com.opengamma.strata.product.swap.ResolvedSwap Maven / Gradle / Ivy
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/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.swap;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Comparator;
import java.util.List;
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.DerivedProperty;
import org.joda.beans.gen.ImmutableConstructor;
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.index.Index;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.ResolvedProduct;
import com.opengamma.strata.product.common.PayReceive;
/**
* A rate swap, resolved for pricing.
*
* This is the resolved form of {@link Swap} and is an input to the pricers.
* Applications will typically create a {@code ResolvedSwap} from a {@code Swap}
* using {@link Swap#resolve(ReferenceData)}.
*
* A rate swap is a financial instrument that represents the exchange of streams of payments.
* The swap is formed of legs, where each leg typically represents the obligations
* of the seller or buyer of the swap. In the simplest vanilla interest rate swap,
* there are two legs, one with a fixed rate and the other a floating rate.
* Many other more complex swaps can also be represented.
*
* This class defines a swap as a set of legs, each of which contains a list of payment periods.
* Each payment period typically consists of one or more accrual periods.
* Additional payment events may also be specified.
*
* Any combination of legs, payments and accrual periods is supported in the data model,
* however there is no guarantee that exotic combinations will price sensibly.
*
* A {@code ResolvedSwap} 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.
*/
@BeanDefinition
public final class ResolvedSwap
implements ResolvedProduct, ImmutableBean, Serializable {
/**
* The legs of the swap.
*
* A swap consists of one or more legs.
* The legs of a swap are essentially unordered, however it is more efficient
* and closer to user expectation to treat them as being ordered.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableList legs;
/**
* The set of currencies.
*/
private final transient ImmutableSet currencies; // not a property, derived and cached from input data
/**
* The set of indices.
*/
private final transient ImmutableSet indices; // not a property, derived and cached from input data
//-------------------------------------------------------------------------
/**
* Creates a swap from one or more swap legs.
*
* While most swaps have two legs, other combinations are possible.
*
* @param legs the array of legs
* @return the swap
*/
public static ResolvedSwap of(ResolvedSwapLeg... legs) {
ArgChecker.notEmpty(legs, "legs");
return new ResolvedSwap(ImmutableList.copyOf(legs));
}
//-------------------------------------------------------------------------
@ImmutableConstructor
private ResolvedSwap(List legs) {
JodaBeanUtils.notEmpty(legs, "legs");
this.legs = ImmutableList.copyOf(legs);
this.currencies = buildCurrencies(legs);
this.indices = buildIndices(legs);
}
// trusted constructor
ResolvedSwap(ImmutableList legs, ImmutableSet currencies, ImmutableSet indices) {
this.legs = legs;
this.currencies = currencies;
this.indices = indices;
}
// collect the set of currencies
private static ImmutableSet buildCurrencies(List legs) {
// avoid streams as profiling showed a hotspot
ImmutableSet.Builder builder = ImmutableSet.builder();
for (ResolvedSwapLeg leg : legs) {
builder.add(leg.getCurrency());
}
return builder.build();
}
// collect the set of indices
private static ImmutableSet buildIndices(List legs) {
// avoid streams as profiling showed a hotspot
ImmutableSet.Builder builder = ImmutableSet.builder();
for (ResolvedSwapLeg leg : legs) {
leg.collectIndices(builder);
}
return builder.build();
}
// ensure standard constructor is invoked
private Object readResolve() {
return new ResolvedSwap(legs);
}
//-------------------------------------------------------------------------
/**
* Gets the legs of the swap with the specified type.
*
* This returns all the legs with the given type.
*
* @param type the type to find
* @return the matching legs of the swap
*/
public ImmutableList getLegs(SwapLegType type) {
return legs.stream().filter(leg -> leg.getType() == type).collect(toImmutableList());
}
//-------------------------------------------------------------------------
/**
* Gets the first pay or receive leg of the swap.
*
* This returns the first pay or receive leg of the swap, empty if no matching leg.
*
* @param payReceive the pay or receive flag
* @return the first matching leg of the swap
*/
public Optional getLeg(PayReceive payReceive) {
return legs.stream().filter(leg -> leg.getPayReceive() == payReceive).findFirst();
}
/**
* Gets the first pay leg of the swap.
*
* This returns the first pay leg of the swap, empty if no pay leg.
*
* @return the first pay leg of the swap
*/
public Optional getPayLeg() {
return getLeg(PayReceive.PAY);
}
/**
* Gets the first receive leg of the swap.
*
* This returns the first receive leg of the swap, empty if no receive leg.
*
* @return the first receive leg of the swap
*/
public Optional getReceiveLeg() {
return getLeg(PayReceive.RECEIVE);
}
//-------------------------------------------------------------------------
/**
* Gets the accrual start date of the swap.
*
* This is the earliest accrual date of the legs, often known as the effective date.
* This date has typically been adjusted to be a valid business day.
*
* @return the start date of the swap
*/
@DerivedProperty
public LocalDate getStartDate() {
return legs.stream()
.map(ResolvedSwapLeg::getStartDate)
.min(Comparator.naturalOrder())
.get(); // always at least one leg, so get() is safe
}
/**
* Gets the accrual end date of the swap.
*
* This is the latest accrual date of the legs, often known as the termination date.
* This date has typically been adjusted to be a valid business day.
*
* @return the end date of the swap
*/
@DerivedProperty
public LocalDate getEndDate() {
return legs.stream()
.map(ResolvedSwapLeg::getEndDate)
.max(Comparator.naturalOrder())
.get(); // always at least one leg, so get() is safe
}
//-------------------------------------------------------------------------
/**
* Checks if this trade is cross-currency.
*
* A cross currency swap is defined as one with legs in two different currencies.
*
* @return true if cross currency
*/
public boolean isCrossCurrency() {
return currencies.size() > 1;
}
/**
* Returns the set of payment currencies referred to by the swap.
*
* This returns the complete set of payment currencies for the swap.
* This will typically return one or two currencies.
*
* If there is an FX reset, then this set contains the currency of the payment,
* not the currency of the notional. Note that in many cases, the currency of
* the FX reset notional will be the currency of the other leg.
*
* @return the currencies
*/
public ImmutableSet allPaymentCurrencies() {
return currencies;
}
/**
* Returns the set of indices referred to by the swap.
*
* A swap will typically refer to at least one index, such as 'GBP-LIBOR-3M'.
* Calling this method will return the complete list of indices, including
* any associated with FX reset.
*
* @return the set of indices referred to by this swap
*/
public ImmutableSet allIndices() {
return indices;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedSwap}.
* @return the meta-bean, not null
*/
public static ResolvedSwap.Meta meta() {
return ResolvedSwap.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedSwap.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 ResolvedSwap.Builder builder() {
return new ResolvedSwap.Builder();
}
@Override
public ResolvedSwap.Meta metaBean() {
return ResolvedSwap.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the legs of the swap.
*
* A swap consists of one or more legs.
* The legs of a swap are essentially unordered, however it is more efficient
* and closer to user expectation to treat them as being ordered.
* @return the value of the property, not empty
*/
public ImmutableList getLegs() {
return legs;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedSwap other = (ResolvedSwap) obj;
return JodaBeanUtils.equal(legs, other.legs);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(legs);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ResolvedSwap{");
buf.append("legs").append('=').append(JodaBeanUtils.toString(legs)).append(',').append(' ');
buf.append("startDate").append('=').append(JodaBeanUtils.toString(getStartDate())).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(getEndDate()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedSwap}.
*/
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 legs} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> legs = DirectMetaProperty.ofImmutable(
this, "legs", ResolvedSwap.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code startDate} property.
*/
private final MetaProperty startDate = DirectMetaProperty.ofDerived(
this, "startDate", ResolvedSwap.class, LocalDate.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty endDate = DirectMetaProperty.ofDerived(
this, "endDate", ResolvedSwap.class, LocalDate.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"legs",
"startDate",
"endDate");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3317797: // legs
return legs;
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedSwap.Builder builder() {
return new ResolvedSwap.Builder();
}
@Override
public Class beanType() {
return ResolvedSwap.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code legs} property.
* @return the meta-property, not null
*/
public MetaProperty> legs() {
return legs;
}
/**
* The meta-property for the {@code startDate} property.
* @return the meta-property, not null
*/
public MetaProperty startDate() {
return startDate;
}
/**
* The meta-property for the {@code endDate} property.
* @return the meta-property, not null
*/
public MetaProperty endDate() {
return endDate;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3317797: // legs
return ((ResolvedSwap) bean).getLegs();
case -2129778896: // startDate
return ((ResolvedSwap) bean).getStartDate();
case -1607727319: // endDate
return ((ResolvedSwap) bean).getEndDate();
}
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 ResolvedSwap}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private List legs = ImmutableList.of();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedSwap beanToCopy) {
this.legs = beanToCopy.getLegs();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3317797: // legs
return legs;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3317797: // legs
this.legs = (List) 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 ResolvedSwap build() {
return new ResolvedSwap(
legs);
}
//-----------------------------------------------------------------------
/**
* Sets the legs of the swap.
*
* A swap consists of one or more legs.
* The legs of a swap are essentially unordered, however it is more efficient
* and closer to user expectation to treat them as being ordered.
* @param legs the new value, not empty
* @return this, for chaining, not null
*/
public Builder legs(List legs) {
JodaBeanUtils.notEmpty(legs, "legs");
this.legs = legs;
return this;
}
/**
* Sets the {@code legs} property in the builder
* from an array of objects.
* @param legs the new value, not empty
* @return this, for chaining, not null
*/
public Builder legs(ResolvedSwapLeg... legs) {
return legs(ImmutableList.copyOf(legs));
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ResolvedSwap.Builder{");
buf.append("legs").append('=').append(JodaBeanUtils.toString(legs)).append(',').append(' ');
buf.append("startDate").append('=').append(JodaBeanUtils.toString(null)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(null));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}