com.opengamma.strata.product.swaption.ResolvedSwaption 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.swaption;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.ZonedDateTime;
import java.util.Map;
import java.util.NoSuchElementException;
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.ImmutablePreBuild;
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.Iterables;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.RateIndex;
import com.opengamma.strata.product.ResolvedProduct;
import com.opengamma.strata.product.common.LongShort;
import com.opengamma.strata.product.swap.ResolvedSwap;
/**
* A swaption, resolved for pricing.
*
* This is the resolved form of {@link Swaption} and is an input to the pricers.
* Applications will typically create a {@code ResolvedSwaption} from a {@code Swaption}
* using {@link Swaption#resolve(ReferenceData)}.
*
* A {@code ResolvedSwaption} 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 ResolvedSwaption
implements ResolvedProduct, ImmutableBean, Serializable {
/**
* Whether the option is long or short.
*
* Long indicates that the owner wants the option to be in the money at expiry.
* Short indicates that the owner wants the option to be out of the money at expiry.
*/
@PropertyDefinition(validate = "notNull")
private final LongShort longShort;
/**
* Settlement method.
*
* The settlement of the option is specified by {@link SwaptionSettlement}.
*/
@PropertyDefinition(validate = "notNull")
private final SwaptionSettlement swaptionSettlement;
/**
* The exercise information.
*
* A swaption can have three different kinds of exercise - European, American and Bermudan.
* A European swaption has one exercise date, an American can exercise on any date, and a Bermudan
* can exercise on a fixed set of dates.
*
* European swaptions will have matching information in this object, expiry date and swap start date.
* If this is not set in the builder, it will be defaulted to European from the expiry date and swap start date.
*/
@PropertyDefinition(validate = "notNull")
private final SwaptionExerciseDates exerciseInfo;
/**
* The expiry date-time of the option.
*
* The option is European, and can only be exercised on the expiry date.
*/
@PropertyDefinition(validate = "notNull")
private final ZonedDateTime expiry;
/**
* The underlying swap.
*
* At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap
* as viewed by the party long the option.
*/
@PropertyDefinition(validate = "notNull")
private final ResolvedSwap underlying;
//-------------------------------------------------------------------------
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.exerciseInfo == null && builder.expiry != null && builder.underlying != null) {
LocalDate exerciseDate = builder.expiry.toLocalDate();
LocalDate swapStartDate = builder.underlying.getStartDate();
builder.exerciseInfo = SwaptionExerciseDates.ofEuropean(
SwaptionExerciseDate.of(exerciseDate, exerciseDate, swapStartDate));
}
}
//-------------------------------------------------------------------------
/**
* Gets the expiry date of the option.
*
* @return the expiry date
*/
public LocalDate getExpiryDate() {
return expiry.toLocalDate();
}
/**
* Gets the currency of the swaption.
*
* This is the currency of the underlying swap, which is not allowed to be cross-currency.
*
* @return the currency
*/
public Currency getCurrency() {
return Iterables.getOnlyElement(underlying.allPaymentCurrencies());
}
/**
* Gets the index of the underlying swap.
*
* @return the index of the underlying swap
*/
public RateIndex getIndex() {
return (RateIndex) underlying.allIndices().iterator().next();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedSwaption}.
* @return the meta-bean, not null
*/
public static ResolvedSwaption.Meta meta() {
return ResolvedSwaption.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedSwaption.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 ResolvedSwaption.Builder builder() {
return new ResolvedSwaption.Builder();
}
private ResolvedSwaption(
LongShort longShort,
SwaptionSettlement swaptionSettlement,
SwaptionExerciseDates exerciseInfo,
ZonedDateTime expiry,
ResolvedSwap underlying) {
JodaBeanUtils.notNull(longShort, "longShort");
JodaBeanUtils.notNull(swaptionSettlement, "swaptionSettlement");
JodaBeanUtils.notNull(exerciseInfo, "exerciseInfo");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(underlying, "underlying");
this.longShort = longShort;
this.swaptionSettlement = swaptionSettlement;
this.exerciseInfo = exerciseInfo;
this.expiry = expiry;
this.underlying = underlying;
}
@Override
public ResolvedSwaption.Meta metaBean() {
return ResolvedSwaption.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets whether the option is long or short.
*
* Long indicates that the owner wants the option to be in the money at expiry.
* Short indicates that the owner wants the option to be out of the money at expiry.
* @return the value of the property, not null
*/
public LongShort getLongShort() {
return longShort;
}
//-----------------------------------------------------------------------
/**
* Gets settlement method.
*
* The settlement of the option is specified by {@link SwaptionSettlement}.
* @return the value of the property, not null
*/
public SwaptionSettlement getSwaptionSettlement() {
return swaptionSettlement;
}
//-----------------------------------------------------------------------
/**
* Gets the exercise information.
*
* A swaption can have three different kinds of exercise - European, American and Bermudan.
* A European swaption has one exercise date, an American can exercise on any date, and a Bermudan
* can exercise on a fixed set of dates.
*
* European swaptions will have matching information in this object, expiry date and swap start date.
* If this is not set in the builder, it will be defaulted to European from the expiry date and swap start date.
* @return the value of the property, not null
*/
public SwaptionExerciseDates getExerciseInfo() {
return exerciseInfo;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry date-time of the option.
*
* The option is European, and can only be exercised on the expiry date.
* @return the value of the property, not null
*/
public ZonedDateTime getExpiry() {
return expiry;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying swap.
*
* At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap
* as viewed by the party long the option.
* @return the value of the property, not null
*/
public ResolvedSwap getUnderlying() {
return underlying;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedSwaption other = (ResolvedSwaption) obj;
return JodaBeanUtils.equal(longShort, other.longShort) &&
JodaBeanUtils.equal(swaptionSettlement, other.swaptionSettlement) &&
JodaBeanUtils.equal(exerciseInfo, other.exerciseInfo) &&
JodaBeanUtils.equal(expiry, other.expiry) &&
JodaBeanUtils.equal(underlying, other.underlying);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(longShort);
hash = hash * 31 + JodaBeanUtils.hashCode(swaptionSettlement);
hash = hash * 31 + JodaBeanUtils.hashCode(exerciseInfo);
hash = hash * 31 + JodaBeanUtils.hashCode(expiry);
hash = hash * 31 + JodaBeanUtils.hashCode(underlying);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("ResolvedSwaption{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("swaptionSettlement").append('=').append(JodaBeanUtils.toString(swaptionSettlement)).append(',').append(' ');
buf.append("exerciseInfo").append('=').append(JodaBeanUtils.toString(exerciseInfo)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedSwaption}.
*/
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 longShort} property.
*/
private final MetaProperty longShort = DirectMetaProperty.ofImmutable(
this, "longShort", ResolvedSwaption.class, LongShort.class);
/**
* The meta-property for the {@code swaptionSettlement} property.
*/
private final MetaProperty swaptionSettlement = DirectMetaProperty.ofImmutable(
this, "swaptionSettlement", ResolvedSwaption.class, SwaptionSettlement.class);
/**
* The meta-property for the {@code exerciseInfo} property.
*/
private final MetaProperty exerciseInfo = DirectMetaProperty.ofImmutable(
this, "exerciseInfo", ResolvedSwaption.class, SwaptionExerciseDates.class);
/**
* The meta-property for the {@code expiry} property.
*/
private final MetaProperty expiry = DirectMetaProperty.ofImmutable(
this, "expiry", ResolvedSwaption.class, ZonedDateTime.class);
/**
* The meta-property for the {@code underlying} property.
*/
private final MetaProperty underlying = DirectMetaProperty.ofImmutable(
this, "underlying", ResolvedSwaption.class, ResolvedSwap.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"longShort",
"swaptionSettlement",
"exerciseInfo",
"expiry",
"underlying");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -1937554512: // swaptionSettlement
return swaptionSettlement;
case -466669914: // exerciseInfo
return exerciseInfo;
case -1289159373: // expiry
return expiry;
case -1770633379: // underlying
return underlying;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedSwaption.Builder builder() {
return new ResolvedSwaption.Builder();
}
@Override
public Class beanType() {
return ResolvedSwaption.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code longShort} property.
* @return the meta-property, not null
*/
public MetaProperty longShort() {
return longShort;
}
/**
* The meta-property for the {@code swaptionSettlement} property.
* @return the meta-property, not null
*/
public MetaProperty swaptionSettlement() {
return swaptionSettlement;
}
/**
* The meta-property for the {@code exerciseInfo} property.
* @return the meta-property, not null
*/
public MetaProperty exerciseInfo() {
return exerciseInfo;
}
/**
* The meta-property for the {@code expiry} property.
* @return the meta-property, not null
*/
public MetaProperty expiry() {
return expiry;
}
/**
* The meta-property for the {@code underlying} property.
* @return the meta-property, not null
*/
public MetaProperty underlying() {
return underlying;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return ((ResolvedSwaption) bean).getLongShort();
case -1937554512: // swaptionSettlement
return ((ResolvedSwaption) bean).getSwaptionSettlement();
case -466669914: // exerciseInfo
return ((ResolvedSwaption) bean).getExerciseInfo();
case -1289159373: // expiry
return ((ResolvedSwaption) bean).getExpiry();
case -1770633379: // underlying
return ((ResolvedSwaption) bean).getUnderlying();
}
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 ResolvedSwaption}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private LongShort longShort;
private SwaptionSettlement swaptionSettlement;
private SwaptionExerciseDates exerciseInfo;
private ZonedDateTime expiry;
private ResolvedSwap underlying;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedSwaption beanToCopy) {
this.longShort = beanToCopy.getLongShort();
this.swaptionSettlement = beanToCopy.getSwaptionSettlement();
this.exerciseInfo = beanToCopy.getExerciseInfo();
this.expiry = beanToCopy.getExpiry();
this.underlying = beanToCopy.getUnderlying();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -1937554512: // swaptionSettlement
return swaptionSettlement;
case -466669914: // exerciseInfo
return exerciseInfo;
case -1289159373: // expiry
return expiry;
case -1770633379: // underlying
return underlying;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
this.longShort = (LongShort) newValue;
break;
case -1937554512: // swaptionSettlement
this.swaptionSettlement = (SwaptionSettlement) newValue;
break;
case -466669914: // exerciseInfo
this.exerciseInfo = (SwaptionExerciseDates) newValue;
break;
case -1289159373: // expiry
this.expiry = (ZonedDateTime) newValue;
break;
case -1770633379: // underlying
this.underlying = (ResolvedSwap) 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 ResolvedSwaption build() {
preBuild(this);
return new ResolvedSwaption(
longShort,
swaptionSettlement,
exerciseInfo,
expiry,
underlying);
}
//-----------------------------------------------------------------------
/**
* Sets whether the option is long or short.
*
* Long indicates that the owner wants the option to be in the money at expiry.
* Short indicates that the owner wants the option to be out of the money at expiry.
* @param longShort the new value, not null
* @return this, for chaining, not null
*/
public Builder longShort(LongShort longShort) {
JodaBeanUtils.notNull(longShort, "longShort");
this.longShort = longShort;
return this;
}
/**
* Sets settlement method.
*
* The settlement of the option is specified by {@link SwaptionSettlement}.
* @param swaptionSettlement the new value, not null
* @return this, for chaining, not null
*/
public Builder swaptionSettlement(SwaptionSettlement swaptionSettlement) {
JodaBeanUtils.notNull(swaptionSettlement, "swaptionSettlement");
this.swaptionSettlement = swaptionSettlement;
return this;
}
/**
* Sets the exercise information.
*
* A swaption can have three different kinds of exercise - European, American and Bermudan.
* A European swaption has one exercise date, an American can exercise on any date, and a Bermudan
* can exercise on a fixed set of dates.
*
* European swaptions will have matching information in this object, expiry date and swap start date.
* If this is not set in the builder, it will be defaulted to European from the expiry date and swap start date.
* @param exerciseInfo the new value, not null
* @return this, for chaining, not null
*/
public Builder exerciseInfo(SwaptionExerciseDates exerciseInfo) {
JodaBeanUtils.notNull(exerciseInfo, "exerciseInfo");
this.exerciseInfo = exerciseInfo;
return this;
}
/**
* Sets the expiry date-time of the option.
*
* The option is European, and can only be exercised on the expiry date.
* @param expiry the new value, not null
* @return this, for chaining, not null
*/
public Builder expiry(ZonedDateTime expiry) {
JodaBeanUtils.notNull(expiry, "expiry");
this.expiry = expiry;
return this;
}
/**
* Sets the underlying swap.
*
* At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap
* as viewed by the party long the option.
* @param underlying the new value, not null
* @return this, for chaining, not null
*/
public Builder underlying(ResolvedSwap underlying) {
JodaBeanUtils.notNull(underlying, "underlying");
this.underlying = underlying;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("ResolvedSwaption.Builder{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("swaptionSettlement").append('=').append(JodaBeanUtils.toString(swaptionSettlement)).append(',').append(' ');
buf.append("exerciseInfo").append('=').append(JodaBeanUtils.toString(exerciseInfo)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}