com.opengamma.strata.product.credit.ResolvedCdsIndex Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.credit;
import static com.opengamma.strata.collect.Guavate.ensureOnlyOne;
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 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.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.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.product.ResolvedProduct;
import com.opengamma.strata.product.common.BuySell;
/**
* A CDS (portfolio) index, resolved for pricing.
*
* This is the resolved form of {@link CdsIndex} and is an input to the pricers.
* Applications will typically create a {@code ResolvedCdsIndex} from a {@code CdsIndex}
* using {@link CdsIndex#resolve(ReferenceData)}.
*/
@BeanDefinition
public final class ResolvedCdsIndex
implements ResolvedProduct, ImmutableBean, Serializable {
/**
* Whether the CDS index is buy or sell.
*
* A value of 'Buy' implies buying protection, where the fixed coupon is paid
* and the protection is received in the event of default.
* A value of 'Sell' implies selling protection, where the fixed coupon is received
* and the protection is paid in the event of default.
*/
@PropertyDefinition(validate = "notNull")
private final BuySell buySell;
/**
* The CDS index identifier.
*
* This identifier is used to refer this CDS index product.
*/
@PropertyDefinition(validate = "notNull")
private final StandardId cdsIndexId;
/**
* The legal entity identifiers.
*
* These identifiers refer to the reference legal entities of the CDS index.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableList legalEntityIds;
/**
* The periodic payments based on the fixed rate.
*
* 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.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableList paymentPeriods;
/**
* The protection end date.
*
* This may be different from the accrual end date of the last payment period in {@code periodicPayments}.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate protectionEndDate;
/**
* The day count convention.
*
* This is used to convert dates to a numerical value.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* The payment on default.
*
* Whether the accrued premium is paid in the event of a default.
*/
@PropertyDefinition(validate = "notNull")
private final PaymentOnDefault paymentOnDefault;
/**
* The protection start of the day.
*
* When the protection starts on the start date.
*/
@PropertyDefinition(validate = "notNull")
private final ProtectionStartOfDay protectionStart;
/**
* The number of days between valuation date and step-in date.
*
* The step-in date is also called protection effective date.
* It is usually 1 calendar day for standardized CDS index contracts.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment stepinDateOffset;
/**
* The number of days between valuation date and settlement date.
*
* It is usually 3 business days for standardized CDS index contracts.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment settlementDateOffset;
//-------------------------------------------------------------------------
/**
* Obtains the accrual start date.
*
* In general this is different from the protection start date.
* Use {@code stepinDateOffset} to compute the protection start date.
*
* @return the accrual start date
*/
public LocalDate getAccrualStartDate() {
return paymentPeriods.get(0).getStartDate();
}
/**
* Obtains the accrual end date.
*
* @return the accrual end date
*/
public LocalDate getAccrualEndDate() {
return paymentPeriods.get(paymentPeriods.size() - 1).getEndDate();
}
/**
* Obtains the notional.
*
* @return the notional
*/
public double getNotional() {
return paymentPeriods.get(0).getNotional();
}
/**
* Obtains the currency.
*
* @return the currency
*/
public Currency getCurrency() {
return paymentPeriods.get(0).getCurrency();
}
/**
* Obtains the fixed coupon rate.
*
* @return the fixed rate
*/
public double getFixedRate() {
return paymentPeriods.get(0).getFixedRate();
}
//-------------------------------------------------------------------------
/**
* Obtains the effective start date from the step-in date.
*
* @param stepinDate the step-in date
* @return the effective start date
*/
public LocalDate calculateEffectiveStartDate(LocalDate stepinDate) {
LocalDate startDate = stepinDate.isAfter(getAccrualStartDate()) ? stepinDate : getAccrualStartDate();
return protectionStart.isBeginning() ? startDate.minusDays(1) : startDate;
}
/**
* Calculates the settlement date from the valuation date.
*
* @param valuationDate the valuation date
* @param refData the reference data to use
* @return the settlement date
*/
public LocalDate calculateSettlementDateFromValuation(LocalDate valuationDate, ReferenceData refData) {
return settlementDateOffset.adjust(valuationDate, refData);
}
//-------------------------------------------------------------------------
/**
* Finds the period that contains the specified date.
*
* The search is performed using unadjusted dates.
*
* @param date the date to find the period for
* @return the period, empty if not found
* @throws IllegalArgumentException if more than one period matches
*/
public Optional findPeriod(LocalDate date) {
return paymentPeriods.stream()
.filter(p -> p.contains(date))
.reduce(ensureOnlyOne());
}
/**
* Calculates the accrued premium per fractional spread for unit notional.
*
* @param stepinDate the step-in date
* @return the accrued year fraction
*/
public double accruedYearFraction(LocalDate stepinDate) {
if (stepinDate.isBefore(getAccrualStartDate())) {
return 0d;
}
if (stepinDate.isEqual(getAccrualEndDate())) {
return paymentPeriods.get(paymentPeriods.size() - 1).getYearFraction();
}
CreditCouponPaymentPeriod period = findPeriod(stepinDate)
.orElseThrow(() -> new IllegalArgumentException("Date outside range"));
return dayCount.relativeYearFraction(period.getStartDate(), stepinDate);
}
//-------------------------------------------------------------------------
/**
* Reduce this instance to {@code ResolvedCds}.
*
* The resultant object is used for pricing CDS index products under the homogeneous pool assumption on constituent
* credit curves.
*
* @return the CDS product
*/
public ResolvedCds toSingleNameCds() {
return ResolvedCds.builder()
.buySell(getBuySell())
.dayCount(getDayCount())
.legalEntityId(getCdsIndexId())
.paymentOnDefault(getPaymentOnDefault())
.paymentPeriods(getPaymentPeriods())
.protectionEndDate(getProtectionEndDate())
.protectionStart(getProtectionStart())
.stepinDateOffset(getStepinDateOffset())
.settlementDateOffset(getSettlementDateOffset())
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedCdsIndex}.
* @return the meta-bean, not null
*/
public static ResolvedCdsIndex.Meta meta() {
return ResolvedCdsIndex.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedCdsIndex.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 ResolvedCdsIndex.Builder builder() {
return new ResolvedCdsIndex.Builder();
}
private ResolvedCdsIndex(
BuySell buySell,
StandardId cdsIndexId,
List legalEntityIds,
List paymentPeriods,
LocalDate protectionEndDate,
DayCount dayCount,
PaymentOnDefault paymentOnDefault,
ProtectionStartOfDay protectionStart,
DaysAdjustment stepinDateOffset,
DaysAdjustment settlementDateOffset) {
JodaBeanUtils.notNull(buySell, "buySell");
JodaBeanUtils.notNull(cdsIndexId, "cdsIndexId");
JodaBeanUtils.notNull(legalEntityIds, "legalEntityIds");
JodaBeanUtils.notEmpty(paymentPeriods, "paymentPeriods");
JodaBeanUtils.notNull(protectionEndDate, "protectionEndDate");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(paymentOnDefault, "paymentOnDefault");
JodaBeanUtils.notNull(protectionStart, "protectionStart");
JodaBeanUtils.notNull(stepinDateOffset, "stepinDateOffset");
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
this.buySell = buySell;
this.cdsIndexId = cdsIndexId;
this.legalEntityIds = ImmutableList.copyOf(legalEntityIds);
this.paymentPeriods = ImmutableList.copyOf(paymentPeriods);
this.protectionEndDate = protectionEndDate;
this.dayCount = dayCount;
this.paymentOnDefault = paymentOnDefault;
this.protectionStart = protectionStart;
this.stepinDateOffset = stepinDateOffset;
this.settlementDateOffset = settlementDateOffset;
}
@Override
public ResolvedCdsIndex.Meta metaBean() {
return ResolvedCdsIndex.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets whether the CDS index is buy or sell.
*
* A value of 'Buy' implies buying protection, where the fixed coupon is paid
* and the protection is received in the event of default.
* A value of 'Sell' implies selling protection, where the fixed coupon is received
* and the protection is paid in the event of default.
* @return the value of the property, not null
*/
public BuySell getBuySell() {
return buySell;
}
//-----------------------------------------------------------------------
/**
* Gets the CDS index identifier.
*
* This identifier is used to refer this CDS index product.
* @return the value of the property, not null
*/
public StandardId getCdsIndexId() {
return cdsIndexId;
}
//-----------------------------------------------------------------------
/**
* Gets the legal entity identifiers.
*
* These identifiers refer to the reference legal entities of the CDS index.
* @return the value of the property, not null
*/
public ImmutableList getLegalEntityIds() {
return legalEntityIds;
}
//-----------------------------------------------------------------------
/**
* Gets the periodic payments based on the fixed rate.
*
* 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.
* @return the value of the property, not empty
*/
public ImmutableList getPaymentPeriods() {
return paymentPeriods;
}
//-----------------------------------------------------------------------
/**
* Gets the protection end date.
*
* This may be different from the accrual end date of the last payment period in {@code periodicPayments}.
* @return the value of the property, not null
*/
public LocalDate getProtectionEndDate() {
return protectionEndDate;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention.
*
* This is used to convert dates to a numerical value.
* @return the value of the property, not null
*/
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Gets the payment on default.
*
* Whether the accrued premium is paid in the event of a default.
* @return the value of the property, not null
*/
public PaymentOnDefault getPaymentOnDefault() {
return paymentOnDefault;
}
//-----------------------------------------------------------------------
/**
* Gets the protection start of the day.
*
* When the protection starts on the start date.
* @return the value of the property, not null
*/
public ProtectionStartOfDay getProtectionStart() {
return protectionStart;
}
//-----------------------------------------------------------------------
/**
* Gets the number of days between valuation date and step-in date.
*
* The step-in date is also called protection effective date.
* It is usually 1 calendar day for standardized CDS index contracts.
* @return the value of the property, not null
*/
public DaysAdjustment getStepinDateOffset() {
return stepinDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the number of days between valuation date and settlement date.
*
* It is usually 3 business days for standardized CDS index contracts.
* @return the value of the property, not null
*/
public DaysAdjustment getSettlementDateOffset() {
return settlementDateOffset;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedCdsIndex other = (ResolvedCdsIndex) obj;
return JodaBeanUtils.equal(buySell, other.buySell) &&
JodaBeanUtils.equal(cdsIndexId, other.cdsIndexId) &&
JodaBeanUtils.equal(legalEntityIds, other.legalEntityIds) &&
JodaBeanUtils.equal(paymentPeriods, other.paymentPeriods) &&
JodaBeanUtils.equal(protectionEndDate, other.protectionEndDate) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(paymentOnDefault, other.paymentOnDefault) &&
JodaBeanUtils.equal(protectionStart, other.protectionStart) &&
JodaBeanUtils.equal(stepinDateOffset, other.stepinDateOffset) &&
JodaBeanUtils.equal(settlementDateOffset, other.settlementDateOffset);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(buySell);
hash = hash * 31 + JodaBeanUtils.hashCode(cdsIndexId);
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityIds);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentPeriods);
hash = hash * 31 + JodaBeanUtils.hashCode(protectionEndDate);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentOnDefault);
hash = hash * 31 + JodaBeanUtils.hashCode(protectionStart);
hash = hash * 31 + JodaBeanUtils.hashCode(stepinDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(settlementDateOffset);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("ResolvedCdsIndex{");
buf.append("buySell").append('=').append(JodaBeanUtils.toString(buySell)).append(',').append(' ');
buf.append("cdsIndexId").append('=').append(JodaBeanUtils.toString(cdsIndexId)).append(',').append(' ');
buf.append("legalEntityIds").append('=').append(JodaBeanUtils.toString(legalEntityIds)).append(',').append(' ');
buf.append("paymentPeriods").append('=').append(JodaBeanUtils.toString(paymentPeriods)).append(',').append(' ');
buf.append("protectionEndDate").append('=').append(JodaBeanUtils.toString(protectionEndDate)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("paymentOnDefault").append('=').append(JodaBeanUtils.toString(paymentOnDefault)).append(',').append(' ');
buf.append("protectionStart").append('=').append(JodaBeanUtils.toString(protectionStart)).append(',').append(' ');
buf.append("stepinDateOffset").append('=').append(JodaBeanUtils.toString(stepinDateOffset)).append(',').append(' ');
buf.append("settlementDateOffset").append('=').append(JodaBeanUtils.toString(settlementDateOffset));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedCdsIndex}.
*/
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 buySell} property.
*/
private final MetaProperty buySell = DirectMetaProperty.ofImmutable(
this, "buySell", ResolvedCdsIndex.class, BuySell.class);
/**
* The meta-property for the {@code cdsIndexId} property.
*/
private final MetaProperty cdsIndexId = DirectMetaProperty.ofImmutable(
this, "cdsIndexId", ResolvedCdsIndex.class, StandardId.class);
/**
* The meta-property for the {@code legalEntityIds} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> legalEntityIds = DirectMetaProperty.ofImmutable(
this, "legalEntityIds", ResolvedCdsIndex.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code paymentPeriods} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> paymentPeriods = DirectMetaProperty.ofImmutable(
this, "paymentPeriods", ResolvedCdsIndex.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code protectionEndDate} property.
*/
private final MetaProperty protectionEndDate = DirectMetaProperty.ofImmutable(
this, "protectionEndDate", ResolvedCdsIndex.class, LocalDate.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", ResolvedCdsIndex.class, DayCount.class);
/**
* The meta-property for the {@code paymentOnDefault} property.
*/
private final MetaProperty paymentOnDefault = DirectMetaProperty.ofImmutable(
this, "paymentOnDefault", ResolvedCdsIndex.class, PaymentOnDefault.class);
/**
* The meta-property for the {@code protectionStart} property.
*/
private final MetaProperty protectionStart = DirectMetaProperty.ofImmutable(
this, "protectionStart", ResolvedCdsIndex.class, ProtectionStartOfDay.class);
/**
* The meta-property for the {@code stepinDateOffset} property.
*/
private final MetaProperty stepinDateOffset = DirectMetaProperty.ofImmutable(
this, "stepinDateOffset", ResolvedCdsIndex.class, DaysAdjustment.class);
/**
* The meta-property for the {@code settlementDateOffset} property.
*/
private final MetaProperty settlementDateOffset = DirectMetaProperty.ofImmutable(
this, "settlementDateOffset", ResolvedCdsIndex.class, DaysAdjustment.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"buySell",
"cdsIndexId",
"legalEntityIds",
"paymentPeriods",
"protectionEndDate",
"dayCount",
"paymentOnDefault",
"protectionStart",
"stepinDateOffset",
"settlementDateOffset");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 244977400: // buySell
return buySell;
case -464117509: // cdsIndexId
return cdsIndexId;
case 1085098268: // legalEntityIds
return legalEntityIds;
case -1674414612: // paymentPeriods
return paymentPeriods;
case -1193325040: // protectionEndDate
return protectionEndDate;
case 1905311443: // dayCount
return dayCount;
case -480203780: // paymentOnDefault
return paymentOnDefault;
case 2103482633: // protectionStart
return protectionStart;
case 852621746: // stepinDateOffset
return stepinDateOffset;
case 135924714: // settlementDateOffset
return settlementDateOffset;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedCdsIndex.Builder builder() {
return new ResolvedCdsIndex.Builder();
}
@Override
public Class beanType() {
return ResolvedCdsIndex.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code buySell} property.
* @return the meta-property, not null
*/
public MetaProperty buySell() {
return buySell;
}
/**
* The meta-property for the {@code cdsIndexId} property.
* @return the meta-property, not null
*/
public MetaProperty cdsIndexId() {
return cdsIndexId;
}
/**
* The meta-property for the {@code legalEntityIds} property.
* @return the meta-property, not null
*/
public MetaProperty> legalEntityIds() {
return legalEntityIds;
}
/**
* 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 protectionEndDate} property.
* @return the meta-property, not null
*/
public MetaProperty protectionEndDate() {
return protectionEndDate;
}
/**
* 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 paymentOnDefault} property.
* @return the meta-property, not null
*/
public MetaProperty paymentOnDefault() {
return paymentOnDefault;
}
/**
* The meta-property for the {@code protectionStart} property.
* @return the meta-property, not null
*/
public MetaProperty protectionStart() {
return protectionStart;
}
/**
* The meta-property for the {@code stepinDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty stepinDateOffset() {
return stepinDateOffset;
}
/**
* The meta-property for the {@code settlementDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty settlementDateOffset() {
return settlementDateOffset;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 244977400: // buySell
return ((ResolvedCdsIndex) bean).getBuySell();
case -464117509: // cdsIndexId
return ((ResolvedCdsIndex) bean).getCdsIndexId();
case 1085098268: // legalEntityIds
return ((ResolvedCdsIndex) bean).getLegalEntityIds();
case -1674414612: // paymentPeriods
return ((ResolvedCdsIndex) bean).getPaymentPeriods();
case -1193325040: // protectionEndDate
return ((ResolvedCdsIndex) bean).getProtectionEndDate();
case 1905311443: // dayCount
return ((ResolvedCdsIndex) bean).getDayCount();
case -480203780: // paymentOnDefault
return ((ResolvedCdsIndex) bean).getPaymentOnDefault();
case 2103482633: // protectionStart
return ((ResolvedCdsIndex) bean).getProtectionStart();
case 852621746: // stepinDateOffset
return ((ResolvedCdsIndex) bean).getStepinDateOffset();
case 135924714: // settlementDateOffset
return ((ResolvedCdsIndex) bean).getSettlementDateOffset();
}
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 ResolvedCdsIndex}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private BuySell buySell;
private StandardId cdsIndexId;
private List legalEntityIds = ImmutableList.of();
private List paymentPeriods = ImmutableList.of();
private LocalDate protectionEndDate;
private DayCount dayCount;
private PaymentOnDefault paymentOnDefault;
private ProtectionStartOfDay protectionStart;
private DaysAdjustment stepinDateOffset;
private DaysAdjustment settlementDateOffset;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedCdsIndex beanToCopy) {
this.buySell = beanToCopy.getBuySell();
this.cdsIndexId = beanToCopy.getCdsIndexId();
this.legalEntityIds = beanToCopy.getLegalEntityIds();
this.paymentPeriods = beanToCopy.getPaymentPeriods();
this.protectionEndDate = beanToCopy.getProtectionEndDate();
this.dayCount = beanToCopy.getDayCount();
this.paymentOnDefault = beanToCopy.getPaymentOnDefault();
this.protectionStart = beanToCopy.getProtectionStart();
this.stepinDateOffset = beanToCopy.getStepinDateOffset();
this.settlementDateOffset = beanToCopy.getSettlementDateOffset();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 244977400: // buySell
return buySell;
case -464117509: // cdsIndexId
return cdsIndexId;
case 1085098268: // legalEntityIds
return legalEntityIds;
case -1674414612: // paymentPeriods
return paymentPeriods;
case -1193325040: // protectionEndDate
return protectionEndDate;
case 1905311443: // dayCount
return dayCount;
case -480203780: // paymentOnDefault
return paymentOnDefault;
case 2103482633: // protectionStart
return protectionStart;
case 852621746: // stepinDateOffset
return stepinDateOffset;
case 135924714: // settlementDateOffset
return settlementDateOffset;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 244977400: // buySell
this.buySell = (BuySell) newValue;
break;
case -464117509: // cdsIndexId
this.cdsIndexId = (StandardId) newValue;
break;
case 1085098268: // legalEntityIds
this.legalEntityIds = (List) newValue;
break;
case -1674414612: // paymentPeriods
this.paymentPeriods = (List) newValue;
break;
case -1193325040: // protectionEndDate
this.protectionEndDate = (LocalDate) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -480203780: // paymentOnDefault
this.paymentOnDefault = (PaymentOnDefault) newValue;
break;
case 2103482633: // protectionStart
this.protectionStart = (ProtectionStartOfDay) newValue;
break;
case 852621746: // stepinDateOffset
this.stepinDateOffset = (DaysAdjustment) newValue;
break;
case 135924714: // settlementDateOffset
this.settlementDateOffset = (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 ResolvedCdsIndex build() {
return new ResolvedCdsIndex(
buySell,
cdsIndexId,
legalEntityIds,
paymentPeriods,
protectionEndDate,
dayCount,
paymentOnDefault,
protectionStart,
stepinDateOffset,
settlementDateOffset);
}
//-----------------------------------------------------------------------
/**
* Sets whether the CDS index is buy or sell.
*
* A value of 'Buy' implies buying protection, where the fixed coupon is paid
* and the protection is received in the event of default.
* A value of 'Sell' implies selling protection, where the fixed coupon is received
* and the protection is paid in the event of default.
* @param buySell the new value, not null
* @return this, for chaining, not null
*/
public Builder buySell(BuySell buySell) {
JodaBeanUtils.notNull(buySell, "buySell");
this.buySell = buySell;
return this;
}
/**
* Sets the CDS index identifier.
*
* This identifier is used to refer this CDS index product.
* @param cdsIndexId the new value, not null
* @return this, for chaining, not null
*/
public Builder cdsIndexId(StandardId cdsIndexId) {
JodaBeanUtils.notNull(cdsIndexId, "cdsIndexId");
this.cdsIndexId = cdsIndexId;
return this;
}
/**
* Sets the legal entity identifiers.
*
* These identifiers refer to the reference legal entities of the CDS index.
* @param legalEntityIds the new value, not null
* @return this, for chaining, not null
*/
public Builder legalEntityIds(List legalEntityIds) {
JodaBeanUtils.notNull(legalEntityIds, "legalEntityIds");
this.legalEntityIds = legalEntityIds;
return this;
}
/**
* Sets the {@code legalEntityIds} property in the builder
* from an array of objects.
* @param legalEntityIds the new value, not null
* @return this, for chaining, not null
*/
public Builder legalEntityIds(StandardId... legalEntityIds) {
return legalEntityIds(ImmutableList.copyOf(legalEntityIds));
}
/**
* Sets the periodic payments based on the fixed rate.
*
* 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.
* @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(CreditCouponPaymentPeriod... paymentPeriods) {
return paymentPeriods(ImmutableList.copyOf(paymentPeriods));
}
/**
* Sets the protection end date.
*
* This may be different from the accrual end date of the last payment period in {@code periodicPayments}.
* @param protectionEndDate the new value, not null
* @return this, for chaining, not null
*/
public Builder protectionEndDate(LocalDate protectionEndDate) {
JodaBeanUtils.notNull(protectionEndDate, "protectionEndDate");
this.protectionEndDate = protectionEndDate;
return this;
}
/**
* Sets the day count convention.
*
* This is used to convert dates to a numerical value.
* @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 the payment on default.
*
* Whether the accrued premium is paid in the event of a default.
* @param paymentOnDefault the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentOnDefault(PaymentOnDefault paymentOnDefault) {
JodaBeanUtils.notNull(paymentOnDefault, "paymentOnDefault");
this.paymentOnDefault = paymentOnDefault;
return this;
}
/**
* Sets the protection start of the day.
*
* When the protection starts on the start date.
* @param protectionStart the new value, not null
* @return this, for chaining, not null
*/
public Builder protectionStart(ProtectionStartOfDay protectionStart) {
JodaBeanUtils.notNull(protectionStart, "protectionStart");
this.protectionStart = protectionStart;
return this;
}
/**
* Sets the number of days between valuation date and step-in date.
*
* The step-in date is also called protection effective date.
* It is usually 1 calendar day for standardized CDS index contracts.
* @param stepinDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder stepinDateOffset(DaysAdjustment stepinDateOffset) {
JodaBeanUtils.notNull(stepinDateOffset, "stepinDateOffset");
this.stepinDateOffset = stepinDateOffset;
return this;
}
/**
* Sets the number of days between valuation date and settlement date.
*
* It is usually 3 business days for standardized CDS index contracts.
* @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;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("ResolvedCdsIndex.Builder{");
buf.append("buySell").append('=').append(JodaBeanUtils.toString(buySell)).append(',').append(' ');
buf.append("cdsIndexId").append('=').append(JodaBeanUtils.toString(cdsIndexId)).append(',').append(' ');
buf.append("legalEntityIds").append('=').append(JodaBeanUtils.toString(legalEntityIds)).append(',').append(' ');
buf.append("paymentPeriods").append('=').append(JodaBeanUtils.toString(paymentPeriods)).append(',').append(' ');
buf.append("protectionEndDate").append('=').append(JodaBeanUtils.toString(protectionEndDate)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("paymentOnDefault").append('=').append(JodaBeanUtils.toString(paymentOnDefault)).append(',').append(' ');
buf.append("protectionStart").append('=').append(JodaBeanUtils.toString(protectionStart)).append(',').append(' ');
buf.append("stepinDateOffset").append('=').append(JodaBeanUtils.toString(stepinDateOffset)).append(',').append(' ');
buf.append("settlementDateOffset").append('=').append(JodaBeanUtils.toString(settlementDateOffset));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}