com.opengamma.strata.product.rate.FixedOvernightCompoundedAnnualRateComputation Maven / Gradle / Ivy
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/*
* Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.rate;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
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.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.index.Index;
/**
* Defines a known annual fixed rate of interest that follows overnight compounding.
*
* An interest rate that is specified in the contract.
* This is typically used in the fixed legs of a Brazilian swap.
*/
@BeanDefinition(builderScope = "private")
public final class FixedOvernightCompoundedAnnualRateComputation
implements RateComputation, ImmutableBean, Serializable {
/**
* The fixed rate for overnight compounding.
* A 5% rate will be expressed as 0.05.
*/
@PropertyDefinition
private final double rate;
/**
* The accrual factor.
*/
@PropertyDefinition
private final double accrualFactor;
/**
* The calculated simple rate.
*/
private final double simpleRate; // not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance from the rate and accrual factor.
*
* @param rate the fixed rate
* @param accrualFactor the accrual factor
* @return the fixed rate computation
*/
public static FixedOvernightCompoundedAnnualRateComputation of(double rate, double accrualFactor) {
return new FixedOvernightCompoundedAnnualRateComputation(rate, accrualFactor);
}
//-------------------------------------------------------------------------
@ImmutableConstructor
private FixedOvernightCompoundedAnnualRateComputation(double rate, double accrualFactor) {
this.rate = rate;
this.accrualFactor = accrualFactor;
this.simpleRate = (Math.pow(1 + rate, accrualFactor) - 1) / accrualFactor;
}
//-------------------------------------------------------------------------
/**
* Calculates the simple interest rate associated with the compounded rate.
*
* @return the simple rate
*/
public double getSimpleRate() {
return simpleRate;
}
//-------------------------------------------------------------------------
@Override
public void collectIndices(ImmutableSet.Builder builder) {
// no indices to add
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FixedOvernightCompoundedAnnualRateComputation}.
* @return the meta-bean, not null
*/
public static FixedOvernightCompoundedAnnualRateComputation.Meta meta() {
return FixedOvernightCompoundedAnnualRateComputation.Meta.INSTANCE;
}
static {
MetaBean.register(FixedOvernightCompoundedAnnualRateComputation.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public FixedOvernightCompoundedAnnualRateComputation.Meta metaBean() {
return FixedOvernightCompoundedAnnualRateComputation.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the fixed rate for overnight compounding.
* A 5% rate will be expressed as 0.05.
* @return the value of the property
*/
public double getRate() {
return rate;
}
//-----------------------------------------------------------------------
/**
* Gets the accrual factor.
* @return the value of the property
*/
public double getAccrualFactor() {
return accrualFactor;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
FixedOvernightCompoundedAnnualRateComputation other = (FixedOvernightCompoundedAnnualRateComputation) obj;
return JodaBeanUtils.equal(rate, other.rate) &&
JodaBeanUtils.equal(accrualFactor, other.accrualFactor);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(rate);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualFactor);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("FixedOvernightCompoundedAnnualRateComputation{");
buf.append("rate").append('=').append(JodaBeanUtils.toString(rate)).append(',').append(' ');
buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FixedOvernightCompoundedAnnualRateComputation}.
*/
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 rate} property.
*/
private final MetaProperty rate = DirectMetaProperty.ofImmutable(
this, "rate", FixedOvernightCompoundedAnnualRateComputation.class, Double.TYPE);
/**
* The meta-property for the {@code accrualFactor} property.
*/
private final MetaProperty accrualFactor = DirectMetaProperty.ofImmutable(
this, "accrualFactor", FixedOvernightCompoundedAnnualRateComputation.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"rate",
"accrualFactor");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3493088: // rate
return rate;
case -1540322338: // accrualFactor
return accrualFactor;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new FixedOvernightCompoundedAnnualRateComputation.Builder();
}
@Override
public Class beanType() {
return FixedOvernightCompoundedAnnualRateComputation.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code rate} property.
* @return the meta-property, not null
*/
public MetaProperty rate() {
return rate;
}
/**
* The meta-property for the {@code accrualFactor} property.
* @return the meta-property, not null
*/
public MetaProperty accrualFactor() {
return accrualFactor;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3493088: // rate
return ((FixedOvernightCompoundedAnnualRateComputation) bean).getRate();
case -1540322338: // accrualFactor
return ((FixedOvernightCompoundedAnnualRateComputation) bean).getAccrualFactor();
}
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 FixedOvernightCompoundedAnnualRateComputation}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private double rate;
private double accrualFactor;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3493088: // rate
return rate;
case -1540322338: // accrualFactor
return accrualFactor;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3493088: // rate
this.rate = (Double) newValue;
break;
case -1540322338: // accrualFactor
this.accrualFactor = (Double) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public FixedOvernightCompoundedAnnualRateComputation build() {
return new FixedOvernightCompoundedAnnualRateComputation(
rate,
accrualFactor);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("FixedOvernightCompoundedAnnualRateComputation.Builder{");
buf.append("rate").append('=').append(JodaBeanUtils.toString(rate)).append(',').append(' ');
buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}