com.opengamma.strata.product.swap.Swap 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.opengamma.strata.collect.Guavate.toImmutableList;
import static com.opengamma.strata.collect.Guavate.toImmutableSet;
import static java.util.stream.Collectors.joining;
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.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.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.AdjustableDate;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.basics.value.ValueSchedule;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.Product;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.common.SummarizerUtils;
import com.opengamma.strata.product.swaption.Swaption;
/**
* A rate swap.
*
* 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.
*
* For example, a swap might involve an agreement to exchange the difference between
* the fixed rate of 1% and the 'GBP-LIBOR-3M' rate every 3 months for 2 years.
*/
@BeanDefinition
public final class Swap
implements Product, Resolvable, 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", builderType = "List")
private final ImmutableList legs;
//-------------------------------------------------------------------------
/**
* 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 Swap of(SwapLeg... legs) {
ArgChecker.notEmpty(legs, "legs");
return new Swap(ImmutableList.copyOf(legs));
}
/**
* Creates a swap from one or more swap legs.
*
* While most swaps have two legs, other combinations are possible.
*
* @param legs the list of legs
* @return the swap
*/
public static Swap of(List legs) {
ArgChecker.notEmpty(legs, "legs");
return new Swap(ImmutableList.copyOf(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.
* The latest date is chosen by examining the unadjusted end date.
*
* @return the start date of the swap
*/
@DerivedProperty
public AdjustableDate getStartDate() {
return legs.stream()
.map(SwapLeg::getStartDate)
.min(Comparator.comparing(adjDate -> adjDate.getUnadjusted()))
.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.
* The latest date is chosen by examining the unadjusted end date.
*
* @return the end date of the swap
*/
@DerivedProperty
public AdjustableDate getEndDate() {
return legs.stream()
.map(SwapLeg::getEndDate)
.max(Comparator.comparing(adjDate -> adjDate.getUnadjusted()))
.get(); // always at least one leg, so get() is safe
}
//-------------------------------------------------------------------------
/**
* 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 set of payment currencies referred to by this swap
*/
@Override
public ImmutableSet allPaymentCurrencies() {
return legs.stream().map(leg -> leg.getCurrency()).collect(toImmutableSet());
}
/**
* Returns the set of currencies referred to by the swap.
*
* This returns the complete set of currencies for the swap, not just the payment currencies.
*
* @return the set of currencies referred to by this swap
*/
@Override
public ImmutableSet allCurrencies() {
ImmutableSet.Builder builder = ImmutableSet.builder();
legs.stream().forEach(leg -> leg.collectCurrencies(builder));
return builder.build();
}
//-------------------------------------------------------------------------
/**
* 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() {
ImmutableSet.Builder builder = ImmutableSet.builder();
legs.stream().forEach(leg -> leg.collectIndices(builder));
return builder.build();
}
//-------------------------------------------------------------------------
/**
* Summarizes this swap into string form.
*
* @return the summary description
*/
public String summaryDescription() {
// 5Y USD 2mm Rec USD-LIBOR-6M / Pay 1% : 21Jan17-21Jan22
StringBuilder buf = new StringBuilder(64);
buf.append(SummarizerUtils.datePeriod(getStartDate().getUnadjusted(), getEndDate().getUnadjusted()));
buf.append(' ');
if (getLegs().size() == 2 &&
getPayLeg().isPresent() &&
getReceiveLeg().isPresent() &&
getLegs().stream().allMatch(leg -> leg instanceof RateCalculationSwapLeg)) {
// normal swap
SwapLeg payLeg = getPayLeg().get();
SwapLeg recLeg = getReceiveLeg().get();
String payNotional = notional(payLeg);
String recNotional = notional(recLeg);
if (payNotional.equals(recNotional)) {
buf.append(recNotional);
buf.append(" Rec ");
buf.append(legSummary(recLeg));
buf.append(" / Pay ");
buf.append(legSummary(payLeg));
} else {
buf.append("Rec ");
buf.append(legSummary(recLeg));
buf.append(' ');
buf.append(recNotional);
buf.append(" / Pay ");
buf.append(legSummary(payLeg));
buf.append(' ');
buf.append(payNotional);
}
} else {
// abnormal swap
buf.append(getLegs().stream()
.map(leg -> (SummarizerUtils.payReceive(leg.getPayReceive()) + " " + legSummary(leg) + " " + notional(leg)).trim())
.collect(joining(" / ")));
}
buf.append(" : ");
buf.append(SummarizerUtils.dateRange(getStartDate().getUnadjusted(), getEndDate().getUnadjusted()));
return buf.toString();
}
// the notional, with trailing space if present
private String notional(SwapLeg leg) {
if (leg instanceof RateCalculationSwapLeg) {
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg) leg;
NotionalSchedule notionalSchedule = rcLeg.getNotionalSchedule();
ValueSchedule amount = notionalSchedule.getAmount();
double notional = amount.getInitialValue();
String vary = !amount.getSteps().isEmpty() || amount.getStepSequence().isPresent() ? " variable" : "";
Currency currency = notionalSchedule.getFxReset().map(fxr -> fxr.getReferenceCurrency()).orElse(rcLeg.getCurrency());
return SummarizerUtils.amount(currency, notional) + vary;
}
if (leg instanceof RatePeriodSwapLeg) {
RatePeriodSwapLeg rpLeg = (RatePeriodSwapLeg) leg;
return SummarizerUtils.amount(rpLeg.getPaymentPeriods().get(0).getNotionalAmount());
}
return "";
}
// a summary of the leg
private String legSummary(SwapLeg leg) {
if (leg instanceof RateCalculationSwapLeg) {
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg) leg;
RateCalculation calculation = rcLeg.getCalculation();
if (calculation instanceof FixedRateCalculation) {
FixedRateCalculation calc = (FixedRateCalculation) calculation;
String vary = !calc.getRate().getSteps().isEmpty() || calc.getRate().getStepSequence().isPresent() ? " variable" : "";
return SummarizerUtils.percent(calc.getRate().getInitialValue()) + vary;
}
if (calculation instanceof IborRateCalculation) {
IborRateCalculation calc = (IborRateCalculation) calculation;
String gearing = calc.getGearing().map(g -> " * " + SummarizerUtils.value(g.getInitialValue())).orElse("");
String spread = calc.getSpread().map(s -> " + " + SummarizerUtils.percent(s.getInitialValue())).orElse("");
return calc.getIndex().getName() + gearing + spread;
}
if (calculation instanceof OvernightRateCalculation) {
OvernightRateCalculation calc = (OvernightRateCalculation) calculation;
String avg = calc.getAccrualMethod() == OvernightAccrualMethod.AVERAGED ? " avg" : "";
String gearing = calc.getGearing().map(g -> " * " + SummarizerUtils.value(g.getInitialValue())).orElse("");
String spread = calc.getSpread().map(s -> " + " + SummarizerUtils.percent(s.getInitialValue())).orElse("");
return calc.getIndex().getName() + avg + gearing + spread;
}
if (calculation instanceof InflationRateCalculation) {
InflationRateCalculation calc = (InflationRateCalculation) calculation;
String gearing = calc.getGearing().map(g -> " * " + SummarizerUtils.value(g.getInitialValue())).orElse("");
return calc.getIndex().getName() + gearing;
}
}
if (leg instanceof KnownAmountSwapLeg) {
KnownAmountSwapLeg kaLeg = (KnownAmountSwapLeg) leg;
String vary =
!kaLeg.getAmount().getSteps().isEmpty() || kaLeg.getAmount().getStepSequence().isPresent() ? " variable" : "";
return SummarizerUtils.amount(kaLeg.getCurrency(), kaLeg.getAmount().getInitialValue()) + vary;
}
ImmutableSet allIndices = leg.allIndices();
return allIndices.isEmpty() ? "Fixed" : allIndices.toString();
}
//-------------------------------------------------------------------------
/**
* Returns an instance based on this swap with the start date replaced.
*
* This is used to change the start date of the swap, and is currently used by {@link Swaption}.
*
* @param adjustedStartDate the new adjusted start date
* @return the updated swap
* @throws IllegalArgumentException if the start date cannot be replaced with the proposed start date
* @throws UnsupportedOperationException if changing the start date is not supported
*/
public Swap replaceStartDate(LocalDate adjustedStartDate) {
return new Swap(legs.stream().map(leg -> leg.replaceStartDate(adjustedStartDate)).collect(toImmutableList()));
}
@Override
public ResolvedSwap resolve(ReferenceData refData) {
// avoid streams as profiling showed a hotspot
// most efficient to loop around legs once
ImmutableList.Builder resolvedLegs = ImmutableList.builder();
ImmutableSet.Builder currencies = ImmutableSet.builder();
ImmutableSet.Builder indices = ImmutableSet.builder();
for (SwapLeg leg : legs) {
ResolvedSwapLeg resolvedLeg = leg.resolve(refData);
resolvedLegs.add(resolvedLeg);
currencies.add(resolvedLeg.getCurrency());
leg.collectIndices(indices);
}
return new ResolvedSwap(resolvedLegs.build(), currencies.build(), indices.build());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code Swap}.
* @return the meta-bean, not null
*/
public static Swap.Meta meta() {
return Swap.Meta.INSTANCE;
}
static {
MetaBean.register(Swap.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 Swap.Builder builder() {
return new Swap.Builder();
}
private Swap(
List legs) {
JodaBeanUtils.notEmpty(legs, "legs");
this.legs = ImmutableList.copyOf(legs);
}
@Override
public Swap.Meta metaBean() {
return Swap.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()) {
Swap other = (Swap) 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("Swap{");
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 Swap}.
*/
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", Swap.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code startDate} property.
*/
private final MetaProperty startDate = DirectMetaProperty.ofDerived(
this, "startDate", Swap.class, AdjustableDate.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty endDate = DirectMetaProperty.ofDerived(
this, "endDate", Swap.class, AdjustableDate.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 Swap.Builder builder() {
return new Swap.Builder();
}
@Override
public Class beanType() {
return Swap.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 ((Swap) bean).getLegs();
case -2129778896: // startDate
return ((Swap) bean).getStartDate();
case -1607727319: // endDate
return ((Swap) 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 Swap}.
*/
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(Swap 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 Swap build() {
return new Swap(
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(SwapLeg... legs) {
return legs(ImmutableList.copyOf(legs));
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("Swap.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 --------------------------
}