com.opengamma.strata.product.rate.IborAveragedRateComputation Maven / Gradle / Ivy
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/*
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.rate;
import static com.opengamma.strata.collect.Guavate.ensureOnlyOne;
import java.io.Serializable;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
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.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.index.Index;
/**
* Defines the computation of a rate of interest based on the average of multiple
* fixings of a single Ibor floating rate index.
*
* An interest rate determined from a single Ibor index observed on multiple dates.
* For example, the average of three fixings of 'GBP-LIBOR-3M'.
*/
@BeanDefinition(builderScope = "private")
public final class IborAveragedRateComputation
implements RateComputation, ImmutableBean, Serializable {
/**
* The list of fixings.
*
* A fixing will be taken for each reset period, with the final rate
* being an average of the fixings.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableList fixings;
/**
* The total weight of all the fixings in this computation.
*/
private final transient double totalWeight; // not a property, derived and cached from input data
//-------------------------------------------------------------------------
/**
* Creates an instance from the individual fixings.
*
* All the fixings must have the same index.
*
* @param fixings the weighted fixings
* @return the averaged rate computation
*/
public static IborAveragedRateComputation of(List fixings) {
return new IborAveragedRateComputation(fixings);
}
//-------------------------------------------------------------------------
@ImmutableConstructor
private IborAveragedRateComputation(List fixings) {
fixings.stream()
.map(f -> f.getObservation().getIndex())
.distinct()
.reduce(ensureOnlyOne());
this.fixings = ImmutableList.copyOf(fixings);
this.totalWeight = fixings.stream()
.mapToDouble(f -> f.getWeight())
.sum();
}
// ensure standard constructor is invoked
private Object readResolve() {
return new IborAveragedRateComputation(fixings);
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index.
*
* The rate to be paid is based on this index
* It will be a well known market index such as 'GBP-LIBOR-3M'.
*
* @return the Ibor index
*/
public IborIndex getIndex() {
return fixings.get(0).getObservation().getIndex();
}
//-------------------------------------------------------------------------
/**
* Gets total weight of all the fixings in this observation.
*
* @return the total weight
*/
public double getTotalWeight() {
return totalWeight;
}
//-------------------------------------------------------------------------
@Override
public void collectIndices(ImmutableSet.Builder builder) {
builder.add(getIndex());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code IborAveragedRateComputation}.
* @return the meta-bean, not null
*/
public static IborAveragedRateComputation.Meta meta() {
return IborAveragedRateComputation.Meta.INSTANCE;
}
static {
MetaBean.register(IborAveragedRateComputation.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public IborAveragedRateComputation.Meta metaBean() {
return IborAveragedRateComputation.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the list of fixings.
*
* A fixing will be taken for each reset period, with the final rate
* being an average of the fixings.
* @return the value of the property, not empty
*/
public ImmutableList getFixings() {
return fixings;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IborAveragedRateComputation other = (IborAveragedRateComputation) obj;
return JodaBeanUtils.equal(fixings, other.fixings);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(fixings);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(64);
buf.append("IborAveragedRateComputation{");
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborAveragedRateComputation}.
*/
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 fixings} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> fixings = DirectMetaProperty.ofImmutable(
this, "fixings", IborAveragedRateComputation.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"fixings");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -843784602: // fixings
return fixings;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new IborAveragedRateComputation.Builder();
}
@Override
public Class beanType() {
return IborAveragedRateComputation.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code fixings} property.
* @return the meta-property, not null
*/
public MetaProperty> fixings() {
return fixings;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -843784602: // fixings
return ((IborAveragedRateComputation) bean).getFixings();
}
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 IborAveragedRateComputation}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private List fixings = ImmutableList.of();
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -843784602: // fixings
return fixings;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -843784602: // fixings
this.fixings = (List) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public IborAveragedRateComputation build() {
return new IborAveragedRateComputation(
fixings);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(64);
buf.append("IborAveragedRateComputation.Builder{");
buf.append("fixings").append('=').append(JodaBeanUtils.toString(fixings));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}