com.opengamma.strata.product.swap.FixedRateCalculation 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.swap;
import static com.google.common.base.MoreObjects.firstNonNull;
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.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.basics.schedule.Schedule;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.basics.value.ValueSchedule;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.product.rate.FixedOvernightCompoundedAnnualRateComputation;
import com.opengamma.strata.product.rate.FixedRateComputation;
import com.opengamma.strata.product.rate.RateComputation;
/**
* Defines the calculation of a fixed rate swap leg.
*
* This defines the data necessary to calculate the amount payable on the leg.
* The amount is based on a fixed rate, which can vary over the lifetime of the leg.
*/
@BeanDefinition
public final class FixedRateCalculation
implements RateCalculation, ImmutableBean, Serializable {
/**
* The day count convention.
*
* This is used to convert schedule period dates to a numerical value.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DayCount dayCount;
/**
* The interest rate to be paid.
* A 5% rate will be expressed as 0.05.
*
* This defines the rate as an initial amount and a list of adjustments.
* The rate is only permitted to change at accrual period boundaries.
*/
@PropertyDefinition(validate = "notNull")
private final ValueSchedule rate;
/**
* The initial stub, optional.
*
* The initial stub of a swap may have a different rate from the regular accrual periods.
* This property allows the stub rate to be specified, either as a known amount or a rate.
* If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
* If this property is present and there is no initial stub, it is ignored.
*/
@PropertyDefinition(get = "optional")
private final FixedRateStubCalculation initialStub;
/**
* The final stub, optional.
*
* The final stub of a swap may have a different rate from the regular accrual periods.
* This property allows the stub rate to be specified, either as a known amount or a rate.
* If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
* If this property is present and there is no initial stub, it is ignored.
*/
@PropertyDefinition(get = "optional")
private final FixedRateStubCalculation finalStub;
/**
* The future value notional.
*
* This property is used when the fixed leg of a swap has a future value notional.
* This is typically used for Brazilian swaps.
*/
@PropertyDefinition(get = "optional")
private final FutureValueNotional futureValueNotional;
//-------------------------------------------------------------------------
/**
* Obtains a rate calculation for the specified day count and rate.
*
* The rate specified here does not vary during the life of the swap.
* If this method provides insufficient control, use the {@linkplain #builder() builder}.
*
* @param rate the rate
* @param dayCount the day count
* @return the calculation
*/
public static FixedRateCalculation of(double rate, DayCount dayCount) {
return FixedRateCalculation.builder()
.dayCount(dayCount)
.rate(ValueSchedule.of(rate))
.build();
}
//-------------------------------------------------------------------------
@Override
public SwapLegType getType() {
return SwapLegType.FIXED;
}
@Override
public void collectCurrencies(ImmutableSet.Builder builder) {
// no currencies
}
@Override
public void collectIndices(ImmutableSet.Builder builder) {
// no indices
}
@Override
public ImmutableList createAccrualPeriods(
Schedule accrualSchedule,
Schedule paymentSchedule,
ReferenceData refData) {
// avoid null stub definitions if there are stubs
FixedRateStubCalculation initialStub = firstNonNull(this.initialStub, FixedRateStubCalculation.NONE);
FixedRateStubCalculation finalStub = firstNonNull(this.finalStub, FixedRateStubCalculation.NONE);
// resolve data by schedule
DoubleArray resolvedRates = rate.resolveValues(accrualSchedule);
// future value notional present
if (getFutureValueNotional().isPresent()) {
if (accrualSchedule.size() != 1) {
throw new IllegalArgumentException(
"Invalid swap, only one accrual period allowed when future value notional is present");
}
SchedulePeriod period = accrualSchedule.getPeriod(0);
double yearFraction = period.yearFraction(dayCount, accrualSchedule);
double resolvedRate = resolvedRates.get(0);
RateComputation rateComputation = FixedOvernightCompoundedAnnualRateComputation.of(resolvedRate, yearFraction);
RateAccrualPeriod accrualPeriod = new RateAccrualPeriod(period, yearFraction, rateComputation);
return ImmutableList.of(accrualPeriod);
}
// need to use getStubs(boolean) and not getInitialStub()/getFinalStub() to ensure correct stub allocation
Pair, Optional> scheduleStubs =
accrualSchedule.getStubs(this.initialStub == null && this.finalStub != null);
Optional scheduleInitialStub = scheduleStubs.getFirst();
Optional scheduleFinalStub = scheduleStubs.getSecond();
// normal case
ImmutableList.Builder accrualPeriods = ImmutableList.builder();
for (int i = 0; i < accrualSchedule.size(); i++) {
SchedulePeriod period = accrualSchedule.getPeriod(i);
double yearFraction = period.yearFraction(dayCount, accrualSchedule);
// handle stubs
RateComputation rateComputation;
if (scheduleInitialStub.isPresent() && scheduleInitialStub.get() == period) {
rateComputation = initialStub.createRateComputation(resolvedRates.get(i));
} else if (scheduleFinalStub.isPresent() && scheduleFinalStub.get() == period) {
rateComputation = finalStub.createRateComputation(resolvedRates.get(i));
} else {
rateComputation = FixedRateComputation.of(resolvedRates.get(i));
}
accrualPeriods.add(new RateAccrualPeriod(period, yearFraction, rateComputation));
}
return accrualPeriods.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FixedRateCalculation}.
* @return the meta-bean, not null
*/
public static FixedRateCalculation.Meta meta() {
return FixedRateCalculation.Meta.INSTANCE;
}
static {
MetaBean.register(FixedRateCalculation.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 FixedRateCalculation.Builder builder() {
return new FixedRateCalculation.Builder();
}
private FixedRateCalculation(
DayCount dayCount,
ValueSchedule rate,
FixedRateStubCalculation initialStub,
FixedRateStubCalculation finalStub,
FutureValueNotional futureValueNotional) {
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(rate, "rate");
this.dayCount = dayCount;
this.rate = rate;
this.initialStub = initialStub;
this.finalStub = finalStub;
this.futureValueNotional = futureValueNotional;
}
@Override
public FixedRateCalculation.Meta metaBean() {
return FixedRateCalculation.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention.
*
* This is used to convert schedule period dates to a numerical value.
* @return the value of the property, not null
*/
@Override
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets the interest rate to be paid.
* A 5% rate will be expressed as 0.05.
*
* This defines the rate as an initial amount and a list of adjustments.
* The rate is only permitted to change at accrual period boundaries.
* @return the value of the property, not null
*/
public ValueSchedule getRate() {
return rate;
}
//-----------------------------------------------------------------------
/**
* Gets the initial stub, optional.
*
* The initial stub of a swap may have a different rate from the regular accrual periods.
* This property allows the stub rate to be specified, either as a known amount or a rate.
* If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
* If this property is present and there is no initial stub, it is ignored.
* @return the optional value of the property, not null
*/
public Optional getInitialStub() {
return Optional.ofNullable(initialStub);
}
//-----------------------------------------------------------------------
/**
* Gets the final stub, optional.
*
* The final stub of a swap may have a different rate from the regular accrual periods.
* This property allows the stub rate to be specified, either as a known amount or a rate.
* If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
* If this property is present and there is no initial stub, it is ignored.
* @return the optional value of the property, not null
*/
public Optional getFinalStub() {
return Optional.ofNullable(finalStub);
}
//-----------------------------------------------------------------------
/**
* Gets the future value notional.
*
* This property is used when the fixed leg of a swap has a future value notional.
* This is typically used for Brazilian swaps.
* @return the optional value of the property, not null
*/
public Optional getFutureValueNotional() {
return Optional.ofNullable(futureValueNotional);
}
//-----------------------------------------------------------------------
/**
* 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()) {
FixedRateCalculation other = (FixedRateCalculation) obj;
return JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(rate, other.rate) &&
JodaBeanUtils.equal(initialStub, other.initialStub) &&
JodaBeanUtils.equal(finalStub, other.finalStub) &&
JodaBeanUtils.equal(futureValueNotional, other.futureValueNotional);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(rate);
hash = hash * 31 + JodaBeanUtils.hashCode(initialStub);
hash = hash * 31 + JodaBeanUtils.hashCode(finalStub);
hash = hash * 31 + JodaBeanUtils.hashCode(futureValueNotional);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FixedRateCalculation{");
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("rate").append('=').append(JodaBeanUtils.toString(rate)).append(',').append(' ');
buf.append("initialStub").append('=').append(JodaBeanUtils.toString(initialStub)).append(',').append(' ');
buf.append("finalStub").append('=').append(JodaBeanUtils.toString(finalStub)).append(',').append(' ');
buf.append("futureValueNotional").append('=').append(JodaBeanUtils.toString(futureValueNotional));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FixedRateCalculation}.
*/
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 dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", FixedRateCalculation.class, DayCount.class);
/**
* The meta-property for the {@code rate} property.
*/
private final MetaProperty rate = DirectMetaProperty.ofImmutable(
this, "rate", FixedRateCalculation.class, ValueSchedule.class);
/**
* The meta-property for the {@code initialStub} property.
*/
private final MetaProperty initialStub = DirectMetaProperty.ofImmutable(
this, "initialStub", FixedRateCalculation.class, FixedRateStubCalculation.class);
/**
* The meta-property for the {@code finalStub} property.
*/
private final MetaProperty finalStub = DirectMetaProperty.ofImmutable(
this, "finalStub", FixedRateCalculation.class, FixedRateStubCalculation.class);
/**
* The meta-property for the {@code futureValueNotional} property.
*/
private final MetaProperty futureValueNotional = DirectMetaProperty.ofImmutable(
this, "futureValueNotional", FixedRateCalculation.class, FutureValueNotional.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"dayCount",
"rate",
"initialStub",
"finalStub",
"futureValueNotional");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1905311443: // dayCount
return dayCount;
case 3493088: // rate
return rate;
case 1233359378: // initialStub
return initialStub;
case 355242820: // finalStub
return finalStub;
case -282775858: // futureValueNotional
return futureValueNotional;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FixedRateCalculation.Builder builder() {
return new FixedRateCalculation.Builder();
}
@Override
public Class beanType() {
return FixedRateCalculation.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty dayCount() {
return dayCount;
}
/**
* The meta-property for the {@code rate} property.
* @return the meta-property, not null
*/
public MetaProperty rate() {
return rate;
}
/**
* The meta-property for the {@code initialStub} property.
* @return the meta-property, not null
*/
public MetaProperty initialStub() {
return initialStub;
}
/**
* The meta-property for the {@code finalStub} property.
* @return the meta-property, not null
*/
public MetaProperty finalStub() {
return finalStub;
}
/**
* The meta-property for the {@code futureValueNotional} property.
* @return the meta-property, not null
*/
public MetaProperty futureValueNotional() {
return futureValueNotional;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1905311443: // dayCount
return ((FixedRateCalculation) bean).getDayCount();
case 3493088: // rate
return ((FixedRateCalculation) bean).getRate();
case 1233359378: // initialStub
return ((FixedRateCalculation) bean).initialStub;
case 355242820: // finalStub
return ((FixedRateCalculation) bean).finalStub;
case -282775858: // futureValueNotional
return ((FixedRateCalculation) bean).futureValueNotional;
}
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 FixedRateCalculation}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private DayCount dayCount;
private ValueSchedule rate;
private FixedRateStubCalculation initialStub;
private FixedRateStubCalculation finalStub;
private FutureValueNotional futureValueNotional;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FixedRateCalculation beanToCopy) {
this.dayCount = beanToCopy.getDayCount();
this.rate = beanToCopy.getRate();
this.initialStub = beanToCopy.initialStub;
this.finalStub = beanToCopy.finalStub;
this.futureValueNotional = beanToCopy.futureValueNotional;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1905311443: // dayCount
return dayCount;
case 3493088: // rate
return rate;
case 1233359378: // initialStub
return initialStub;
case 355242820: // finalStub
return finalStub;
case -282775858: // futureValueNotional
return futureValueNotional;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case 3493088: // rate
this.rate = (ValueSchedule) newValue;
break;
case 1233359378: // initialStub
this.initialStub = (FixedRateStubCalculation) newValue;
break;
case 355242820: // finalStub
this.finalStub = (FixedRateStubCalculation) newValue;
break;
case -282775858: // futureValueNotional
this.futureValueNotional = (FutureValueNotional) 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 FixedRateCalculation build() {
return new FixedRateCalculation(
dayCount,
rate,
initialStub,
finalStub,
futureValueNotional);
}
//-----------------------------------------------------------------------
/**
* Sets the day count convention.
*
* This is used to convert schedule period dates to a numerical value.
* @param dayCount the new value, not null
* @return this, for chaining, not null
*/
public Builder dayCount(DayCount dayCount) {
JodaBeanUtils.notNull(dayCount, "dayCount");
this.dayCount = dayCount;
return this;
}
/**
* Sets the interest rate to be paid.
* A 5% rate will be expressed as 0.05.
*
* This defines the rate as an initial amount and a list of adjustments.
* The rate is only permitted to change at accrual period boundaries.
* @param rate the new value, not null
* @return this, for chaining, not null
*/
public Builder rate(ValueSchedule rate) {
JodaBeanUtils.notNull(rate, "rate");
this.rate = rate;
return this;
}
/**
* Sets the initial stub, optional.
*
* The initial stub of a swap may have a different rate from the regular accrual periods.
* This property allows the stub rate to be specified, either as a known amount or a rate.
* If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
* If this property is present and there is no initial stub, it is ignored.
* @param initialStub the new value
* @return this, for chaining, not null
*/
public Builder initialStub(FixedRateStubCalculation initialStub) {
this.initialStub = initialStub;
return this;
}
/**
* Sets the final stub, optional.
*
* The final stub of a swap may have a different rate from the regular accrual periods.
* This property allows the stub rate to be specified, either as a known amount or a rate.
* If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
* If this property is present and there is no initial stub, it is ignored.
* @param finalStub the new value
* @return this, for chaining, not null
*/
public Builder finalStub(FixedRateStubCalculation finalStub) {
this.finalStub = finalStub;
return this;
}
/**
* Sets the future value notional.
*
* This property is used when the fixed leg of a swap has a future value notional.
* This is typically used for Brazilian swaps.
* @param futureValueNotional the new value
* @return this, for chaining, not null
*/
public Builder futureValueNotional(FutureValueNotional futureValueNotional) {
this.futureValueNotional = futureValueNotional;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FixedRateCalculation.Builder{");
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("rate").append('=').append(JodaBeanUtils.toString(rate)).append(',').append(' ');
buf.append("initialStub").append('=').append(JodaBeanUtils.toString(initialStub)).append(',').append(' ');
buf.append("finalStub").append('=').append(JodaBeanUtils.toString(finalStub)).append(',').append(' ');
buf.append("futureValueNotional").append('=').append(JodaBeanUtils.toString(futureValueNotional));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}