com.opengamma.strata.product.dsf.DsfSecurity 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.dsf;
import java.io.Serializable;
import java.time.LocalDate;
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.DerivedProperty;
import org.joda.beans.gen.ImmutableValidator;
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.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.PositionInfo;
import com.opengamma.strata.product.Security;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.SecurityInfo;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.swap.RateCalculationSwapLeg;
import com.opengamma.strata.product.swap.Swap;
import com.opengamma.strata.product.swap.SwapLeg;
import com.opengamma.strata.product.swap.SwapLegType;
/**
* A security representing a deliverable swap futures security.
*
* A deliverable swap future is a financial instrument that physically settles
* an interest rate swap on a future date.
* The delivered swap is cleared by a central counterparty.
* The last future price before delivery is quoted in term of the underlying swap present value.
* The futures product is margined on a daily basis.
*
*
Price
* The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date.
* For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000.
* This price can also be viewed as a percentage present value - {@code (100 + percentPv)}, or 0.182% in this example.
*
* Strata uses decimal prices for DSFs in the trade model, pricers and market data.
* The decimal price is based on the decimal multiplier equivalent to the implied percentage.
* Thus the market price of 100.182 is represented in Strata by 1.00182.
*/
@BeanDefinition
public final class DsfSecurity
implements Security, ImmutableBean, Serializable {
/**
* The standard security information.
*
* This includes the security identifier.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityInfo info;
/**
* The notional.
*
* This is also called face value or contract value.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double notional;
/**
* The last date of trading.
*
* This date must be before the delivery date of the underlying swap.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate lastTradeDate;
/**
* The underlying swap.
*
* The delivery date of the future is the start date of the swap.
* The swap must be a single currency swap with a notional of 1.
* There must be two legs, the fixed leg must be received and the floating rate must be paid.
*/
@PropertyDefinition(validate = "notNull")
private final Swap underlyingSwap;
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
ArgChecker.isFalse(underlyingSwap.isCrossCurrency(), "Underlying swap must not be cross currency");
for (SwapLeg swapLeg : underlyingSwap.getLegs()) {
if (swapLeg.getType().equals(SwapLegType.FIXED)) {
ArgChecker.isTrue(swapLeg.getPayReceive().isReceive(), "Underlying swap must receive the fixed leg");
}
if (swapLeg instanceof RateCalculationSwapLeg) {
RateCalculationSwapLeg leg = (RateCalculationSwapLeg) swapLeg;
ArgChecker.isTrue(Math.abs(leg.getNotionalSchedule().getAmount().getInitialValue()) == 1d,
"Underlying swap must have a notional of 1");
}
}
}
//-------------------------------------------------------------------------
@Override
@DerivedProperty
public Currency getCurrency() {
return underlyingSwap.getLegs().get(0).getCurrency();
}
@Override
public ImmutableSet getUnderlyingIds() {
return ImmutableSet.of();
}
//-------------------------------------------------------------------------
@Override
public DsfSecurity withInfo(SecurityInfo info) {
return toBuilder().info(info).build();
}
//-------------------------------------------------------------------------
@Override
public Dsf createProduct(ReferenceData refData) {
LocalDate deliveryDate = underlyingSwap.getStartDate().getUnadjusted();
return new Dsf(getSecurityId(), notional, lastTradeDate, deliveryDate, underlyingSwap);
}
@Override
public DsfTrade createTrade(
TradeInfo info,
double quantity,
double tradePrice,
ReferenceData refData) {
return new DsfTrade(info, createProduct(refData), quantity, tradePrice);
}
@Override
public DsfPosition createPosition(PositionInfo positionInfo, double quantity, ReferenceData refData) {
return DsfPosition.ofNet(positionInfo, createProduct(refData), quantity);
}
@Override
public DsfPosition createPosition(
PositionInfo positionInfo,
double longQuantity,
double shortQuantity,
ReferenceData refData) {
return DsfPosition.ofLongShort(positionInfo, createProduct(refData), longQuantity, shortQuantity);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code DsfSecurity}.
* @return the meta-bean, not null
*/
public static DsfSecurity.Meta meta() {
return DsfSecurity.Meta.INSTANCE;
}
static {
MetaBean.register(DsfSecurity.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 DsfSecurity.Builder builder() {
return new DsfSecurity.Builder();
}
private DsfSecurity(
SecurityInfo info,
double notional,
LocalDate lastTradeDate,
Swap underlyingSwap) {
JodaBeanUtils.notNull(info, "info");
ArgChecker.notNegativeOrZero(notional, "notional");
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
JodaBeanUtils.notNull(underlyingSwap, "underlyingSwap");
this.info = info;
this.notional = notional;
this.lastTradeDate = lastTradeDate;
this.underlyingSwap = underlyingSwap;
validate();
}
@Override
public DsfSecurity.Meta metaBean() {
return DsfSecurity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the standard security information.
*
* This includes the security identifier.
* @return the value of the property, not null
*/
@Override
public SecurityInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the notional.
*
* This is also called face value or contract value.
* @return the value of the property
*/
public double getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the last date of trading.
*
* This date must be before the delivery date of the underlying swap.
* @return the value of the property, not null
*/
public LocalDate getLastTradeDate() {
return lastTradeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying swap.
*
* The delivery date of the future is the start date of the swap.
* The swap must be a single currency swap with a notional of 1.
* There must be two legs, the fixed leg must be received and the floating rate must be paid.
* @return the value of the property, not null
*/
public Swap getUnderlyingSwap() {
return underlyingSwap;
}
//-----------------------------------------------------------------------
/**
* 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()) {
DsfSecurity other = (DsfSecurity) obj;
return JodaBeanUtils.equal(info, other.info) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(lastTradeDate, other.lastTradeDate) &&
JodaBeanUtils.equal(underlyingSwap, other.underlyingSwap);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(info);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(lastTradeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(underlyingSwap);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("DsfSecurity{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("underlyingSwap").append('=').append(JodaBeanUtils.toString(underlyingSwap)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(getCurrency()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code DsfSecurity}.
*/
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 info} property.
*/
private final MetaProperty info = DirectMetaProperty.ofImmutable(
this, "info", DsfSecurity.class, SecurityInfo.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", DsfSecurity.class, Double.TYPE);
/**
* The meta-property for the {@code lastTradeDate} property.
*/
private final MetaProperty lastTradeDate = DirectMetaProperty.ofImmutable(
this, "lastTradeDate", DsfSecurity.class, LocalDate.class);
/**
* The meta-property for the {@code underlyingSwap} property.
*/
private final MetaProperty underlyingSwap = DirectMetaProperty.ofImmutable(
this, "underlyingSwap", DsfSecurity.class, Swap.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofDerived(
this, "currency", DsfSecurity.class, Currency.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"info",
"notional",
"lastTradeDate",
"underlyingSwap",
"currency");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case 1585636160: // notional
return notional;
case -1041950404: // lastTradeDate
return lastTradeDate;
case 1497421456: // underlyingSwap
return underlyingSwap;
case 575402001: // currency
return currency;
}
return super.metaPropertyGet(propertyName);
}
@Override
public DsfSecurity.Builder builder() {
return new DsfSecurity.Builder();
}
@Override
public Class beanType() {
return DsfSecurity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code info} property.
* @return the meta-property, not null
*/
public MetaProperty info() {
return info;
}
/**
* 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 lastTradeDate} property.
* @return the meta-property, not null
*/
public MetaProperty lastTradeDate() {
return lastTradeDate;
}
/**
* The meta-property for the {@code underlyingSwap} property.
* @return the meta-property, not null
*/
public MetaProperty underlyingSwap() {
return underlyingSwap;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3237038: // info
return ((DsfSecurity) bean).getInfo();
case 1585636160: // notional
return ((DsfSecurity) bean).getNotional();
case -1041950404: // lastTradeDate
return ((DsfSecurity) bean).getLastTradeDate();
case 1497421456: // underlyingSwap
return ((DsfSecurity) bean).getUnderlyingSwap();
case 575402001: // currency
return ((DsfSecurity) bean).getCurrency();
}
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 DsfSecurity}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityInfo info;
private double notional;
private LocalDate lastTradeDate;
private Swap underlyingSwap;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(DsfSecurity beanToCopy) {
this.info = beanToCopy.getInfo();
this.notional = beanToCopy.getNotional();
this.lastTradeDate = beanToCopy.getLastTradeDate();
this.underlyingSwap = beanToCopy.getUnderlyingSwap();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case 1585636160: // notional
return notional;
case -1041950404: // lastTradeDate
return lastTradeDate;
case 1497421456: // underlyingSwap
return underlyingSwap;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3237038: // info
this.info = (SecurityInfo) newValue;
break;
case 1585636160: // notional
this.notional = (Double) newValue;
break;
case -1041950404: // lastTradeDate
this.lastTradeDate = (LocalDate) newValue;
break;
case 1497421456: // underlyingSwap
this.underlyingSwap = (Swap) 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 DsfSecurity build() {
return new DsfSecurity(
info,
notional,
lastTradeDate,
underlyingSwap);
}
//-----------------------------------------------------------------------
/**
* Sets the standard security information.
*
* This includes the security identifier.
* @param info the new value, not null
* @return this, for chaining, not null
*/
public Builder info(SecurityInfo info) {
JodaBeanUtils.notNull(info, "info");
this.info = info;
return this;
}
/**
* Sets the notional.
*
* This is also called face value or contract value.
* @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 last date of trading.
*
* This date must be before the delivery date of the underlying swap.
* @param lastTradeDate the new value, not null
* @return this, for chaining, not null
*/
public Builder lastTradeDate(LocalDate lastTradeDate) {
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
this.lastTradeDate = lastTradeDate;
return this;
}
/**
* Sets the underlying swap.
*
* The delivery date of the future is the start date of the swap.
* The swap must be a single currency swap with a notional of 1.
* There must be two legs, the fixed leg must be received and the floating rate must be paid.
* @param underlyingSwap the new value, not null
* @return this, for chaining, not null
*/
public Builder underlyingSwap(Swap underlyingSwap) {
JodaBeanUtils.notNull(underlyingSwap, "underlyingSwap");
this.underlyingSwap = underlyingSwap;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("DsfSecurity.Builder{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("underlyingSwap").append('=').append(JodaBeanUtils.toString(underlyingSwap)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(null));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}