com.opengamma.strata.product.swap.FxResetCalculation Maven / Gradle / Ivy
Show all versions of strata-product Show documentation
/*
* 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 java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.OptionalDouble;
import java.util.function.BiFunction;
import java.util.function.Function;
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.ImmutablePreBuild;
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.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DateAdjuster;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.index.FxIndex;
import com.opengamma.strata.basics.index.FxIndexObservation;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.collect.Messages;
/**
* Defines the calculation of an FX rate conversion for the notional amount of a swap leg.
*
* Interest rate swaps are based on a notional amount of money.
* The notional can be specified in a currency other than that of the swap leg,
* with an FX conversion applied at each payment period boundary.
*
* The two currencies involved are the swap leg currency and the reference currency.
* The swap leg currency is, in most cases, the currency that payment will occur in.
* The reference currency is the currency in which the notional is actually defined.
* ISDA refers to the payment currency as the variable currency and the reference
* currency as the constant currency.
*
* Defined by the 2006 ISDA definitions article 10.
*/
@BeanDefinition
public final class FxResetCalculation
implements ImmutableBean, Serializable {
/**
* The FX index used to obtain the FX reset rate.
*
* This is the index of FX used to obtain the FX reset rate.
* An FX index is a daily rate of exchange between two currencies.
* Note that the order of the currencies in the index does not matter, as the
* conversion direction is fully defined by the reference and swap leg currencies.
*/
@PropertyDefinition(validate = "notNull")
private final FxIndex index;
/**
* The currency of the notional amount defined in the contract.
*
* This is the currency of notional amount as defined in the contract.
* The amount will be converted from this reference currency to the swap leg currency
* when calculating the value of the leg.
*
* The reference currency must be one of the two currencies of the index.
*
* The reference currency is also known as the constant currency.
*/
@PropertyDefinition(validate = "notNull")
private final Currency referenceCurrency;
/**
* The base date that each FX reset fixing is made relative to, defaulted to 'PeriodStart'.
*
* The FX reset fixing date is relative to either the start or end of each accrual period.
*/
@PropertyDefinition(validate = "notNull")
private final FxResetFixingRelativeTo fixingRelativeTo;
/**
* The offset of the FX reset fixing date from each adjusted accrual date.
*
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
*
* When building, this will default to the fixing offset of the index if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment fixingDateOffset;
/**
* The initial notional value, specified in the payment currency.
*
* If present, this fixed amount represents the notional of the initial period of the
* swap leg, with no FX reset being applied.
*
* If not present, the initial notional amount is calculated by applying an fx conversion
* to the reference currency in the same manner as all other period notional calculations.
*/
@PropertyDefinition(get = "optional")
private final Double initialNotionalValue;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.fixingRelativeTo(FxResetFixingRelativeTo.PERIOD_START);
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.fixingDateOffset == null && builder.index != null) {
builder.fixingDateOffset = builder.index.getFixingDateOffset();
}
}
@ImmutableValidator
private void validate() {
if (!index.getCurrencyPair().contains(referenceCurrency)) {
throw new IllegalArgumentException(
Messages.format("Reference currency {} must be one of those in the FxIndex {}", referenceCurrency, index));
}
}
//-------------------------------------------------------------------------
/**
* Resolves this adjustment using the specified reference data.
*
* Calling this method resolves the holiday calendar, returning a function that
* can convert a {@code SchedulePeriod} and period index pair to an optional {@code FxReset}.
*
* The conversion locks the fixing date based on the specified schedule period
* and the data held in this object.
*
* @param refData the reference data to use when resolving
* @return the resolved function
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if the calculation is invalid
*/
public BiFunction> resolve(ReferenceData refData) {
DateAdjuster fixingDateAdjuster = fixingDateOffset.resolve(refData);
Function obsFn = index.resolve(refData);
return (periodIndex, period) -> buildFxReset(periodIndex, period, fixingDateAdjuster, obsFn);
}
// build the FxReset
private Optional buildFxReset(
int periodIndex,
SchedulePeriod period,
DateAdjuster fixingDateAdjuster,
Function obsFn) {
if (periodIndex == 0 && initialNotionalValue != null) {
//if first notional is fixed then no FxReset is applied
return Optional.empty();
}
LocalDate fixingDate = fixingDateAdjuster.adjust(fixingRelativeTo.selectBaseDate(period));
return Optional.of(FxReset.of(obsFn.apply(fixingDate), referenceCurrency));
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxResetCalculation}.
* @return the meta-bean, not null
*/
public static FxResetCalculation.Meta meta() {
return FxResetCalculation.Meta.INSTANCE;
}
static {
MetaBean.register(FxResetCalculation.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 FxResetCalculation.Builder builder() {
return new FxResetCalculation.Builder();
}
private FxResetCalculation(
FxIndex index,
Currency referenceCurrency,
FxResetFixingRelativeTo fixingRelativeTo,
DaysAdjustment fixingDateOffset,
Double initialNotionalValue) {
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(referenceCurrency, "referenceCurrency");
JodaBeanUtils.notNull(fixingRelativeTo, "fixingRelativeTo");
JodaBeanUtils.notNull(fixingDateOffset, "fixingDateOffset");
this.index = index;
this.referenceCurrency = referenceCurrency;
this.fixingRelativeTo = fixingRelativeTo;
this.fixingDateOffset = fixingDateOffset;
this.initialNotionalValue = initialNotionalValue;
validate();
}
@Override
public FxResetCalculation.Meta metaBean() {
return FxResetCalculation.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the FX index used to obtain the FX reset rate.
*
* This is the index of FX used to obtain the FX reset rate.
* An FX index is a daily rate of exchange between two currencies.
* Note that the order of the currencies in the index does not matter, as the
* conversion direction is fully defined by the reference and swap leg currencies.
* @return the value of the property, not null
*/
public FxIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the notional amount defined in the contract.
*
* This is the currency of notional amount as defined in the contract.
* The amount will be converted from this reference currency to the swap leg currency
* when calculating the value of the leg.
*
* The reference currency must be one of the two currencies of the index.
*
* The reference currency is also known as the constant currency.
* @return the value of the property, not null
*/
public Currency getReferenceCurrency() {
return referenceCurrency;
}
//-----------------------------------------------------------------------
/**
* Gets the base date that each FX reset fixing is made relative to, defaulted to 'PeriodStart'.
*
* The FX reset fixing date is relative to either the start or end of each accrual period.
* @return the value of the property, not null
*/
public FxResetFixingRelativeTo getFixingRelativeTo() {
return fixingRelativeTo;
}
//-----------------------------------------------------------------------
/**
* Gets the offset of the FX reset fixing date from each adjusted accrual date.
*
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
*
* When building, this will default to the fixing offset of the index if not specified.
* @return the value of the property, not null
*/
public DaysAdjustment getFixingDateOffset() {
return fixingDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the initial notional value, specified in the payment currency.
*
* If present, this fixed amount represents the notional of the initial period of the
* swap leg, with no FX reset being applied.
*
* If not present, the initial notional amount is calculated by applying an fx conversion
* to the reference currency in the same manner as all other period notional calculations.
* @return the optional value of the property, not null
*/
public OptionalDouble getInitialNotionalValue() {
return initialNotionalValue != null ? OptionalDouble.of(initialNotionalValue) : OptionalDouble.empty();
}
//-----------------------------------------------------------------------
/**
* 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()) {
FxResetCalculation other = (FxResetCalculation) obj;
return JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(referenceCurrency, other.referenceCurrency) &&
JodaBeanUtils.equal(fixingRelativeTo, other.fixingRelativeTo) &&
JodaBeanUtils.equal(fixingDateOffset, other.fixingDateOffset) &&
JodaBeanUtils.equal(initialNotionalValue, other.initialNotionalValue);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(referenceCurrency);
hash = hash * 31 + JodaBeanUtils.hashCode(fixingRelativeTo);
hash = hash * 31 + JodaBeanUtils.hashCode(fixingDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(initialNotionalValue);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FxResetCalculation{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("referenceCurrency").append('=').append(JodaBeanUtils.toString(referenceCurrency)).append(',').append(' ');
buf.append("fixingRelativeTo").append('=').append(JodaBeanUtils.toString(fixingRelativeTo)).append(',').append(' ');
buf.append("fixingDateOffset").append('=').append(JodaBeanUtils.toString(fixingDateOffset)).append(',').append(' ');
buf.append("initialNotionalValue").append('=').append(JodaBeanUtils.toString(initialNotionalValue));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxResetCalculation}.
*/
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 index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", FxResetCalculation.class, FxIndex.class);
/**
* The meta-property for the {@code referenceCurrency} property.
*/
private final MetaProperty referenceCurrency = DirectMetaProperty.ofImmutable(
this, "referenceCurrency", FxResetCalculation.class, Currency.class);
/**
* The meta-property for the {@code fixingRelativeTo} property.
*/
private final MetaProperty fixingRelativeTo = DirectMetaProperty.ofImmutable(
this, "fixingRelativeTo", FxResetCalculation.class, FxResetFixingRelativeTo.class);
/**
* The meta-property for the {@code fixingDateOffset} property.
*/
private final MetaProperty fixingDateOffset = DirectMetaProperty.ofImmutable(
this, "fixingDateOffset", FxResetCalculation.class, DaysAdjustment.class);
/**
* The meta-property for the {@code initialNotionalValue} property.
*/
private final MetaProperty initialNotionalValue = DirectMetaProperty.ofImmutable(
this, "initialNotionalValue", FxResetCalculation.class, Double.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"index",
"referenceCurrency",
"fixingRelativeTo",
"fixingDateOffset",
"initialNotionalValue");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case 727652476: // referenceCurrency
return referenceCurrency;
case 232554996: // fixingRelativeTo
return fixingRelativeTo;
case 873743726: // fixingDateOffset
return fixingDateOffset;
case -931164883: // initialNotionalValue
return initialNotionalValue;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FxResetCalculation.Builder builder() {
return new FxResetCalculation.Builder();
}
@Override
public Class beanType() {
return FxResetCalculation.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* 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 referenceCurrency} property.
* @return the meta-property, not null
*/
public MetaProperty referenceCurrency() {
return referenceCurrency;
}
/**
* The meta-property for the {@code fixingRelativeTo} property.
* @return the meta-property, not null
*/
public MetaProperty fixingRelativeTo() {
return fixingRelativeTo;
}
/**
* The meta-property for the {@code fixingDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty fixingDateOffset() {
return fixingDateOffset;
}
/**
* The meta-property for the {@code initialNotionalValue} property.
* @return the meta-property, not null
*/
public MetaProperty initialNotionalValue() {
return initialNotionalValue;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 100346066: // index
return ((FxResetCalculation) bean).getIndex();
case 727652476: // referenceCurrency
return ((FxResetCalculation) bean).getReferenceCurrency();
case 232554996: // fixingRelativeTo
return ((FxResetCalculation) bean).getFixingRelativeTo();
case 873743726: // fixingDateOffset
return ((FxResetCalculation) bean).getFixingDateOffset();
case -931164883: // initialNotionalValue
return ((FxResetCalculation) bean).initialNotionalValue;
}
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 FxResetCalculation}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private FxIndex index;
private Currency referenceCurrency;
private FxResetFixingRelativeTo fixingRelativeTo;
private DaysAdjustment fixingDateOffset;
private Double initialNotionalValue;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FxResetCalculation beanToCopy) {
this.index = beanToCopy.getIndex();
this.referenceCurrency = beanToCopy.getReferenceCurrency();
this.fixingRelativeTo = beanToCopy.getFixingRelativeTo();
this.fixingDateOffset = beanToCopy.getFixingDateOffset();
this.initialNotionalValue = beanToCopy.initialNotionalValue;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 100346066: // index
return index;
case 727652476: // referenceCurrency
return referenceCurrency;
case 232554996: // fixingRelativeTo
return fixingRelativeTo;
case 873743726: // fixingDateOffset
return fixingDateOffset;
case -931164883: // initialNotionalValue
return initialNotionalValue;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 100346066: // index
this.index = (FxIndex) newValue;
break;
case 727652476: // referenceCurrency
this.referenceCurrency = (Currency) newValue;
break;
case 232554996: // fixingRelativeTo
this.fixingRelativeTo = (FxResetFixingRelativeTo) newValue;
break;
case 873743726: // fixingDateOffset
this.fixingDateOffset = (DaysAdjustment) newValue;
break;
case -931164883: // initialNotionalValue
this.initialNotionalValue = (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 FxResetCalculation build() {
preBuild(this);
return new FxResetCalculation(
index,
referenceCurrency,
fixingRelativeTo,
fixingDateOffset,
initialNotionalValue);
}
//-----------------------------------------------------------------------
/**
* Sets the FX index used to obtain the FX reset rate.
*
* This is the index of FX used to obtain the FX reset rate.
* An FX index is a daily rate of exchange between two currencies.
* Note that the order of the currencies in the index does not matter, as the
* conversion direction is fully defined by the reference and swap leg currencies.
* @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 currency of the notional amount defined in the contract.
*
* This is the currency of notional amount as defined in the contract.
* The amount will be converted from this reference currency to the swap leg currency
* when calculating the value of the leg.
*
* The reference currency must be one of the two currencies of the index.
*
* The reference currency is also known as the constant currency.
* @param referenceCurrency the new value, not null
* @return this, for chaining, not null
*/
public Builder referenceCurrency(Currency referenceCurrency) {
JodaBeanUtils.notNull(referenceCurrency, "referenceCurrency");
this.referenceCurrency = referenceCurrency;
return this;
}
/**
* Sets the base date that each FX reset fixing is made relative to, defaulted to 'PeriodStart'.
*
* The FX reset fixing date is relative to either the start or end of each accrual period.
* @param fixingRelativeTo the new value, not null
* @return this, for chaining, not null
*/
public Builder fixingRelativeTo(FxResetFixingRelativeTo fixingRelativeTo) {
JodaBeanUtils.notNull(fixingRelativeTo, "fixingRelativeTo");
this.fixingRelativeTo = fixingRelativeTo;
return this;
}
/**
* Sets the offset of the FX reset fixing date from each adjusted accrual date.
*
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
*
* When building, this will default to the fixing offset of the index if not specified.
* @param fixingDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder fixingDateOffset(DaysAdjustment fixingDateOffset) {
JodaBeanUtils.notNull(fixingDateOffset, "fixingDateOffset");
this.fixingDateOffset = fixingDateOffset;
return this;
}
/**
* Sets the initial notional value, specified in the payment currency.
*
* If present, this fixed amount represents the notional of the initial period of the
* swap leg, with no FX reset being applied.
*
* If not present, the initial notional amount is calculated by applying an fx conversion
* to the reference currency in the same manner as all other period notional calculations.
* @param initialNotionalValue the new value
* @return this, for chaining, not null
*/
public Builder initialNotionalValue(Double initialNotionalValue) {
this.initialNotionalValue = initialNotionalValue;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FxResetCalculation.Builder{");
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("referenceCurrency").append('=').append(JodaBeanUtils.toString(referenceCurrency)).append(',').append(' ');
buf.append("fixingRelativeTo").append('=').append(JodaBeanUtils.toString(fixingRelativeTo)).append(',').append(' ');
buf.append("fixingDateOffset").append('=').append(JodaBeanUtils.toString(fixingDateOffset)).append(',').append(' ');
buf.append("initialNotionalValue").append('=').append(JodaBeanUtils.toString(initialNotionalValue));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}