com.opengamma.strata.product.index.OvernightFutureTrade Maven / Gradle / Ivy
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/*
* Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index;
import java.io.Serializable;
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.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.opengamma.strata.basics.ReferenceData;
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.TradedPrice;
import com.opengamma.strata.product.common.SummarizerUtils;
/**
* A trade representing a futures contract based on an Overnight index.
*
* A trade in an underlying {@link OvernightFuture}.
*
* For example, the purchase of 2 contracts of the widely traded "Fed Fund futures contract".
*
*
Price
* The price of an Overnight rate future is based on the interest rate of the underlying index.
* It is defined as {@code (100 - percentRate)}.
*
* Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
*/
@BeanDefinition(constructorScope = "package")
public final class OvernightFutureTrade
implements
SecuritizedProductTrade, ResolvableTrade, ImmutableBean, Serializable {
/**
* The additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* The trade date is required when calling {@link OvernightFutureTrade#resolve(ReferenceData)}.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final TradeInfo info;
/**
* The future that was traded.
*
* The product captures the contracted financial details of the trade.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final OvernightFuture product;
/**
* The quantity that was traded.
*
* This is the number of contracts that were traded.
* This will be positive if buying and negative if selling.
*/
@PropertyDefinition(overrideGet = true)
private final double quantity;
/**
* The price that was traded, in decimal form.
*
* This is the price agreed when the trade occurred.
*
* Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which 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();
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(price < 2, "Price must be in decimal form, such as 0.993 for a 0.7% rate, but was: {}", price);
}
//-------------------------------------------------------------------------
@Override
public OvernightFutureTrade withInfo(PortfolioItemInfo info) {
return new OvernightFutureTrade(TradeInfo.from(info), product, quantity, price);
}
@Override
public OvernightFutureTrade withQuantity(double quantity) {
return new OvernightFutureTrade(info, product, quantity, price);
}
@Override
public OvernightFutureTrade withPrice(double price) {
return new OvernightFutureTrade(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.OVERNIGHT_FUTURE, description, getCurrency());
}
@Override
public ResolvedOvernightFutureTrade resolve(ReferenceData refData) {
if (!info.getTradeDate().isPresent()) {
throw new IllegalArgumentException("Trade date on TradeInfo must be present");
}
ResolvedOvernightFuture resolved = getProduct().resolve(refData);
TradedPrice tradedPrice = TradedPrice.of(info.getTradeDate().get(), price);
return new ResolvedOvernightFutureTrade(info, resolved, quantity, tradedPrice);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code OvernightFutureTrade}.
* @return the meta-bean, not null
*/
public static OvernightFutureTrade.Meta meta() {
return OvernightFutureTrade.Meta.INSTANCE;
}
static {
MetaBean.register(OvernightFutureTrade.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 OvernightFutureTrade.Builder builder() {
return new OvernightFutureTrade.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
*/
OvernightFutureTrade(
TradeInfo info,
OvernightFuture 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;
validate();
}
@Override
public OvernightFutureTrade.Meta metaBean() {
return OvernightFutureTrade.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* The trade date is required when calling {@link OvernightFutureTrade#resolve(ReferenceData)}.
* @return the value of the property, not null
*/
@Override
public TradeInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the future that was traded.
*
* The product captures the contracted financial details of the trade.
* @return the value of the property, not null
*/
@Override
public OvernightFuture getProduct() {
return product;
}
//-----------------------------------------------------------------------
/**
* Gets the quantity that was traded.
*
* This is the number of contracts that were 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 price that was traded, in decimal form.
*
* This is the price agreed when the trade occurred.
*
* Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which 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()) {
OvernightFutureTrade other = (OvernightFutureTrade) 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("OvernightFutureTrade{");
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 OvernightFutureTrade}.
*/
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", OvernightFutureTrade.class, TradeInfo.class);
/**
* The meta-property for the {@code product} property.
*/
private final MetaProperty product = DirectMetaProperty.ofImmutable(
this, "product", OvernightFutureTrade.class, OvernightFuture.class);
/**
* The meta-property for the {@code quantity} property.
*/
private final MetaProperty quantity = DirectMetaProperty.ofImmutable(
this, "quantity", OvernightFutureTrade.class, Double.TYPE);
/**
* The meta-property for the {@code price} property.
*/
private final MetaProperty price = DirectMetaProperty.ofImmutable(
this, "price", OvernightFutureTrade.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 OvernightFutureTrade.Builder builder() {
return new OvernightFutureTrade.Builder();
}
@Override
public Class beanType() {
return OvernightFutureTrade.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 ((OvernightFutureTrade) bean).getInfo();
case -309474065: // product
return ((OvernightFutureTrade) bean).getProduct();
case -1285004149: // quantity
return ((OvernightFutureTrade) bean).getQuantity();
case 106934601: // price
return ((OvernightFutureTrade) 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 OvernightFutureTrade}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private TradeInfo info;
private OvernightFuture 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(OvernightFutureTrade 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 = (OvernightFuture) 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 OvernightFutureTrade build() {
return new OvernightFutureTrade(
info,
product,
quantity,
price);
}
//-----------------------------------------------------------------------
/**
* Sets the additional trade information, defaulted to an empty instance.
*
* This allows additional information to be attached to the trade.
* The trade date is required when calling {@link OvernightFutureTrade#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 future 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(OvernightFuture product) {
JodaBeanUtils.notNull(product, "product");
this.product = product;
return this;
}
/**
* Sets the quantity that was traded.
*
* This is the number of contracts that were 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 price that was traded, in decimal form.
*
* This is the price agreed when the trade occurred.
*
* Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which 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("OvernightFutureTrade.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 --------------------------
}