com.opengamma.strata.product.cms.ResolvedCmsLeg Maven / Gradle / Ivy
Show all versions of strata-product Show documentation
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.cms;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import java.util.stream.Collectors;
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.ImmutableConstructor;
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.currency.Currency;
import com.opengamma.strata.basics.index.RateIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.swap.SwapIndex;
/**
* A CMS leg of a constant maturity swap (CMS) product, resolved for pricing.
*
* This is the resolved form of {@link CmsLeg} and is an input to the pricers.
* Applications will typically create a {@code ResolvedCmLegs} from a {@code CmsLeg}
* using {@link CmsLeg#resolve(ReferenceData)}.
*
* This defines a single leg for a CMS product and is formed from a number of periods.
* Each period may be a CMS coupon, caplet or floorlet.
*
* A {@code ResolvedCmsLeg} is bound to data that changes over time, such as holiday calendars.
* If the data changes, such as the addition of a new holiday, the resolved form will not be updated.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*/
@BeanDefinition
public final class ResolvedCmsLeg
implements ImmutableBean, Serializable {
/**
* Whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative swap rates can result in a payment in the opposite direction
* to that implied by this indicator.
*
* The value of this flag should match the signs of the payment period notionals.
*/
@PropertyDefinition(validate = "notNull")
private final PayReceive payReceive;
/**
* The periodic payments based on the successive observed values of a swap index.
*
* 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 cmsPeriods;
//-------------------------------------------------------------------------
@ImmutableConstructor
private ResolvedCmsLeg(
PayReceive payReceive,
List cmsPeriods) {
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.cmsPeriods = ImmutableList.copyOf(cmsPeriods);
Set currencies = this.cmsPeriods.stream().map(CmsPeriod::getCurrency).collect(Collectors.toSet());
ArgChecker.isTrue(currencies.size() == 1, "Leg must have a single currency, found: " + currencies);
Set swapIndices = this.cmsPeriods.stream().map(CmsPeriod::getIndex).collect(Collectors.toSet());
ArgChecker.isTrue(swapIndices.size() == 1, "Leg must have a single swap index: " + swapIndices);
}
//-------------------------------------------------------------------------
/**
* Gets the start date of the leg.
*
* This is the first accrual date in the leg, often known as the effective date.
* This date has been adjusted to be a valid business day.
*
* @return the start date of the leg
*/
public LocalDate getStartDate() {
return cmsPeriods.get(0).getStartDate();
}
/**
* Gets the end date of the leg.
*
* This is the last accrual date in the leg, often known as the maturity date.
* This date has been adjusted to be a valid business day.
*
* @return the end date of the leg
*/
public LocalDate getEndDate() {
return cmsPeriods.get(cmsPeriods.size() - 1).getEndDate();
}
/**
* Gets the currency of the leg.
*
* All periods in the leg will have this currency.
*
* @return the currency
*/
public Currency getCurrency() {
return cmsPeriods.get(0).getCurrency();
}
/**
* Gets the swap index of the leg.
*
* All periods in the leg will have this index.
*
* @return the index
*/
public SwapIndex getIndex() {
return cmsPeriods.get(0).getIndex();
}
/**
* Gets the underlying Rate index that the leg is based on.
*
* All periods in the leg will have this index.
*
* @return the index
*/
public RateIndex getUnderlyingIndex() {
return getIndex().getTemplate().getConvention().getFloatingLeg().getIndex();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedCmsLeg}.
* @return the meta-bean, not null
*/
public static ResolvedCmsLeg.Meta meta() {
return ResolvedCmsLeg.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedCmsLeg.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 ResolvedCmsLeg.Builder builder() {
return new ResolvedCmsLeg.Builder();
}
@Override
public ResolvedCmsLeg.Meta metaBean() {
return ResolvedCmsLeg.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative swap rates can result in a payment in the opposite direction
* to that implied by this indicator.
*
* The value of this flag should match the signs of the payment period notionals.
* @return the value of the property, not null
*/
public PayReceive getPayReceive() {
return payReceive;
}
//-----------------------------------------------------------------------
/**
* Gets the periodic payments based on the successive observed values of a swap index.
*
* 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 getCmsPeriods() {
return cmsPeriods;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedCmsLeg other = (ResolvedCmsLeg) obj;
return JodaBeanUtils.equal(payReceive, other.payReceive) &&
JodaBeanUtils.equal(cmsPeriods, other.cmsPeriods);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
hash = hash * 31 + JodaBeanUtils.hashCode(cmsPeriods);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("ResolvedCmsLeg{");
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("cmsPeriods").append('=').append(JodaBeanUtils.toString(cmsPeriods));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedCmsLeg}.
*/
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 payReceive} property.
*/
private final MetaProperty payReceive = DirectMetaProperty.ofImmutable(
this, "payReceive", ResolvedCmsLeg.class, PayReceive.class);
/**
* The meta-property for the {@code cmsPeriods} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> cmsPeriods = DirectMetaProperty.ofImmutable(
this, "cmsPeriods", ResolvedCmsLeg.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"payReceive",
"cmsPeriods");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case 2121598281: // cmsPeriods
return cmsPeriods;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedCmsLeg.Builder builder() {
return new ResolvedCmsLeg.Builder();
}
@Override
public Class beanType() {
return ResolvedCmsLeg.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code payReceive} property.
* @return the meta-property, not null
*/
public MetaProperty payReceive() {
return payReceive;
}
/**
* The meta-property for the {@code cmsPeriods} property.
* @return the meta-property, not null
*/
public MetaProperty> cmsPeriods() {
return cmsPeriods;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return ((ResolvedCmsLeg) bean).getPayReceive();
case 2121598281: // cmsPeriods
return ((ResolvedCmsLeg) bean).getCmsPeriods();
}
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 ResolvedCmsLeg}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private PayReceive payReceive;
private List cmsPeriods = ImmutableList.of();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedCmsLeg beanToCopy) {
this.payReceive = beanToCopy.getPayReceive();
this.cmsPeriods = beanToCopy.getCmsPeriods();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case 2121598281: // cmsPeriods
return cmsPeriods;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
this.payReceive = (PayReceive) newValue;
break;
case 2121598281: // cmsPeriods
this.cmsPeriods = (List) 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 ResolvedCmsLeg build() {
return new ResolvedCmsLeg(
payReceive,
cmsPeriods);
}
//-----------------------------------------------------------------------
/**
* Sets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative swap rates can result in a payment in the opposite direction
* to that implied by this indicator.
*
* The value of this flag should match the signs of the payment period notionals.
* @param payReceive the new value, not null
* @return this, for chaining, not null
*/
public Builder payReceive(PayReceive payReceive) {
JodaBeanUtils.notNull(payReceive, "payReceive");
this.payReceive = payReceive;
return this;
}
/**
* Sets the periodic payments based on the successive observed values of a swap index.
*
* 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 cmsPeriods the new value, not empty
* @return this, for chaining, not null
*/
public Builder cmsPeriods(List cmsPeriods) {
JodaBeanUtils.notEmpty(cmsPeriods, "cmsPeriods");
this.cmsPeriods = cmsPeriods;
return this;
}
/**
* Sets the {@code cmsPeriods} property in the builder
* from an array of objects.
* @param cmsPeriods the new value, not empty
* @return this, for chaining, not null
*/
public Builder cmsPeriods(CmsPeriod... cmsPeriods) {
return cmsPeriods(ImmutableList.copyOf(cmsPeriods));
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("ResolvedCmsLeg.Builder{");
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("cmsPeriods").append('=').append(JodaBeanUtils.toString(cmsPeriods));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}