com.opengamma.strata.product.bond.ResolvedFixedCouponBond 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.bond;
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.currency.Payment;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DayCount.ScheduleInfo;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.schedule.Frequency;
import com.opengamma.strata.basics.schedule.RollConvention;
import com.opengamma.strata.basics.schedule.RollConventions;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.ResolvedProduct;
import com.opengamma.strata.product.SecurityId;
/**
* A fixed coupon bond, resolved for pricing.
*
* This is the resolved form of {@link FixedCouponBond} and is an input to the pricers.
* Applications will typically create a {@code ResolvedFixedCouponBond} from a {@code FixedCouponBond}
* using {@link FixedCouponBond#resolve(ReferenceData)}.
*
* The list of {@link FixedCouponBondPaymentPeriod} represents the periodic coupon payments,
* whereas the nominal payment is defined by {@link Payment}.
*
* The legal entity of this fixed coupon bond is identified by {@link StandardId}.
* The enum, {@link FixedCouponBondYieldConvention}, specifies the yield computation convention.
*
* A {@code ResolvedFixedCouponBond} 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.
*
*
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 ResolvedFixedCouponBond
implements ResolvedProduct, ImmutableBean, Serializable {
/**
* The security identifier.
*
* This identifier uniquely identifies the security within the system.
*/
@PropertyDefinition(validate = "notNull")
private final SecurityId securityId;
/**
* The nominal payment of the product.
*
* The payment date of the nominal payment agrees with the final coupon payment date of the periodic payments.
*/
@PropertyDefinition(validate = "notNull")
private final Payment nominalPayment;
/**
* The periodic payments of the product.
*
* Each payment period represents part of the life-time of the product.
* The start date and end date of the leg are determined from the first and last period.
* As such, the periods should be sorted.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableList periodicPayments;
/**
* The frequency of the bond payments.
*
* This must match the frequency used to generate the payment schedule.
*/
@PropertyDefinition(validate = "notNull")
private final Frequency frequency;
/**
* The roll convention of the bond payments.
*
* This must match the convention used to generate the payment schedule.
*/
@PropertyDefinition(validate = "notNull")
private final RollConvention rollConvention;
/**
* 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;
//-------------------------------------------------------------------------
/**
* Gets the start date of the product.
*
* This is the first coupon period date of the bond, often known as the effective date.
* This date has been adjusted to be a valid business day.
*
* @return the start date
*/
public LocalDate getStartDate() {
return periodicPayments.get(0).getStartDate();
}
/**
* Gets the end date of the product.
*
* This is the last coupon period date of the bond, often known as the maturity date.
* This date has been adjusted to be a valid business day.
*
* @return the end date
*/
public LocalDate getEndDate() {
return periodicPayments.get(periodicPayments.size() - 1).getEndDate();
}
/**
* The unadjusted start date.
*
* This is the unadjusted first coupon period date of the bond.
*
* @return the unadjusted start date
*/
public LocalDate getUnadjustedStartDate() {
return periodicPayments.get(0).getUnadjustedStartDate();
}
/**
* The unadjusted end date.
*
* This is the unadjusted last coupon period date of the bond.
*
* @return the unadjusted end date
*/
public LocalDate getUnadjustedEndDate() {
return periodicPayments.get(periodicPayments.size() - 1).getUnadjustedEndDate();
}
/**
* Gets the currency of the product.
*
* All payments in the bond will have this currency.
*
* @return the currency
*/
public Currency getCurrency() {
return nominalPayment.getCurrency();
}
/**
* Gets the notional amount, must be positive.
*
* The notional expressed here must be positive.
* The currency of the notional is specified by {@link #getCurrency()}.
*
* @return the notional amount
*/
public double getNotional() {
return nominalPayment.getAmount();
}
/**
* Checks if there is an ex-coupon period.
*
* @return true if has an ex-coupon period
*/
public boolean hasExCouponPeriod() {
return periodicPayments.get(0).hasExCouponPeriod();
}
//-------------------------------------------------------------------------
/**
* 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 periodicPayments.stream()
.filter(p -> p.contains(date))
.reduce(ensureOnlyOne());
}
/**
* Calculates the year fraction within the specified period.
*
* Year fractions on bonds are calculated on unadjusted dates.
*
* @param startDate the start date
* @param endDate the end date
* @return the year fraction
* @throws IllegalArgumentException if the dates are outside the range of the bond or start is after end
*/
public double yearFraction(LocalDate startDate, LocalDate endDate) {
ArgChecker.inOrderOrEqual(getUnadjustedStartDate(), startDate, "bond.unadjustedStartDate", "startDate");
ArgChecker.inOrderOrEqual(startDate, endDate, "startDate", "endDate");
ArgChecker.inOrderOrEqual(endDate, getUnadjustedEndDate(), "endDate", "bond.unadjustedEndDate");
// bond day counts often need ScheduleInfo
ScheduleInfo info = new ScheduleInfo() {
@Override
public LocalDate getStartDate() {
return getUnadjustedStartDate();
}
@Override
public LocalDate getEndDate() {
return getUnadjustedEndDate();
}
@Override
public Frequency getFrequency() {
return frequency;
}
@Override
public LocalDate getPeriodEndDate(LocalDate date) {
// exception should not occur, because input is validated above
return periodicPayments.stream()
.filter(p -> p.contains(date))
.map(p -> p.getUnadjustedEndDate())
.findFirst()
.orElseThrow(() -> new IllegalArgumentException("Date is not contained in any period"));
}
@Override
public boolean isEndOfMonthConvention() {
return rollConvention == RollConventions.EOM;
}
};
return dayCount.yearFraction(startDate, endDate, info);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedFixedCouponBond}.
* @return the meta-bean, not null
*/
public static ResolvedFixedCouponBond.Meta meta() {
return ResolvedFixedCouponBond.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedFixedCouponBond.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 ResolvedFixedCouponBond.Builder builder() {
return new ResolvedFixedCouponBond.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param nominalPayment the value of the property, not null
* @param periodicPayments the value of the property, not null
* @param frequency the value of the property, not null
* @param rollConvention 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
*/
ResolvedFixedCouponBond(
SecurityId securityId,
Payment nominalPayment,
List periodicPayments,
Frequency frequency,
RollConvention rollConvention,
double fixedRate,
DayCount dayCount,
FixedCouponBondYieldConvention yieldConvention,
LegalEntityId legalEntityId,
DaysAdjustment settlementDateOffset) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(nominalPayment, "nominalPayment");
JodaBeanUtils.notNull(periodicPayments, "periodicPayments");
JodaBeanUtils.notNull(frequency, "frequency");
JodaBeanUtils.notNull(rollConvention, "rollConvention");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(yieldConvention, "yieldConvention");
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
this.securityId = securityId;
this.nominalPayment = nominalPayment;
this.periodicPayments = ImmutableList.copyOf(periodicPayments);
this.frequency = frequency;
this.rollConvention = rollConvention;
this.fixedRate = fixedRate;
this.dayCount = dayCount;
this.yieldConvention = yieldConvention;
this.legalEntityId = legalEntityId;
this.settlementDateOffset = settlementDateOffset;
}
@Override
public ResolvedFixedCouponBond.Meta metaBean() {
return ResolvedFixedCouponBond.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @return the value of the property, not null
*/
public SecurityId getSecurityId() {
return securityId;
}
//-----------------------------------------------------------------------
/**
* Gets the nominal payment of the product.
*
* The payment date of the nominal payment agrees with the final coupon payment date of the periodic payments.
* @return the value of the property, not null
*/
public Payment getNominalPayment() {
return nominalPayment;
}
//-----------------------------------------------------------------------
/**
* Gets the periodic payments of the product.
*
* Each payment period represents part of the life-time of the product.
* The start date and end date of the leg are determined from the first and last period.
* As such, the periods should be sorted.
* @return the value of the property, not null
*/
public ImmutableList getPeriodicPayments() {
return periodicPayments;
}
//-----------------------------------------------------------------------
/**
* Gets the frequency of the bond payments.
*
* This must match the frequency used to generate the payment schedule.
* @return the value of the property, not null
*/
public Frequency getFrequency() {
return frequency;
}
//-----------------------------------------------------------------------
/**
* Gets the roll convention of the bond payments.
*
* This must match the convention used to generate the payment schedule.
* @return the value of the property, not null
*/
public RollConvention getRollConvention() {
return rollConvention;
}
//-----------------------------------------------------------------------
/**
* 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;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedFixedCouponBond other = (ResolvedFixedCouponBond) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(nominalPayment, other.nominalPayment) &&
JodaBeanUtils.equal(periodicPayments, other.periodicPayments) &&
JodaBeanUtils.equal(frequency, other.frequency) &&
JodaBeanUtils.equal(rollConvention, other.rollConvention) &&
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);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(nominalPayment);
hash = hash * 31 + JodaBeanUtils.hashCode(periodicPayments);
hash = hash * 31 + JodaBeanUtils.hashCode(frequency);
hash = hash * 31 + JodaBeanUtils.hashCode(rollConvention);
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);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("ResolvedFixedCouponBond{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("nominalPayment").append('=').append(JodaBeanUtils.toString(nominalPayment)).append(',').append(' ');
buf.append("periodicPayments").append('=').append(JodaBeanUtils.toString(periodicPayments)).append(',').append(' ');
buf.append("frequency").append('=').append(JodaBeanUtils.toString(frequency)).append(',').append(' ');
buf.append("rollConvention").append('=').append(JodaBeanUtils.toString(rollConvention)).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));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedFixedCouponBond}.
*/
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", ResolvedFixedCouponBond.class, SecurityId.class);
/**
* The meta-property for the {@code nominalPayment} property.
*/
private final MetaProperty nominalPayment = DirectMetaProperty.ofImmutable(
this, "nominalPayment", ResolvedFixedCouponBond.class, Payment.class);
/**
* The meta-property for the {@code periodicPayments} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> periodicPayments = DirectMetaProperty.ofImmutable(
this, "periodicPayments", ResolvedFixedCouponBond.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code frequency} property.
*/
private final MetaProperty frequency = DirectMetaProperty.ofImmutable(
this, "frequency", ResolvedFixedCouponBond.class, Frequency.class);
/**
* The meta-property for the {@code rollConvention} property.
*/
private final MetaProperty rollConvention = DirectMetaProperty.ofImmutable(
this, "rollConvention", ResolvedFixedCouponBond.class, RollConvention.class);
/**
* The meta-property for the {@code fixedRate} property.
*/
private final MetaProperty fixedRate = DirectMetaProperty.ofImmutable(
this, "fixedRate", ResolvedFixedCouponBond.class, Double.TYPE);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", ResolvedFixedCouponBond.class, DayCount.class);
/**
* The meta-property for the {@code yieldConvention} property.
*/
private final MetaProperty yieldConvention = DirectMetaProperty.ofImmutable(
this, "yieldConvention", ResolvedFixedCouponBond.class, FixedCouponBondYieldConvention.class);
/**
* The meta-property for the {@code legalEntityId} property.
*/
private final MetaProperty legalEntityId = DirectMetaProperty.ofImmutable(
this, "legalEntityId", ResolvedFixedCouponBond.class, LegalEntityId.class);
/**
* The meta-property for the {@code settlementDateOffset} property.
*/
private final MetaProperty settlementDateOffset = DirectMetaProperty.ofImmutable(
this, "settlementDateOffset", ResolvedFixedCouponBond.class, DaysAdjustment.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"nominalPayment",
"periodicPayments",
"frequency",
"rollConvention",
"fixedRate",
"dayCount",
"yieldConvention",
"legalEntityId",
"settlementDateOffset");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case -44199542: // nominalPayment
return nominalPayment;
case -367345944: // periodicPayments
return periodicPayments;
case -70023844: // frequency
return frequency;
case -10223666: // rollConvention
return rollConvention;
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;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedFixedCouponBond.Builder builder() {
return new ResolvedFixedCouponBond.Builder();
}
@Override
public Class beanType() {
return ResolvedFixedCouponBond.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 nominalPayment} property.
* @return the meta-property, not null
*/
public MetaProperty nominalPayment() {
return nominalPayment;
}
/**
* The meta-property for the {@code periodicPayments} property.
* @return the meta-property, not null
*/
public MetaProperty> periodicPayments() {
return periodicPayments;
}
/**
* The meta-property for the {@code frequency} property.
* @return the meta-property, not null
*/
public MetaProperty frequency() {
return frequency;
}
/**
* The meta-property for the {@code rollConvention} property.
* @return the meta-property, not null
*/
public MetaProperty rollConvention() {
return rollConvention;
}
/**
* 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;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((ResolvedFixedCouponBond) bean).getSecurityId();
case -44199542: // nominalPayment
return ((ResolvedFixedCouponBond) bean).getNominalPayment();
case -367345944: // periodicPayments
return ((ResolvedFixedCouponBond) bean).getPeriodicPayments();
case -70023844: // frequency
return ((ResolvedFixedCouponBond) bean).getFrequency();
case -10223666: // rollConvention
return ((ResolvedFixedCouponBond) bean).getRollConvention();
case 747425396: // fixedRate
return ((ResolvedFixedCouponBond) bean).getFixedRate();
case 1905311443: // dayCount
return ((ResolvedFixedCouponBond) bean).getDayCount();
case -1895216418: // yieldConvention
return ((ResolvedFixedCouponBond) bean).getYieldConvention();
case 866287159: // legalEntityId
return ((ResolvedFixedCouponBond) bean).getLegalEntityId();
case 135924714: // settlementDateOffset
return ((ResolvedFixedCouponBond) 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 ResolvedFixedCouponBond}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityId securityId;
private Payment nominalPayment;
private List periodicPayments = ImmutableList.of();
private Frequency frequency;
private RollConvention rollConvention;
private double fixedRate;
private DayCount dayCount;
private FixedCouponBondYieldConvention yieldConvention;
private LegalEntityId legalEntityId;
private DaysAdjustment settlementDateOffset;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedFixedCouponBond beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.nominalPayment = beanToCopy.getNominalPayment();
this.periodicPayments = beanToCopy.getPeriodicPayments();
this.frequency = beanToCopy.getFrequency();
this.rollConvention = beanToCopy.getRollConvention();
this.fixedRate = beanToCopy.getFixedRate();
this.dayCount = beanToCopy.getDayCount();
this.yieldConvention = beanToCopy.getYieldConvention();
this.legalEntityId = beanToCopy.getLegalEntityId();
this.settlementDateOffset = beanToCopy.getSettlementDateOffset();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case -44199542: // nominalPayment
return nominalPayment;
case -367345944: // periodicPayments
return periodicPayments;
case -70023844: // frequency
return frequency;
case -10223666: // rollConvention
return rollConvention;
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;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
this.securityId = (SecurityId) newValue;
break;
case -44199542: // nominalPayment
this.nominalPayment = (Payment) newValue;
break;
case -367345944: // periodicPayments
this.periodicPayments = (List) newValue;
break;
case -70023844: // frequency
this.frequency = (Frequency) newValue;
break;
case -10223666: // rollConvention
this.rollConvention = (RollConvention) 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;
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 ResolvedFixedCouponBond build() {
return new ResolvedFixedCouponBond(
securityId,
nominalPayment,
periodicPayments,
frequency,
rollConvention,
fixedRate,
dayCount,
yieldConvention,
legalEntityId,
settlementDateOffset);
}
//-----------------------------------------------------------------------
/**
* 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 nominal payment of the product.
*
* The payment date of the nominal payment agrees with the final coupon payment date of the periodic payments.
* @param nominalPayment the new value, not null
* @return this, for chaining, not null
*/
public Builder nominalPayment(Payment nominalPayment) {
JodaBeanUtils.notNull(nominalPayment, "nominalPayment");
this.nominalPayment = nominalPayment;
return this;
}
/**
* Sets the periodic payments of the product.
*
* Each payment period represents part of the life-time of the product.
* The start date and end date of the leg are determined from the first and last period.
* As such, the periods should be sorted.
* @param periodicPayments the new value, not null
* @return this, for chaining, not null
*/
public Builder periodicPayments(List periodicPayments) {
JodaBeanUtils.notNull(periodicPayments, "periodicPayments");
this.periodicPayments = periodicPayments;
return this;
}
/**
* Sets the {@code periodicPayments} property in the builder
* from an array of objects.
* @param periodicPayments the new value, not null
* @return this, for chaining, not null
*/
public Builder periodicPayments(FixedCouponBondPaymentPeriod... periodicPayments) {
return periodicPayments(ImmutableList.copyOf(periodicPayments));
}
/**
* Sets the frequency of the bond payments.
*
* This must match the frequency used to generate the payment schedule.
* @param frequency the new value, not null
* @return this, for chaining, not null
*/
public Builder frequency(Frequency frequency) {
JodaBeanUtils.notNull(frequency, "frequency");
this.frequency = frequency;
return this;
}
/**
* Sets the roll convention of the bond payments.
*
* This must match the convention used to generate the payment schedule.
* @param rollConvention the new value, not null
* @return this, for chaining, not null
*/
public Builder rollConvention(RollConvention rollConvention) {
JodaBeanUtils.notNull(rollConvention, "rollConvention");
this.rollConvention = rollConvention;
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;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("ResolvedFixedCouponBond.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("nominalPayment").append('=').append(JodaBeanUtils.toString(nominalPayment)).append(',').append(' ');
buf.append("periodicPayments").append('=').append(JodaBeanUtils.toString(periodicPayments)).append(',').append(' ');
buf.append("frequency").append('=').append(JodaBeanUtils.toString(frequency)).append(',').append(' ');
buf.append("rollConvention").append('=').append(JodaBeanUtils.toString(rollConvention)).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));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}