------------------------------------------
/**
* Gets the FX rate agreed for the value date at the inception of the trade.
*
* The settlement amount is based on the difference between this rate and the
* rate observed on the fixing date using the {@code index}.
*
* The forward is between the two currencies defined by the rate.
* @return the value of the property, not null
*/
public FxRate getAgreedFxRate() {
return agreedFxRate;
}
//-----------------------------------------------------------------------
/**
* Gets the index defining the FX rate to observe on the fixing date.
*
* The index is used to settle the trade by providing the actual FX rate on the fixing date.
* The value of the trade is based on the difference between the actual rate and the agreed rate.
*
* The forward is between the two currencies defined by the index.
* @return the value of the property, not null
*/
public FxIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the date that the forward settles.
*
* On this date, the settlement amount will be exchanged.
* This date should be a valid business day.
* @return the value of the property, not null
*/
public LocalDate getPaymentDate() {
return paymentDate;
}
//-----------------------------------------------------------------------
/**
* 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()) {
FxNdf other = (FxNdf) obj;
return JodaBeanUtils.equal(settlementCurrencyNotional, other.settlementCurrencyNotional) &&
JodaBeanUtils.equal(agreedFxRate, other.agreedFxRate) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(paymentDate, other.paymentDate);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(settlementCurrencyNotional);
hash = hash * 31 + JodaBeanUtils.hashCode(agreedFxRate);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentDate);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("FxNdf{");
buf.append("settlementCurrencyNotional").append('=').append(JodaBeanUtils.toString(settlementCurrencyNotional)).append(',').append(' ');
buf.append("agreedFxRate").append('=').append(JodaBeanUtils.toString(agreedFxRate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("paymentDate").append('=').append(JodaBeanUtils.toString(paymentDate));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxNdf}.
*/
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 settlementCurrencyNotional} property.
*/
private final MetaProperty settlementCurrencyNotional = DirectMetaProperty.ofImmutable(
this, "settlementCurrencyNotional", FxNdf.class, CurrencyAmount.class);
/**
* The meta-property for the {@code agreedFxRate} property.
*/
private final MetaProperty agreedFxRate = DirectMetaProperty.ofImmutable(
this, "agreedFxRate", FxNdf.class, FxRate.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", FxNdf.class, FxIndex.class);
/**
* The meta-property for the {@code paymentDate} property.
*/
private final MetaProperty paymentDate = DirectMetaProperty.ofImmutable(
this, "paymentDate", FxNdf.class, LocalDate.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"settlementCurrencyNotional",
"agreedFxRate",
"index",
"paymentDate");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 594670010: // settlementCurrencyNotional
return settlementCurrencyNotional;
case 1040357930: // agreedFxRate
return agreedFxRate;
case 100346066: // index
return index;
case -1540873516: // paymentDate
return paymentDate;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FxNdf.Builder builder() {
return new FxNdf.Builder();
}
@Override
public Class beanType() {
return FxNdf.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code settlementCurrencyNotional} property.
* @return the meta-property, not null
*/
public MetaProperty settlementCurrencyNotional() {
return settlementCurrencyNotional;
}
/**
* The meta-property for the {@code agreedFxRate} property.
* @return the meta-property, not null
*/
public MetaProperty agreedFxRate() {
return agreedFxRate;
}
/**
* 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 paymentDate} property.
* @return the meta-property, not null
*/
public MetaProperty paymentDate() {
return paymentDate;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 594670010: // settlementCurrencyNotional
return ((FxNdf) bean).getSettlementCurrencyNotional();
case 1040357930: // agreedFxRate
return ((FxNdf) bean).getAgreedFxRate();
case 100346066: // index
return ((FxNdf) bean).getIndex();
case -1540873516: // paymentDate
return ((FxNdf) bean).getPaymentDate();
}
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 FxNdf}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private CurrencyAmount settlementCurrencyNotional;
private FxRate agreedFxRate;
private FxIndex index;
private LocalDate paymentDate;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FxNdf beanToCopy) {
this.settlementCurrencyNotional = beanToCopy.getSettlementCurrencyNotional();
this.agreedFxRate = beanToCopy.getAgreedFxRate();
this.index = beanToCopy.getIndex();
this.paymentDate = beanToCopy.getPaymentDate();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 594670010: // settlementCurrencyNotional
return settlementCurrencyNotional;
case 1040357930: // agreedFxRate
return agreedFxRate;
case 100346066: // index
return index;
case -1540873516: // paymentDate
return paymentDate;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 594670010: // settlementCurrencyNotional
this.settlementCurrencyNotional = (CurrencyAmount) newValue;
break;
case 1040357930: // agreedFxRate
this.agreedFxRate = (FxRate) newValue;
break;
case 100346066: // index
this.index = (FxIndex) newValue;
break;
case -1540873516: // paymentDate
this.paymentDate = (LocalDate) 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 FxNdf build() {
return new FxNdf(
settlementCurrencyNotional,
agreedFxRate,
index,
paymentDate);
}
//-----------------------------------------------------------------------
/**
* Sets the notional amount in the settlement currency, positive if receiving, negative if paying.
*
* The amount is signed.
* A positive amount indicates the payment is to be received.
* A negative amount indicates the payment is to be paid.
*
* This must be specified in one of the two currencies of the forward.
* @param settlementCurrencyNotional the new value, not null
* @return this, for chaining, not null
*/
public Builder settlementCurrencyNotional(CurrencyAmount settlementCurrencyNotional) {
JodaBeanUtils.notNull(settlementCurrencyNotional, "settlementCurrencyNotional");
this.settlementCurrencyNotional = settlementCurrencyNotional;
return this;
}
/**
* Sets the FX rate agreed for the value date at the inception of the trade.
*
* The settlement amount is based on the difference between this rate and the
* rate observed on the fixing date using the {@code index}.
*
* The forward is between the two currencies defined by the rate.
* @param agreedFxRate the new value, not null
* @return this, for chaining, not null
*/
public Builder agreedFxRate(FxRate agreedFxRate) {
JodaBeanUtils.notNull(agreedFxRate, "agreedFxRate");
this.agreedFxRate = agreedFxRate;
return this;
}
/**
* Sets the index defining the FX rate to observe on the fixing date.
*
* The index is used to settle the trade by providing the actual FX rate on the fixing date.
* The value of the trade is based on the difference between the actual rate and the agreed rate.
*
* The forward is between the two currencies defined by the index.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(FxIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
return this;
}
/**
* Sets the date that the forward settles.
*
* On this date, the settlement amount will be exchanged.
* This date should be a valid business day.
* @param paymentDate the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentDate(LocalDate paymentDate) {
JodaBeanUtils.notNull(paymentDate, "paymentDate");
this.paymentDate = paymentDate;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("FxNdf.Builder{");
buf.append("settlementCurrencyNotional").append('=').append(JodaBeanUtils.toString(settlementCurrencyNotional)).append(',').append(' ');
buf.append("agreedFxRate").append('=').append(JodaBeanUtils.toString(agreedFxRate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("paymentDate").append('=').append(JodaBeanUtils.toString(paymentDate));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}