com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade 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.index;
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.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.product.PortfolioItemInfo;
import com.opengamma.strata.product.ResolvedTrade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.TradedPrice;
/**
* A trade in an option on a futures contract based on an Ibor index, resolved for pricing.
*
* This is the resolved form of {@link IborFutureOptionTrade} and is the primary input to the pricers.
* Applications will typically create a {@code ResolvedIborFutureOptionTrade} from a {@code IborFutureOptionTrade}
* using {@link IborFutureOptionTrade#resolve(ReferenceData)}.
*
* A {@code ResolvedIborFutureOptionTrade} is bound to data that changes over time, such as holiday calendars.
* If the data changes, such as the addition of a new holiday, the resolved form will not be updated.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*
*
Price
* The price of an Ibor future option is based on the price of the underlying future, the volatility
* and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
*
* Strata uses decimal prices for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*/
@BeanDefinition(constructorScope = "package")
public final class ResolvedIborFutureOptionTrade
implements ResolvedTrade, ImmutableBean, Serializable {
/**
* The additional information, defaulted to an empty instance.
*
* This allows additional information to be attached.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final PortfolioItemInfo info;
/**
* The option that was traded.
*
* The product captures the contracted financial details of the trade.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ResolvedIborFutureOption 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
private final double quantity;
/**
* The price that was traded, together with the trade date, optional.
*
* This is the price agreed when the trade occurred, in decimal form.
* Strata uses decimal prices for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*
* This is optional to allow the class to be used to price both trades and positions.
* When the instance represents a trade, the traded price should be present.
* When the instance represents a position, the traded price should be empty.
*/
@PropertyDefinition(get = "optional")
private final TradedPrice tradedPrice;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.info = TradeInfo.empty();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedIborFutureOptionTrade}.
* @return the meta-bean, not null
*/
public static ResolvedIborFutureOptionTrade.Meta meta() {
return ResolvedIborFutureOptionTrade.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedIborFutureOptionTrade.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 ResolvedIborFutureOptionTrade.Builder builder() {
return new ResolvedIborFutureOptionTrade.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 tradedPrice the value of the property
*/
ResolvedIborFutureOptionTrade(
PortfolioItemInfo info,
ResolvedIborFutureOption product,
double quantity,
TradedPrice tradedPrice) {
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.tradedPrice = tradedPrice;
}
@Override
public ResolvedIborFutureOptionTrade.Meta metaBean() {
return ResolvedIborFutureOptionTrade.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the additional information, defaulted to an empty instance.
*
* This allows additional information to be attached.
* @return the value of the property, not null
*/
@Override
public PortfolioItemInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the option that was traded.
*
* The product captures the contracted financial details of the trade.
* @return the value of the property, not null
*/
@Override
public ResolvedIborFutureOption 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
*/
public double getQuantity() {
return quantity;
}
//-----------------------------------------------------------------------
/**
* Gets the price that was traded, together with the trade date, optional.
*
* This is the price agreed when the trade occurred, in decimal form.
* Strata uses decimal prices for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*
* This is optional to allow the class to be used to price both trades and positions.
* When the instance represents a trade, the traded price should be present.
* When the instance represents a position, the traded price should be empty.
* @return the optional value of the property, not null
*/
public Optional getTradedPrice() {
return Optional.ofNullable(tradedPrice);
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedIborFutureOptionTrade other = (ResolvedIborFutureOptionTrade) obj;
return JodaBeanUtils.equal(info, other.info) &&
JodaBeanUtils.equal(product, other.product) &&
JodaBeanUtils.equal(quantity, other.quantity) &&
JodaBeanUtils.equal(tradedPrice, other.tradedPrice);
}
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(tradedPrice);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ResolvedIborFutureOptionTrade{");
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("tradedPrice").append('=').append(JodaBeanUtils.toString(tradedPrice));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedIborFutureOptionTrade}.
*/
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", ResolvedIborFutureOptionTrade.class, PortfolioItemInfo.class);
/**
* The meta-property for the {@code product} property.
*/
private final MetaProperty product = DirectMetaProperty.ofImmutable(
this, "product", ResolvedIborFutureOptionTrade.class, ResolvedIborFutureOption.class);
/**
* The meta-property for the {@code quantity} property.
*/
private final MetaProperty quantity = DirectMetaProperty.ofImmutable(
this, "quantity", ResolvedIborFutureOptionTrade.class, Double.TYPE);
/**
* The meta-property for the {@code tradedPrice} property.
*/
private final MetaProperty tradedPrice = DirectMetaProperty.ofImmutable(
this, "tradedPrice", ResolvedIborFutureOptionTrade.class, TradedPrice.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"info",
"product",
"quantity",
"tradedPrice");
/**
* 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 -1873824343: // tradedPrice
return tradedPrice;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedIborFutureOptionTrade.Builder builder() {
return new ResolvedIborFutureOptionTrade.Builder();
}
@Override
public Class beanType() {
return ResolvedIborFutureOptionTrade.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 tradedPrice} property.
* @return the meta-property, not null
*/
public MetaProperty tradedPrice() {
return tradedPrice;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3237038: // info
return ((ResolvedIborFutureOptionTrade) bean).getInfo();
case -309474065: // product
return ((ResolvedIborFutureOptionTrade) bean).getProduct();
case -1285004149: // quantity
return ((ResolvedIborFutureOptionTrade) bean).getQuantity();
case -1873824343: // tradedPrice
return ((ResolvedIborFutureOptionTrade) bean).tradedPrice;
}
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 ResolvedIborFutureOptionTrade}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private PortfolioItemInfo info;
private ResolvedIborFutureOption product;
private double quantity;
private TradedPrice tradedPrice;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedIborFutureOptionTrade beanToCopy) {
this.info = beanToCopy.getInfo();
this.product = beanToCopy.getProduct();
this.quantity = beanToCopy.getQuantity();
this.tradedPrice = beanToCopy.tradedPrice;
}
//-----------------------------------------------------------------------
@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 -1873824343: // tradedPrice
return tradedPrice;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3237038: // info
this.info = (PortfolioItemInfo) newValue;
break;
case -309474065: // product
this.product = (ResolvedIborFutureOption) newValue;
break;
case -1285004149: // quantity
this.quantity = (Double) newValue;
break;
case -1873824343: // tradedPrice
this.tradedPrice = (TradedPrice) 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 ResolvedIborFutureOptionTrade build() {
return new ResolvedIborFutureOptionTrade(
info,
product,
quantity,
tradedPrice);
}
//-----------------------------------------------------------------------
/**
* Sets the additional information, defaulted to an empty instance.
*
* This allows additional information to be attached.
* @param info the new value, not null
* @return this, for chaining, not null
*/
public Builder info(PortfolioItemInfo info) {
JodaBeanUtils.notNull(info, "info");
this.info = info;
return this;
}
/**
* Sets the option 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(ResolvedIborFutureOption 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, together with the trade date, optional.
*
* This is the price agreed when the trade occurred, in decimal form.
* Strata uses decimal prices for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*
* This is optional to allow the class to be used to price both trades and positions.
* When the instance represents a trade, the traded price should be present.
* When the instance represents a position, the traded price should be empty.
* @param tradedPrice the new value
* @return this, for chaining, not null
*/
public Builder tradedPrice(TradedPrice tradedPrice) {
this.tradedPrice = tradedPrice;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ResolvedIborFutureOptionTrade.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("tradedPrice").append('=').append(JodaBeanUtils.toString(tradedPrice));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}