com.opengamma.strata.product.rate.IborAveragedFixing Maven / Gradle / Ivy
/*
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.rate;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.OptionalDouble;
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.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.opengamma.strata.basics.index.IborIndexObservation;
import com.opengamma.strata.collect.ArgChecker;
/**
* A single fixing of an index that is observed by {@code IborAveragedRateComputation}.
*
* The interest rate is determined for each reset period, with the weight used
* to create a weighted average.
*/
@BeanDefinition
public final class IborAveragedFixing
implements ImmutableBean, Serializable {
/**
* The Ibor index observation to use to determine a rate for the reset period.
*/
@PropertyDefinition(validate = "notNull")
private final IborIndexObservation observation;
/**
* The fixed rate for the fixing date, optional.
* A 5% rate will be expressed as 0.05.
*
* In certain circumstances two counterparties agree the rate of a fixing when the contract starts.
* It is used in place of an observed fixing.
* Other calculation elements, such as gearing or spread, still apply.
*
* If the value not present, which is the normal case, then the rate is
* observed via the normal fixing process.
*/
@PropertyDefinition(get = "optional")
private final Double fixedRate;
/**
* The weight to apply to this fixing.
*
* If the averaging is unweighted, then all weights must be one.
*/
@PropertyDefinition
private final double weight;
//-------------------------------------------------------------------------
/**
* Creates a {@code IborAveragedFixing} from the fixing date with a weight of 1.
*
* @param observation the Ibor observation
* @return the unweighted fixing information
*/
public static IborAveragedFixing of(IborIndexObservation observation) {
return of(observation, null);
}
/**
* Creates a {@code IborAveragedFixing} from the fixing date with a weight of 1.
*
* @param observation the Ibor observation
* @param fixedRate the fixed rate for the fixing date, optional, may be null
* @return the unweighted fixing information
*/
public static IborAveragedFixing of(IborIndexObservation observation, Double fixedRate) {
return IborAveragedFixing.builder()
.observation(observation)
.fixedRate(fixedRate)
.build();
}
/**
* Creates a {@code IborAveragedFixing} from the fixing date, calculating the weight
* from the number of days in the reset period.
*
* This implements the standard approach to average weights, which is to set each
* weight to the actual number of days between the start and end of the reset period.
*
* @param observation the Ibor observation
* @param startDate the start date of the reset period
* @param endDate the end date of the reset period
* @return the weighted fixing information
*/
public static IborAveragedFixing ofDaysInResetPeriod(
IborIndexObservation observation,
LocalDate startDate,
LocalDate endDate) {
return ofDaysInResetPeriod(observation, startDate, endDate, null);
}
/**
* Creates a {@code IborAveragedFixing} from the fixing date, calculating the weight
* from the number of days in the reset period.
*
* This implements the standard approach to average weights, which is to set each
* weight to the actual number of days between the start and end of the reset period.
*
* @param observation the Ibor observation
* @param startDate the start date of the reset period
* @param endDate the end date of the reset period
* @param fixedRate the fixed rate for the fixing date, optional, may be null
* @return the weighted fixing information
*/
public static IborAveragedFixing ofDaysInResetPeriod(
IborIndexObservation observation,
LocalDate startDate,
LocalDate endDate,
Double fixedRate) {
ArgChecker.notNull(observation, "observation");
ArgChecker.notNull(startDate, "startDate");
ArgChecker.notNull(endDate, "endDate");
return IborAveragedFixing.builder()
.observation(observation)
.fixedRate(fixedRate)
.weight(endDate.toEpochDay() - startDate.toEpochDay())
.build();
}
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.weight(1d);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code IborAveragedFixing}.
* @return the meta-bean, not null
*/
public static IborAveragedFixing.Meta meta() {
return IborAveragedFixing.Meta.INSTANCE;
}
static {
MetaBean.register(IborAveragedFixing.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 IborAveragedFixing.Builder builder() {
return new IborAveragedFixing.Builder();
}
private IborAveragedFixing(
IborIndexObservation observation,
Double fixedRate,
double weight) {
JodaBeanUtils.notNull(observation, "observation");
this.observation = observation;
this.fixedRate = fixedRate;
this.weight = weight;
}
@Override
public IborAveragedFixing.Meta metaBean() {
return IborAveragedFixing.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index observation to use to determine a rate for the reset period.
* @return the value of the property, not null
*/
public IborIndexObservation getObservation() {
return observation;
}
//-----------------------------------------------------------------------
/**
* Gets the fixed rate for the fixing date, optional.
* A 5% rate will be expressed as 0.05.
*
* In certain circumstances two counterparties agree the rate of a fixing when the contract starts.
* It is used in place of an observed fixing.
* Other calculation elements, such as gearing or spread, still apply.
*
* If the value not present, which is the normal case, then the rate is
* observed via the normal fixing process.
* @return the optional value of the property, not null
*/
public OptionalDouble getFixedRate() {
return fixedRate != null ? OptionalDouble.of(fixedRate) : OptionalDouble.empty();
}
//-----------------------------------------------------------------------
/**
* Gets the weight to apply to this fixing.
*
* If the averaging is unweighted, then all weights must be one.
* @return the value of the property
*/
public double getWeight() {
return weight;
}
//-----------------------------------------------------------------------
/**
* 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()) {
IborAveragedFixing other = (IborAveragedFixing) obj;
return JodaBeanUtils.equal(observation, other.observation) &&
JodaBeanUtils.equal(fixedRate, other.fixedRate) &&
JodaBeanUtils.equal(weight, other.weight);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(observation);
hash = hash * 31 + JodaBeanUtils.hashCode(fixedRate);
hash = hash * 31 + JodaBeanUtils.hashCode(weight);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("IborAveragedFixing{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).append(',').append(' ');
buf.append("weight").append('=').append(JodaBeanUtils.toString(weight));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborAveragedFixing}.
*/
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 observation} property.
*/
private final MetaProperty observation = DirectMetaProperty.ofImmutable(
this, "observation", IborAveragedFixing.class, IborIndexObservation.class);
/**
* The meta-property for the {@code fixedRate} property.
*/
private final MetaProperty fixedRate = DirectMetaProperty.ofImmutable(
this, "fixedRate", IborAveragedFixing.class, Double.class);
/**
* The meta-property for the {@code weight} property.
*/
private final MetaProperty weight = DirectMetaProperty.ofImmutable(
this, "weight", IborAveragedFixing.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"observation",
"fixedRate",
"weight");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
case 747425396: // fixedRate
return fixedRate;
case -791592328: // weight
return weight;
}
return super.metaPropertyGet(propertyName);
}
@Override
public IborAveragedFixing.Builder builder() {
return new IborAveragedFixing.Builder();
}
@Override
public Class beanType() {
return IborAveragedFixing.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code observation} property.
* @return the meta-property, not null
*/
public MetaProperty observation() {
return observation;
}
/**
* 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 weight} property.
* @return the meta-property, not null
*/
public MetaProperty weight() {
return weight;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return ((IborAveragedFixing) bean).getObservation();
case 747425396: // fixedRate
return ((IborAveragedFixing) bean).fixedRate;
case -791592328: // weight
return ((IborAveragedFixing) bean).getWeight();
}
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 IborAveragedFixing}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private IborIndexObservation observation;
private Double fixedRate;
private double weight;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(IborAveragedFixing beanToCopy) {
this.observation = beanToCopy.getObservation();
this.fixedRate = beanToCopy.fixedRate;
this.weight = beanToCopy.getWeight();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
case 747425396: // fixedRate
return fixedRate;
case -791592328: // weight
return weight;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 122345516: // observation
this.observation = (IborIndexObservation) newValue;
break;
case 747425396: // fixedRate
this.fixedRate = (Double) newValue;
break;
case -791592328: // weight
this.weight = (Double) 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 IborAveragedFixing build() {
return new IborAveragedFixing(
observation,
fixedRate,
weight);
}
//-----------------------------------------------------------------------
/**
* Sets the Ibor index observation to use to determine a rate for the reset period.
* @param observation the new value, not null
* @return this, for chaining, not null
*/
public Builder observation(IborIndexObservation observation) {
JodaBeanUtils.notNull(observation, "observation");
this.observation = observation;
return this;
}
/**
* Sets the fixed rate for the fixing date, optional.
* A 5% rate will be expressed as 0.05.
*
* In certain circumstances two counterparties agree the rate of a fixing when the contract starts.
* It is used in place of an observed fixing.
* Other calculation elements, such as gearing or spread, still apply.
*
* If the value not present, which is the normal case, then the rate is
* observed via the normal fixing process.
* @param fixedRate the new value
* @return this, for chaining, not null
*/
public Builder fixedRate(Double fixedRate) {
this.fixedRate = fixedRate;
return this;
}
/**
* Sets the weight to apply to this fixing.
*
* If the averaging is unweighted, then all weights must be one.
* @param weight the new value
* @return this, for chaining, not null
*/
public Builder weight(double weight) {
this.weight = weight;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("IborAveragedFixing.Builder{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).append(',').append(' ');
buf.append("weight").append('=').append(JodaBeanUtils.toString(weight));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}