com.opengamma.strata.product.swap.ResolvedSwapLeg 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 java.io.Serializable;
import java.time.LocalDate;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.Set;
import java.util.stream.Collectors;
import java.util.stream.Stream;
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.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.google.common.collect.Iterables;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.common.PayReceive;
/**
* A resolved swap leg, with dates calculated ready for pricing.
*
* A 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.
*
* This class defines a single swap leg in the form of a list of payment periods.
* Each payment period typically consists of one or more accrual periods.
*
* Any combination of payment and accrual periods is supported in the data model,
* however there is no guarantee that exotic combinations will price sensibly.
*
* All periods and events must be in the same currency.
*
* A {@code ResolvedSwapLeg} contains information based on holiday calendars.
* If a holiday calendar changes, the adjusted dates may no longer be correct.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*/
@BeanDefinition
public final class ResolvedSwapLeg
implements ImmutableBean, Serializable {
/**
* The type of the leg, such as Fixed or Ibor.
*
* This provides a high level categorization of the swap leg.
*/
@PropertyDefinition(validate = "notNull")
private final SwapLegType type;
/**
* Whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
*
* The value of this flag should match the signs of the payment period notionals.
*/
@PropertyDefinition(validate = "notNull")
private final PayReceive payReceive;
/**
* The payment periods that combine to form the swap leg.
*
* Each payment period represents part of the life-time of the leg.
* In most cases, the periods do not overlap. However, since each payment period
* is essentially independent the data model allows overlapping periods.
*
* The start date and end date of the leg are determined from the first and last period.
* As such, the periods should be sorted.
*/
@PropertyDefinition(validate = "notEmpty", builderType = "List")
private final ImmutableList paymentPeriods;
/**
* The payment events that are associated with the swap leg.
*
* Payment events include notional exchange and fees.
*/
@PropertyDefinition(validate = "notNull", builderType = "List")
private final ImmutableList paymentEvents;
/**
* The currency of the leg.
*/
private final transient Currency currency; // not a property, derived and cached from input data
//-------------------------------------------------------------------------
@ImmutableConstructor
private ResolvedSwapLeg(
SwapLegType type,
PayReceive payReceive,
List paymentPeriods,
List paymentEvents) {
this.type = ArgChecker.notNull(type, "type");
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.paymentPeriods = ImmutableList.copyOf(paymentPeriods);
this.paymentEvents = ImmutableList.copyOf(paymentEvents);
// determine and validate currency, with explicit error message
Stream periodCurrencies = paymentPeriods.stream().map(SwapPaymentPeriod::getCurrency);
Stream eventCurrencies = paymentEvents.stream().map(SwapPaymentEvent::getCurrency);
Set currencies = Stream.concat(periodCurrencies, eventCurrencies).collect(Collectors.toSet());
if (currencies.size() > 1) {
throw new IllegalArgumentException("Swap leg must have a single currency, found: " + currencies);
}
this.currency = Iterables.getOnlyElement(currencies);
}
// trusted constructor
ResolvedSwapLeg(
SwapLegType type,
PayReceive payReceive,
List paymentPeriods,
List paymentEvents,
Currency currency) {
this.type = type;
this.payReceive = payReceive;
this.paymentPeriods = ImmutableList.copyOf(paymentPeriods);
this.paymentEvents = ImmutableList.copyOf(paymentEvents);
this.currency = currency;
}
// ensure standard constructor is invoked
private Object readResolve() {
return new ResolvedSwapLeg(type, payReceive, paymentPeriods, paymentEvents);
}
//-------------------------------------------------------------------------
/**
* Gets the accrual start date of the leg.
*
* This is the first accrual date in the leg, often known as the effective date.
* This date has typically been adjusted to be a valid business day.
*
* @return the start date of the leg
*/
public LocalDate getStartDate() {
return paymentPeriods.get(0).getStartDate();
}
/**
* Gets the accrual end date of the leg.
*
* This is the last accrual date in the leg, often known as the termination date.
* This date has typically been adjusted to be a valid business day.
*
* @return the end date of the leg
*/
public LocalDate getEndDate() {
return paymentPeriods.get(paymentPeriods.size() - 1).getEndDate();
}
/**
* Gets the primary currency of the swap leg.
*
* Any currency associated with FX reset is not included.
*
* @return the currency
*/
public Currency getCurrency() {
return currency;
}
//-------------------------------------------------------------------------
/**
* Finds the payment period applicable for the specified accrual date.
*
* Each payment period contains one or more accrual periods.
* This method finds the matching accrual period and returns the payment period that holds it.
* Periods are considered to contain the end date but not the start date
* If no accrual period contains the date, an empty optional is returned.
*
* @param date the date to find
* @return the payment period applicable at the date
*/
public Optional findPaymentPeriod(LocalDate date) {
return paymentPeriods.stream()
.filter(period -> period.getStartDate().compareTo(date) < 0 && date.compareTo(period.getEndDate()) <= 0)
.findFirst();
}
/**
* Collects all the indices referred to by this leg.
*
* A swap leg will typically refer to at least one index, such as 'GBP-LIBOR-3M'.
* Each index that is referred to must be added to the specified builder.
*
* @param builder the builder to use
*/
public void collectIndices(ImmutableSet.Builder builder) {
paymentPeriods.stream().forEach(period -> period.collectIndices(builder));
}
/**
* Finds the notional on the specified date.
*
* If the date falls before the start, the initial notional will be returned.
* If the date falls after the end, the final notional will be returned.
*
* An empty optional is returned if the leg has no notional, for example if the payment amount
* is known and explicitly specified.
*
* @param date the date on which the notional is required
* @return the notional on the specified date, if available
*/
public Optional findNotional(LocalDate date) {
SwapPaymentPeriod paymentPeriod;
if (!date.isAfter(paymentPeriods.get(0).getStartDate())) {
// Use the first payment period if the date is before the start
paymentPeriod = paymentPeriods.get(0);
} else if (date.isAfter(paymentPeriods.get(paymentPeriods.size() - 1).getEndDate())) {
// Use the last payment period if the date is after the end
paymentPeriod = paymentPeriods.get(paymentPeriods.size() - 1);
} else {
paymentPeriod = findPaymentPeriod(date).get();
}
if (!(paymentPeriod instanceof NotionalPaymentPeriod)) {
return Optional.empty();
}
return Optional.of(((NotionalPaymentPeriod) paymentPeriod).getNotionalAmount());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedSwapLeg}.
* @return the meta-bean, not null
*/
public static ResolvedSwapLeg.Meta meta() {
return ResolvedSwapLeg.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedSwapLeg.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 ResolvedSwapLeg.Builder builder() {
return new ResolvedSwapLeg.Builder();
}
@Override
public ResolvedSwapLeg.Meta metaBean() {
return ResolvedSwapLeg.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the type of the leg, such as Fixed or Ibor.
*
* This provides a high level categorization of the swap leg.
* @return the value of the property, not null
*/
public SwapLegType getType() {
return type;
}
//-----------------------------------------------------------------------
/**
* Gets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
*
* The value of this flag should match the signs of the payment period notionals.
* @return the value of the property, not null
*/
public PayReceive getPayReceive() {
return payReceive;
}
//-----------------------------------------------------------------------
/**
* Gets the payment periods that combine to form the swap leg.
*
* Each payment period represents part of the life-time of the leg.
* In most cases, the periods do not overlap. However, since each payment period
* is essentially independent the data model allows overlapping periods.
*
* The start date and end date of the leg are determined from the first and last period.
* As such, the periods should be sorted.
* @return the value of the property, not empty
*/
public ImmutableList getPaymentPeriods() {
return paymentPeriods;
}
//-----------------------------------------------------------------------
/**
* Gets the payment events that are associated with the swap leg.
*
* Payment events include notional exchange and fees.
* @return the value of the property, not null
*/
public ImmutableList getPaymentEvents() {
return paymentEvents;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedSwapLeg other = (ResolvedSwapLeg) obj;
return JodaBeanUtils.equal(type, other.type) &&
JodaBeanUtils.equal(payReceive, other.payReceive) &&
JodaBeanUtils.equal(paymentPeriods, other.paymentPeriods) &&
JodaBeanUtils.equal(paymentEvents, other.paymentEvents);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(type);
hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentPeriods);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentEvents);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ResolvedSwapLeg{");
buf.append("type").append('=').append(JodaBeanUtils.toString(type)).append(',').append(' ');
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("paymentPeriods").append('=').append(JodaBeanUtils.toString(paymentPeriods)).append(',').append(' ');
buf.append("paymentEvents").append('=').append(JodaBeanUtils.toString(paymentEvents));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedSwapLeg}.
*/
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 type} property.
*/
private final MetaProperty type = DirectMetaProperty.ofImmutable(
this, "type", ResolvedSwapLeg.class, SwapLegType.class);
/**
* The meta-property for the {@code payReceive} property.
*/
private final MetaProperty payReceive = DirectMetaProperty.ofImmutable(
this, "payReceive", ResolvedSwapLeg.class, PayReceive.class);
/**
* The meta-property for the {@code paymentPeriods} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> paymentPeriods = DirectMetaProperty.ofImmutable(
this, "paymentPeriods", ResolvedSwapLeg.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code paymentEvents} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> paymentEvents = DirectMetaProperty.ofImmutable(
this, "paymentEvents", ResolvedSwapLeg.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"type",
"payReceive",
"paymentPeriods",
"paymentEvents");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3575610: // type
return type;
case -885469925: // payReceive
return payReceive;
case -1674414612: // paymentPeriods
return paymentPeriods;
case 1031856831: // paymentEvents
return paymentEvents;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedSwapLeg.Builder builder() {
return new ResolvedSwapLeg.Builder();
}
@Override
public Class beanType() {
return ResolvedSwapLeg.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code type} property.
* @return the meta-property, not null
*/
public MetaProperty type() {
return type;
}
/**
* The meta-property for the {@code payReceive} property.
* @return the meta-property, not null
*/
public MetaProperty payReceive() {
return payReceive;
}
/**
* The meta-property for the {@code paymentPeriods} property.
* @return the meta-property, not null
*/
public MetaProperty> paymentPeriods() {
return paymentPeriods;
}
/**
* The meta-property for the {@code paymentEvents} property.
* @return the meta-property, not null
*/
public MetaProperty> paymentEvents() {
return paymentEvents;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3575610: // type
return ((ResolvedSwapLeg) bean).getType();
case -885469925: // payReceive
return ((ResolvedSwapLeg) bean).getPayReceive();
case -1674414612: // paymentPeriods
return ((ResolvedSwapLeg) bean).getPaymentPeriods();
case 1031856831: // paymentEvents
return ((ResolvedSwapLeg) bean).getPaymentEvents();
}
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 ResolvedSwapLeg}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SwapLegType type;
private PayReceive payReceive;
private List paymentPeriods = ImmutableList.of();
private List paymentEvents = ImmutableList.of();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedSwapLeg beanToCopy) {
this.type = beanToCopy.getType();
this.payReceive = beanToCopy.getPayReceive();
this.paymentPeriods = beanToCopy.getPaymentPeriods();
this.paymentEvents = beanToCopy.getPaymentEvents();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3575610: // type
return type;
case -885469925: // payReceive
return payReceive;
case -1674414612: // paymentPeriods
return paymentPeriods;
case 1031856831: // paymentEvents
return paymentEvents;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3575610: // type
this.type = (SwapLegType) newValue;
break;
case -885469925: // payReceive
this.payReceive = (PayReceive) newValue;
break;
case -1674414612: // paymentPeriods
this.paymentPeriods = (List) newValue;
break;
case 1031856831: // paymentEvents
this.paymentEvents = (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 ResolvedSwapLeg build() {
return new ResolvedSwapLeg(
type,
payReceive,
paymentPeriods,
paymentEvents);
}
//-----------------------------------------------------------------------
/**
* Sets the type of the leg, such as Fixed or Ibor.
*
* This provides a high level categorization of the swap leg.
* @param type the new value, not null
* @return this, for chaining, not null
*/
public Builder type(SwapLegType type) {
JodaBeanUtils.notNull(type, "type");
this.type = type;
return this;
}
/**
* Sets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
*
* The value of this flag should match the signs of the payment period notionals.
* @param payReceive the new value, not null
* @return this, for chaining, not null
*/
public Builder payReceive(PayReceive payReceive) {
JodaBeanUtils.notNull(payReceive, "payReceive");
this.payReceive = payReceive;
return this;
}
/**
* Sets the payment periods that combine to form the swap leg.
*
* Each payment period represents part of the life-time of the leg.
* In most cases, the periods do not overlap. However, since each payment period
* is essentially independent the data model allows overlapping periods.
*
* The start date and end date of the leg are determined from the first and last period.
* As such, the periods should be sorted.
* @param paymentPeriods the new value, not empty
* @return this, for chaining, not null
*/
public Builder paymentPeriods(List paymentPeriods) {
JodaBeanUtils.notEmpty(paymentPeriods, "paymentPeriods");
this.paymentPeriods = paymentPeriods;
return this;
}
/**
* Sets the {@code paymentPeriods} property in the builder
* from an array of objects.
* @param paymentPeriods the new value, not empty
* @return this, for chaining, not null
*/
public Builder paymentPeriods(SwapPaymentPeriod... paymentPeriods) {
return paymentPeriods(ImmutableList.copyOf(paymentPeriods));
}
/**
* Sets the payment events that are associated with the swap leg.
*
* Payment events include notional exchange and fees.
* @param paymentEvents the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentEvents(List paymentEvents) {
JodaBeanUtils.notNull(paymentEvents, "paymentEvents");
this.paymentEvents = paymentEvents;
return this;
}
/**
* Sets the {@code paymentEvents} property in the builder
* from an array of objects.
* @param paymentEvents the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentEvents(SwapPaymentEvent... paymentEvents) {
return paymentEvents(ImmutableList.copyOf(paymentEvents));
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ResolvedSwapLeg.Builder{");
buf.append("type").append('=').append(JodaBeanUtils.toString(type)).append(',').append(' ');
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("paymentPeriods").append('=').append(JodaBeanUtils.toString(paymentPeriods)).append(',').append(' ');
buf.append("paymentEvents").append('=').append(JodaBeanUtils.toString(paymentEvents));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}