com.opengamma.strata.product.credit.CdsIndex Maven / Gradle / Ivy
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/*
* 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 java.io.Serializable;
import java.time.LocalDate;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableDefaults;
import org.joda.beans.gen.ImmutablePreBuild;
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.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.BusinessDayConventions;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DayCounts;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.basics.schedule.Frequency;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.basics.schedule.RollConventions;
import com.opengamma.strata.basics.schedule.Schedule;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.basics.schedule.StubConvention;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.Product;
import com.opengamma.strata.product.common.BuySell;
/**
* A CDS (portfolio) index product.
*
* A CDS index is a portofolio of single name credit default swaps.
* The protection buyer periodically pays fixed coupons to the protection seller until the expiry,
* and in return, the protection buyer receives the bond of a defaulted constituent legal entity for par.
*/
@BeanDefinition
public final class CdsIndex
implements Product, Resolvable, 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 currency of the CDS index.
*
* The amounts of the notional are expressed in terms of this currency.
*/
@PropertyDefinition(validate = "notNull")
private final Currency currency;
/**
* The notional amount, must be non-negative.
*
* The fixed notional amount applicable during the lifetime of the CDS.
* The currency of the notional is specified by {@code currency}.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double notional;
/**
* The payment schedule.
*
* This is used to define the payment periods.
*/
@PropertyDefinition(validate = "notNull")
private final PeriodicSchedule paymentSchedule;
/**
* The fixed coupon rate.
*
* This must be represented in decimal form.
*/
@PropertyDefinition(validate = "ArgChecker.notNegative")
private final double fixedRate;
/**
* The day count convention.
*
* This is used to convert dates to a numerical value.
*
* When building, this will default to 'Act/360'.
*/
@PropertyDefinition(validate = "notNull")
private final DayCount dayCount;
/**
* The payment on default.
*
* Whether the accrued premium is paid in the event of a default.
*
* When building, this will default to 'AccruedPremium'.
*/
@PropertyDefinition(validate = "notNull")
private final PaymentOnDefault paymentOnDefault;
/**
* The protection start of the day.
*
* When the protection starts on the start date.
*
* When building, this will default to 'Beginning'.
*/
@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.
*
* When building, this will default to 1 calendar day.
*/
@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.
*
* When building, this will default to 3 business days in the calendar of the payment schedule.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment settlementDateOffset;
//-------------------------------------------------------------------------
/**
* Creates an instance of a standardized CDS index.
*
* @param buySell buy or sell
* @param cdsIndexId the CDS index ID
* @param legalEntityIds the legal entity IDs
* @param currency the currency
* @param notional the notional
* @param startDate the start date
* @param endDate the end date
* @param calendar the calendar
* @param paymentFrequency the payment frequency
* @param fixedRate the fixed coupon rate
* @return the instance
*/
public static CdsIndex of(
BuySell buySell,
StandardId cdsIndexId,
List legalEntityIds,
Currency currency,
double notional,
LocalDate startDate,
LocalDate endDate,
Frequency paymentFrequency,
HolidayCalendarId calendar,
double fixedRate) {
PeriodicSchedule accrualSchedule = PeriodicSchedule.builder()
.businessDayAdjustment(BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, calendar))
.startDate(startDate)
.endDate(endDate)
.startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE)
.endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE)
.frequency(paymentFrequency)
.rollConvention(RollConventions.NONE)
.stubConvention(StubConvention.SMART_INITIAL)
.build();
return new CdsIndex(
buySell,
cdsIndexId,
legalEntityIds,
currency,
notional,
accrualSchedule,
fixedRate,
DayCounts.ACT_360,
PaymentOnDefault.ACCRUED_PREMIUM,
ProtectionStartOfDay.BEGINNING,
DaysAdjustment.ofCalendarDays(1),
DaysAdjustment.ofBusinessDays(3, calendar));
}
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.dayCount = DayCounts.ACT_360;
builder.paymentOnDefault = PaymentOnDefault.ACCRUED_PREMIUM;
builder.protectionStart = ProtectionStartOfDay.BEGINNING;
builder.stepinDateOffset = DaysAdjustment.ofCalendarDays(1);
}
//-------------------------------------------------------------------------
@Override
public ImmutableSet allCurrencies() {
return ImmutableSet.of(currency);
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.settlementDateOffset == null && builder.paymentSchedule != null) {
builder.settlementDateOffset =
DaysAdjustment.ofBusinessDays(3, builder.paymentSchedule.getBusinessDayAdjustment().getCalendar());
}
}
//-------------------------------------------------------------------------
@Override
public ResolvedCdsIndex resolve(ReferenceData refData) {
Schedule adjustedSchedule = paymentSchedule.createSchedule(refData);
ImmutableList.Builder accrualPeriods = ImmutableList.builder();
int nPeriods = adjustedSchedule.size();
for (int i = 0; i < nPeriods - 1; i++) {
SchedulePeriod period = adjustedSchedule.getPeriod(i);
accrualPeriods.add(CreditCouponPaymentPeriod.builder()
.startDate(period.getStartDate())
.endDate(period.getEndDate())
.unadjustedStartDate(period.getUnadjustedStartDate())
.unadjustedEndDate(period.getUnadjustedEndDate())
.effectiveStartDate(protectionStart.isBeginning() ? period.getStartDate().minusDays(1) : period.getStartDate())
.effectiveEndDate(protectionStart.isBeginning() ? period.getEndDate().minusDays(1) : period.getEndDate())
.paymentDate(period.getEndDate())
.notional(notional)
.currency(currency)
.fixedRate(fixedRate)
.yearFraction(period.yearFraction(dayCount, adjustedSchedule))
.build());
}
// last period - accrual end is modified
SchedulePeriod lastPeriod = adjustedSchedule.getPeriod(nPeriods - 1);
LocalDate accEndDate = protectionStart.isBeginning() ? lastPeriod.getEndDate().plusDays(1) : lastPeriod.getEndDate();
SchedulePeriod modifiedPeriod = lastPeriod.toBuilder().endDate(accEndDate).build();
accrualPeriods.add(CreditCouponPaymentPeriod.builder()
.startDate(modifiedPeriod.getStartDate())
.endDate(modifiedPeriod.getEndDate())
.unadjustedStartDate(modifiedPeriod.getUnadjustedStartDate())
.unadjustedEndDate(modifiedPeriod.getUnadjustedEndDate())
.effectiveStartDate(protectionStart.isBeginning() ? lastPeriod.getStartDate().minusDays(1) : lastPeriod.getStartDate())
.effectiveEndDate(lastPeriod.getEndDate())
.paymentDate(paymentSchedule.getBusinessDayAdjustment().adjust(lastPeriod.getEndDate(), refData))
.notional(notional)
.currency(currency)
.fixedRate(fixedRate)
.yearFraction(modifiedPeriod.yearFraction(dayCount, adjustedSchedule))
.build());
ImmutableList paymentPeriods = accrualPeriods.build();
return ResolvedCdsIndex.builder()
.buySell(buySell)
.cdsIndexId(cdsIndexId)
.legalEntityIds(legalEntityIds)
.protectionStart(protectionStart)
.paymentOnDefault(paymentOnDefault)
.paymentPeriods(paymentPeriods)
.protectionEndDate(lastPeriod.getEndDate())
.settlementDateOffset(settlementDateOffset)
.stepinDateOffset(stepinDateOffset)
.dayCount(dayCount)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CdsIndex}.
* @return the meta-bean, not null
*/
public static CdsIndex.Meta meta() {
return CdsIndex.Meta.INSTANCE;
}
static {
MetaBean.register(CdsIndex.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 CdsIndex.Builder builder() {
return new CdsIndex.Builder();
}
private CdsIndex(
BuySell buySell,
StandardId cdsIndexId,
List legalEntityIds,
Currency currency,
double notional,
PeriodicSchedule paymentSchedule,
double fixedRate,
DayCount dayCount,
PaymentOnDefault paymentOnDefault,
ProtectionStartOfDay protectionStart,
DaysAdjustment stepinDateOffset,
DaysAdjustment settlementDateOffset) {
JodaBeanUtils.notNull(buySell, "buySell");
JodaBeanUtils.notNull(cdsIndexId, "cdsIndexId");
JodaBeanUtils.notNull(legalEntityIds, "legalEntityIds");
JodaBeanUtils.notNull(currency, "currency");
ArgChecker.notNegativeOrZero(notional, "notional");
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
ArgChecker.notNegative(fixedRate, "fixedRate");
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.currency = currency;
this.notional = notional;
this.paymentSchedule = paymentSchedule;
this.fixedRate = fixedRate;
this.dayCount = dayCount;
this.paymentOnDefault = paymentOnDefault;
this.protectionStart = protectionStart;
this.stepinDateOffset = stepinDateOffset;
this.settlementDateOffset = settlementDateOffset;
}
@Override
public CdsIndex.Meta metaBean() {
return CdsIndex.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 currency of the CDS index.
*
* The amounts of the notional are expressed in terms of this currency.
* @return the value of the property, not null
*/
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount, must be non-negative.
*
* The fixed notional amount applicable during the lifetime of the CDS.
* The currency of the notional is specified by {@code currency}.
* @return the value of the property
*/
public double getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the payment schedule.
*
* This is used to define the payment periods.
* @return the value of the property, not null
*/
public PeriodicSchedule getPaymentSchedule() {
return paymentSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the fixed coupon rate.
*
* This must be represented in decimal form.
* @return the value of the property
*/
public double getFixedRate() {
return fixedRate;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention.
*
* This is used to convert dates to a numerical value.
*
* When building, this will default to 'Act/360'.
* @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.
*
* When building, this will default to 'AccruedPremium'.
* @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.
*
* When building, this will default to 'Beginning'.
* @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.
*
* When building, this will default to 1 calendar day.
* @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.
*
* When building, this will default to 3 business days in the calendar of the payment schedule.
* @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()) {
CdsIndex other = (CdsIndex) obj;
return JodaBeanUtils.equal(buySell, other.buySell) &&
JodaBeanUtils.equal(cdsIndexId, other.cdsIndexId) &&
JodaBeanUtils.equal(legalEntityIds, other.legalEntityIds) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(paymentSchedule, other.paymentSchedule) &&
JodaBeanUtils.equal(fixedRate, other.fixedRate) &&
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(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(fixedRate);
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(416);
buf.append("CdsIndex{");
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("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).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 CdsIndex}.
*/
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", CdsIndex.class, BuySell.class);
/**
* The meta-property for the {@code cdsIndexId} property.
*/
private final MetaProperty cdsIndexId = DirectMetaProperty.ofImmutable(
this, "cdsIndexId", CdsIndex.class, StandardId.class);
/**
* The meta-property for the {@code legalEntityIds} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> legalEntityIds = DirectMetaProperty.ofImmutable(
this, "legalEntityIds", CdsIndex.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", CdsIndex.class, Currency.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", CdsIndex.class, Double.TYPE);
/**
* The meta-property for the {@code paymentSchedule} property.
*/
private final MetaProperty paymentSchedule = DirectMetaProperty.ofImmutable(
this, "paymentSchedule", CdsIndex.class, PeriodicSchedule.class);
/**
* The meta-property for the {@code fixedRate} property.
*/
private final MetaProperty fixedRate = DirectMetaProperty.ofImmutable(
this, "fixedRate", CdsIndex.class, Double.TYPE);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", CdsIndex.class, DayCount.class);
/**
* The meta-property for the {@code paymentOnDefault} property.
*/
private final MetaProperty paymentOnDefault = DirectMetaProperty.ofImmutable(
this, "paymentOnDefault", CdsIndex.class, PaymentOnDefault.class);
/**
* The meta-property for the {@code protectionStart} property.
*/
private final MetaProperty protectionStart = DirectMetaProperty.ofImmutable(
this, "protectionStart", CdsIndex.class, ProtectionStartOfDay.class);
/**
* The meta-property for the {@code stepinDateOffset} property.
*/
private final MetaProperty stepinDateOffset = DirectMetaProperty.ofImmutable(
this, "stepinDateOffset", CdsIndex.class, DaysAdjustment.class);
/**
* The meta-property for the {@code settlementDateOffset} property.
*/
private final MetaProperty settlementDateOffset = DirectMetaProperty.ofImmutable(
this, "settlementDateOffset", CdsIndex.class, DaysAdjustment.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"buySell",
"cdsIndexId",
"legalEntityIds",
"currency",
"notional",
"paymentSchedule",
"fixedRate",
"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 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -1499086147: // paymentSchedule
return paymentSchedule;
case 747425396: // fixedRate
return fixedRate;
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 CdsIndex.Builder builder() {
return new CdsIndex.Builder();
}
@Override
public Class beanType() {
return CdsIndex.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 currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code notional} property.
* @return the meta-property, not null
*/
public MetaProperty notional() {
return notional;
}
/**
* The meta-property for the {@code paymentSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty paymentSchedule() {
return paymentSchedule;
}
/**
* 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 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 ((CdsIndex) bean).getBuySell();
case -464117509: // cdsIndexId
return ((CdsIndex) bean).getCdsIndexId();
case 1085098268: // legalEntityIds
return ((CdsIndex) bean).getLegalEntityIds();
case 575402001: // currency
return ((CdsIndex) bean).getCurrency();
case 1585636160: // notional
return ((CdsIndex) bean).getNotional();
case -1499086147: // paymentSchedule
return ((CdsIndex) bean).getPaymentSchedule();
case 747425396: // fixedRate
return ((CdsIndex) bean).getFixedRate();
case 1905311443: // dayCount
return ((CdsIndex) bean).getDayCount();
case -480203780: // paymentOnDefault
return ((CdsIndex) bean).getPaymentOnDefault();
case 2103482633: // protectionStart
return ((CdsIndex) bean).getProtectionStart();
case 852621746: // stepinDateOffset
return ((CdsIndex) bean).getStepinDateOffset();
case 135924714: // settlementDateOffset
return ((CdsIndex) 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 CdsIndex}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private BuySell buySell;
private StandardId cdsIndexId;
private List legalEntityIds = ImmutableList.of();
private Currency currency;
private double notional;
private PeriodicSchedule paymentSchedule;
private double fixedRate;
private DayCount dayCount;
private PaymentOnDefault paymentOnDefault;
private ProtectionStartOfDay protectionStart;
private DaysAdjustment stepinDateOffset;
private DaysAdjustment settlementDateOffset;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(CdsIndex beanToCopy) {
this.buySell = beanToCopy.getBuySell();
this.cdsIndexId = beanToCopy.getCdsIndexId();
this.legalEntityIds = beanToCopy.getLegalEntityIds();
this.currency = beanToCopy.getCurrency();
this.notional = beanToCopy.getNotional();
this.paymentSchedule = beanToCopy.getPaymentSchedule();
this.fixedRate = beanToCopy.getFixedRate();
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 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -1499086147: // paymentSchedule
return paymentSchedule;
case 747425396: // fixedRate
return fixedRate;
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 575402001: // currency
this.currency = (Currency) newValue;
break;
case 1585636160: // notional
this.notional = (Double) newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule = (PeriodicSchedule) newValue;
break;
case 747425396: // fixedRate
this.fixedRate = (Double) 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 CdsIndex build() {
preBuild(this);
return new CdsIndex(
buySell,
cdsIndexId,
legalEntityIds,
currency,
notional,
paymentSchedule,
fixedRate,
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 currency of the CDS index.
*
* The amounts of the notional are expressed in terms of this currency.
* @param currency the new value, not null
* @return this, for chaining, not null
*/
public Builder currency(Currency currency) {
JodaBeanUtils.notNull(currency, "currency");
this.currency = currency;
return this;
}
/**
* Sets the notional amount, must be non-negative.
*
* The fixed notional amount applicable during the lifetime of the CDS.
* The currency of the notional is specified by {@code currency}.
* @param notional the new value
* @return this, for chaining, not null
*/
public Builder notional(double notional) {
ArgChecker.notNegativeOrZero(notional, "notional");
this.notional = notional;
return this;
}
/**
* Sets the payment schedule.
*
* This is used to define the payment periods.
* @param paymentSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentSchedule(PeriodicSchedule paymentSchedule) {
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
this.paymentSchedule = paymentSchedule;
return this;
}
/**
* Sets the fixed coupon rate.
*
* This must be represented in decimal form.
* @param fixedRate the new value
* @return this, for chaining, not null
*/
public Builder fixedRate(double fixedRate) {
ArgChecker.notNegative(fixedRate, "fixedRate");
this.fixedRate = fixedRate;
return this;
}
/**
* Sets the day count convention.
*
* This is used to convert dates to a numerical value.
*
* When building, this will default to 'Act/360'.
* @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.
*
* When building, this will default to 'AccruedPremium'.
* @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.
*
* When building, this will default to 'Beginning'.
* @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.
*
* When building, this will default to 1 calendar day.
* @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.
*
* When building, this will default to 3 business days in the calendar of the payment schedule.
* @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(416);
buf.append("CdsIndex.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("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).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 --------------------------
}