com.opengamma.strata.product.bond.FixedCouponBond Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.bond;
import java.io.Serializable;
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.ImmutableDefaults;
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.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.Payment;
import com.opengamma.strata.basics.date.DateAdjuster;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.basics.schedule.Schedule;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecuritizedProduct;
import com.opengamma.strata.product.SecurityId;
/**
* A fixed coupon bond.
*
* A fixed coupon bond is a financial instrument that represents a stream of fixed payments.
* The payments consist two types: periodic coupon payments and nominal payment.
* The periodic payments are made {@code n} times a year with a fixed coupon rate at individual coupon dates.
* The nominal payment is the unique payment at the final coupon date.
*
* The periodic coupon payment schedule is defined using {@link PeriodicSchedule}.
* The payment amount is computed with {@code fixedRate} and {@code notionalAmount}.
* The nominal payment is defined from the last period of the periodic coupon payment schedule and {@code notionalAmount}.
*
* The accrual factor between two dates is computed {@code dayCount}.
* The legal entity of this fixed coupon bond is identified by {@link StandardId}.
* The enum, {@link FixedCouponBondYieldConvention}, specifies the yield computation convention.
*
*
Price
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
*/
@BeanDefinition(constructorScope = "package")
public final class FixedCouponBond
implements SecuritizedProduct, Resolvable, ImmutableBean, Serializable {
/**
* The security identifier.
*
* This identifier uniquely identifies the security within the system.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityId securityId;
/**
* The currency that the bond is traded in.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The notional amount, must be positive.
*
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double notional;
/**
* The accrual schedule.
*
* This is used to define the accrual periods.
* These are used directly or indirectly to determine other dates in the product.
*/
@PropertyDefinition(validate = "notNull")
private final PeriodicSchedule accrualSchedule;
/**
* The fixed coupon rate.
*
* The periodic payments are based on this fixed coupon rate.
*/
@PropertyDefinition
private final double fixedRate;
/**
* The day count convention applicable.
*
* The conversion from dates to a numerical value is made based on this day count.
* For the fixed bond, the day count convention is used to compute accrued interest.
*
* Note that the year fraction of a coupon payment is computed based on the unadjusted
* dates in the schedule.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* Yield convention.
*
* The convention defines how to convert from yield to price and inversely.
*/
@PropertyDefinition(validate = "notNull")
private final FixedCouponBondYieldConvention yieldConvention;
/**
* The legal entity identifier.
*
* This identifier is used for the legal entity that issues the bond.
*/
@PropertyDefinition(validate = "notNull")
private final LegalEntityId legalEntityId;
/**
* The number of days between valuation date and settlement date.
*
* This is used to compute clean price.
* The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
*
* It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment settlementDateOffset;
/**
* Ex-coupon period.
*
* Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the
* owner of the bond on the payment date but to the owner of the bond on the detachment date.
* The difference between the two is the ex-coupon period (measured in days).
*
* Because the detachment date is not after the coupon date, the number of days
* stored in this field should be zero or negative.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment exCouponPeriod;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.exCouponPeriod = DaysAdjustment.NONE;
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(settlementDateOffset.getDays() >= 0, "The settlement date offset must be non-negative");
ArgChecker.isTrue(exCouponPeriod.getDays() <= 0,
"The ex-coupon period is measured from the payment date, thus the days must be non-positive");
}
/**
* Resolves fixed coupon bond using specified reference data.
* @param refData the reference data to use when resolving
* @return the resolved instance
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid definition
*/
@Override
public ResolvedFixedCouponBond resolve(ReferenceData refData) {
Schedule adjustedSchedule = accrualSchedule.createSchedule(refData, true);
Schedule unadjustedSchedule = adjustedSchedule.toUnadjusted();
DateAdjuster exCouponPeriodAdjuster = exCouponPeriod.resolve(refData);
ImmutableList.Builder accrualPeriods = ImmutableList.builder();
for (int i = 0; i < adjustedSchedule.size(); i++) {
SchedulePeriod period = adjustedSchedule.getPeriod(i);
SchedulePeriod unadjustedPeriod = unadjustedSchedule.getPeriod(i);
accrualPeriods.add(FixedCouponBondPaymentPeriod.builder()
.unadjustedStartDate(period.getUnadjustedStartDate())
.unadjustedEndDate(period.getUnadjustedEndDate())
.startDate(period.getStartDate())
.endDate(period.getEndDate())
.detachmentDate(exCouponPeriodAdjuster.adjust(period.getEndDate()))
.notional(notional)
.currency(currency)
.fixedRate(fixedRate)
.yearFraction(unadjustedPeriod.yearFraction(dayCount, unadjustedSchedule))
.build());
}
ImmutableList periodicPayments = accrualPeriods.build();
FixedCouponBondPaymentPeriod lastPeriod = periodicPayments.get(periodicPayments.size() - 1);
Payment nominalPayment = Payment.of(CurrencyAmount.of(currency, notional), lastPeriod.getPaymentDate());
return ResolvedFixedCouponBond.builder()
.securityId(securityId)
.legalEntityId(legalEntityId)
.nominalPayment(nominalPayment)
.periodicPayments(ImmutableList.copyOf(periodicPayments))
.frequency(accrualSchedule.getFrequency())
.rollConvention(accrualSchedule.calculatedRollConvention())
.fixedRate(fixedRate)
.dayCount(dayCount)
.yieldConvention(yieldConvention)
.settlementDateOffset(settlementDateOffset)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FixedCouponBond}.
* @return the meta-bean, not null
*/
public static FixedCouponBond.Meta meta() {
return FixedCouponBond.Meta.INSTANCE;
}
static {
MetaBean.register(FixedCouponBond.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 FixedCouponBond.Builder builder() {
return new FixedCouponBond.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param currency the value of the property, not null
* @param notional the value of the property
* @param accrualSchedule the value of the property, not null
* @param fixedRate the value of the property
* @param dayCount the value of the property, not null
* @param yieldConvention the value of the property, not null
* @param legalEntityId the value of the property, not null
* @param settlementDateOffset the value of the property, not null
* @param exCouponPeriod the value of the property, not null
*/
FixedCouponBond(
SecurityId securityId,
Currency currency,
double notional,
PeriodicSchedule accrualSchedule,
double fixedRate,
DayCount dayCount,
FixedCouponBondYieldConvention yieldConvention,
LegalEntityId legalEntityId,
DaysAdjustment settlementDateOffset,
DaysAdjustment exCouponPeriod) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(currency, "currency");
ArgChecker.notNegativeOrZero(notional, "notional");
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(yieldConvention, "yieldConvention");
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
JodaBeanUtils.notNull(exCouponPeriod, "exCouponPeriod");
this.securityId = securityId;
this.currency = currency;
this.notional = notional;
this.accrualSchedule = accrualSchedule;
this.fixedRate = fixedRate;
this.dayCount = dayCount;
this.yieldConvention = yieldConvention;
this.legalEntityId = legalEntityId;
this.settlementDateOffset = settlementDateOffset;
this.exCouponPeriod = exCouponPeriod;
validate();
}
@Override
public FixedCouponBond.Meta metaBean() {
return FixedCouponBond.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @return the value of the property, not null
*/
@Override
public SecurityId getSecurityId() {
return securityId;
}
//-----------------------------------------------------------------------
/**
* Gets the currency that the bond is traded in.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount, must be positive.
*
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
* @return the value of the property
*/
public double getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the accrual schedule.
*
* This is used to define the accrual periods.
* These are used directly or indirectly to determine other dates in the product.
* @return the value of the property, not null
*/
public PeriodicSchedule getAccrualSchedule() {
return accrualSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the fixed coupon rate.
*
* The periodic payments are based on this fixed coupon rate.
* @return the value of the property
*/
public double getFixedRate() {
return fixedRate;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention applicable.
*
* The conversion from dates to a numerical value is made based on this day count.
* For the fixed bond, the day count convention is used to compute accrued interest.
*
* Note that the year fraction of a coupon payment is computed based on the unadjusted
* dates in the schedule.
* @return the value of the property, not null
*/
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets yield convention.
*
* The convention defines how to convert from yield to price and inversely.
* @return the value of the property, not null
*/
public FixedCouponBondYieldConvention getYieldConvention() {
return yieldConvention;
}
//-----------------------------------------------------------------------
/**
* Gets the legal entity identifier.
*
* This identifier is used for the legal entity that issues the bond.
* @return the value of the property, not null
*/
public LegalEntityId getLegalEntityId() {
return legalEntityId;
}
//-----------------------------------------------------------------------
/**
* Gets the number of days between valuation date and settlement date.
*
* This is used to compute clean price.
* The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
*
* It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.
* @return the value of the property, not null
*/
public DaysAdjustment getSettlementDateOffset() {
return settlementDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets ex-coupon period.
*
* Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the
* owner of the bond on the payment date but to the owner of the bond on the detachment date.
* The difference between the two is the ex-coupon period (measured in days).
*
* Because the detachment date is not after the coupon date, the number of days
* stored in this field should be zero or negative.
* @return the value of the property, not null
*/
public DaysAdjustment getExCouponPeriod() {
return exCouponPeriod;
}
//-----------------------------------------------------------------------
/**
* 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()) {
FixedCouponBond other = (FixedCouponBond) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(accrualSchedule, other.accrualSchedule) &&
JodaBeanUtils.equal(fixedRate, other.fixedRate) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(yieldConvention, other.yieldConvention) &&
JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(settlementDateOffset, other.settlementDateOffset) &&
JodaBeanUtils.equal(exCouponPeriod, other.exCouponPeriod);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(fixedRate);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(yieldConvention);
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityId);
hash = hash * 31 + JodaBeanUtils.hashCode(settlementDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(exCouponPeriod);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("FixedCouponBond{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("accrualSchedule").append('=').append(JodaBeanUtils.toString(accrualSchedule)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("yieldConvention").append('=').append(JodaBeanUtils.toString(yieldConvention)).append(',').append(' ');
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("settlementDateOffset").append('=').append(JodaBeanUtils.toString(settlementDateOffset)).append(',').append(' ');
buf.append("exCouponPeriod").append('=').append(JodaBeanUtils.toString(exCouponPeriod));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FixedCouponBond}.
*/
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 securityId} property.
*/
private final MetaProperty securityId = DirectMetaProperty.ofImmutable(
this, "securityId", FixedCouponBond.class, SecurityId.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", FixedCouponBond.class, Currency.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", FixedCouponBond.class, Double.TYPE);
/**
* The meta-property for the {@code accrualSchedule} property.
*/
private final MetaProperty accrualSchedule = DirectMetaProperty.ofImmutable(
this, "accrualSchedule", FixedCouponBond.class, PeriodicSchedule.class);
/**
* The meta-property for the {@code fixedRate} property.
*/
private final MetaProperty fixedRate = DirectMetaProperty.ofImmutable(
this, "fixedRate", FixedCouponBond.class, Double.TYPE);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", FixedCouponBond.class, DayCount.class);
/**
* The meta-property for the {@code yieldConvention} property.
*/
private final MetaProperty yieldConvention = DirectMetaProperty.ofImmutable(
this, "yieldConvention", FixedCouponBond.class, FixedCouponBondYieldConvention.class);
/**
* The meta-property for the {@code legalEntityId} property.
*/
private final MetaProperty legalEntityId = DirectMetaProperty.ofImmutable(
this, "legalEntityId", FixedCouponBond.class, LegalEntityId.class);
/**
* The meta-property for the {@code settlementDateOffset} property.
*/
private final MetaProperty settlementDateOffset = DirectMetaProperty.ofImmutable(
this, "settlementDateOffset", FixedCouponBond.class, DaysAdjustment.class);
/**
* The meta-property for the {@code exCouponPeriod} property.
*/
private final MetaProperty exCouponPeriod = DirectMetaProperty.ofImmutable(
this, "exCouponPeriod", FixedCouponBond.class, DaysAdjustment.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"currency",
"notional",
"accrualSchedule",
"fixedRate",
"dayCount",
"yieldConvention",
"legalEntityId",
"settlementDateOffset",
"exCouponPeriod");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case 304659814: // accrualSchedule
return accrualSchedule;
case 747425396: // fixedRate
return fixedRate;
case 1905311443: // dayCount
return dayCount;
case -1895216418: // yieldConvention
return yieldConvention;
case 866287159: // legalEntityId
return legalEntityId;
case 135924714: // settlementDateOffset
return settlementDateOffset;
case 1408037338: // exCouponPeriod
return exCouponPeriod;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FixedCouponBond.Builder builder() {
return new FixedCouponBond.Builder();
}
@Override
public Class beanType() {
return FixedCouponBond.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code securityId} property.
* @return the meta-property, not null
*/
public MetaProperty securityId() {
return securityId;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code notional} property.
* @return the meta-property, not null
*/
public MetaProperty notional() {
return notional;
}
/**
* The meta-property for the {@code accrualSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty accrualSchedule() {
return accrualSchedule;
}
/**
* The meta-property for the {@code fixedRate} property.
* @return the meta-property, not null
*/
public MetaProperty fixedRate() {
return fixedRate;
}
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty dayCount() {
return dayCount;
}
/**
* The meta-property for the {@code yieldConvention} property.
* @return the meta-property, not null
*/
public MetaProperty yieldConvention() {
return yieldConvention;
}
/**
* The meta-property for the {@code legalEntityId} property.
* @return the meta-property, not null
*/
public MetaProperty legalEntityId() {
return legalEntityId;
}
/**
* The meta-property for the {@code settlementDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty settlementDateOffset() {
return settlementDateOffset;
}
/**
* The meta-property for the {@code exCouponPeriod} property.
* @return the meta-property, not null
*/
public MetaProperty exCouponPeriod() {
return exCouponPeriod;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((FixedCouponBond) bean).getSecurityId();
case 575402001: // currency
return ((FixedCouponBond) bean).getCurrency();
case 1585636160: // notional
return ((FixedCouponBond) bean).getNotional();
case 304659814: // accrualSchedule
return ((FixedCouponBond) bean).getAccrualSchedule();
case 747425396: // fixedRate
return ((FixedCouponBond) bean).getFixedRate();
case 1905311443: // dayCount
return ((FixedCouponBond) bean).getDayCount();
case -1895216418: // yieldConvention
return ((FixedCouponBond) bean).getYieldConvention();
case 866287159: // legalEntityId
return ((FixedCouponBond) bean).getLegalEntityId();
case 135924714: // settlementDateOffset
return ((FixedCouponBond) bean).getSettlementDateOffset();
case 1408037338: // exCouponPeriod
return ((FixedCouponBond) bean).getExCouponPeriod();
}
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 FixedCouponBond}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityId securityId;
private Currency currency;
private double notional;
private PeriodicSchedule accrualSchedule;
private double fixedRate;
private DayCount dayCount;
private FixedCouponBondYieldConvention yieldConvention;
private LegalEntityId legalEntityId;
private DaysAdjustment settlementDateOffset;
private DaysAdjustment exCouponPeriod;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FixedCouponBond beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.currency = beanToCopy.getCurrency();
this.notional = beanToCopy.getNotional();
this.accrualSchedule = beanToCopy.getAccrualSchedule();
this.fixedRate = beanToCopy.getFixedRate();
this.dayCount = beanToCopy.getDayCount();
this.yieldConvention = beanToCopy.getYieldConvention();
this.legalEntityId = beanToCopy.getLegalEntityId();
this.settlementDateOffset = beanToCopy.getSettlementDateOffset();
this.exCouponPeriod = beanToCopy.getExCouponPeriod();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case 304659814: // accrualSchedule
return accrualSchedule;
case 747425396: // fixedRate
return fixedRate;
case 1905311443: // dayCount
return dayCount;
case -1895216418: // yieldConvention
return yieldConvention;
case 866287159: // legalEntityId
return legalEntityId;
case 135924714: // settlementDateOffset
return settlementDateOffset;
case 1408037338: // exCouponPeriod
return exCouponPeriod;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
this.securityId = (SecurityId) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 1585636160: // notional
this.notional = (Double) newValue;
break;
case 304659814: // accrualSchedule
this.accrualSchedule = (PeriodicSchedule) newValue;
break;
case 747425396: // fixedRate
this.fixedRate = (Double) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -1895216418: // yieldConvention
this.yieldConvention = (FixedCouponBondYieldConvention) newValue;
break;
case 866287159: // legalEntityId
this.legalEntityId = (LegalEntityId) newValue;
break;
case 135924714: // settlementDateOffset
this.settlementDateOffset = (DaysAdjustment) newValue;
break;
case 1408037338: // exCouponPeriod
this.exCouponPeriod = (DaysAdjustment) 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 FixedCouponBond build() {
return new FixedCouponBond(
securityId,
currency,
notional,
accrualSchedule,
fixedRate,
dayCount,
yieldConvention,
legalEntityId,
settlementDateOffset,
exCouponPeriod);
}
//-----------------------------------------------------------------------
/**
* Sets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @param securityId the new value, not null
* @return this, for chaining, not null
*/
public Builder securityId(SecurityId securityId) {
JodaBeanUtils.notNull(securityId, "securityId");
this.securityId = securityId;
return this;
}
/**
* Sets the currency that the bond is traded in.
* @param currency the new value, not null
* @return this, for chaining, not null
*/
public Builder currency(Currency currency) {
JodaBeanUtils.notNull(currency, "currency");
this.currency = currency;
return this;
}
/**
* Sets the notional amount, must be positive.
*
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
* @param notional the new value
* @return this, for chaining, not null
*/
public Builder notional(double notional) {
ArgChecker.notNegativeOrZero(notional, "notional");
this.notional = notional;
return this;
}
/**
* Sets the accrual schedule.
*
* This is used to define the accrual periods.
* These are used directly or indirectly to determine other dates in the product.
* @param accrualSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder accrualSchedule(PeriodicSchedule accrualSchedule) {
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
this.accrualSchedule = accrualSchedule;
return this;
}
/**
* Sets the fixed coupon rate.
*
* The periodic payments are based on this fixed coupon rate.
* @param fixedRate the new value
* @return this, for chaining, not null
*/
public Builder fixedRate(double fixedRate) {
this.fixedRate = fixedRate;
return this;
}
/**
* Sets the day count convention applicable.
*
* The conversion from dates to a numerical value is made based on this day count.
* For the fixed bond, the day count convention is used to compute accrued interest.
*
* Note that the year fraction of a coupon payment is computed based on the unadjusted
* dates in the schedule.
* @param dayCount the new value, not null
* @return this, for chaining, not null
*/
public Builder dayCount(DayCount dayCount) {
JodaBeanUtils.notNull(dayCount, "dayCount");
this.dayCount = dayCount;
return this;
}
/**
* Sets yield convention.
*
* The convention defines how to convert from yield to price and inversely.
* @param yieldConvention the new value, not null
* @return this, for chaining, not null
*/
public Builder yieldConvention(FixedCouponBondYieldConvention yieldConvention) {
JodaBeanUtils.notNull(yieldConvention, "yieldConvention");
this.yieldConvention = yieldConvention;
return this;
}
/**
* Sets the legal entity identifier.
*
* This identifier is used for the legal entity that issues the bond.
* @param legalEntityId the new value, not null
* @return this, for chaining, not null
*/
public Builder legalEntityId(LegalEntityId legalEntityId) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
this.legalEntityId = legalEntityId;
return this;
}
/**
* Sets the number of days between valuation date and settlement date.
*
* This is used to compute clean price.
* The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
*
* It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.
* @param settlementDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder settlementDateOffset(DaysAdjustment settlementDateOffset) {
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
this.settlementDateOffset = settlementDateOffset;
return this;
}
/**
* Sets ex-coupon period.
*
* Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the
* owner of the bond on the payment date but to the owner of the bond on the detachment date.
* The difference between the two is the ex-coupon period (measured in days).
*
* Because the detachment date is not after the coupon date, the number of days
* stored in this field should be zero or negative.
* @param exCouponPeriod the new value, not null
* @return this, for chaining, not null
*/
public Builder exCouponPeriod(DaysAdjustment exCouponPeriod) {
JodaBeanUtils.notNull(exCouponPeriod, "exCouponPeriod");
this.exCouponPeriod = exCouponPeriod;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("FixedCouponBond.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("accrualSchedule").append('=').append(JodaBeanUtils.toString(accrualSchedule)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("yieldConvention").append('=').append(JodaBeanUtils.toString(yieldConvention)).append(',').append(' ');
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("settlementDateOffset").append('=').append(JodaBeanUtils.toString(settlementDateOffset)).append(',').append(' ');
buf.append("exCouponPeriod").append('=').append(JodaBeanUtils.toString(exCouponPeriod));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}