/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.basics.index;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableDefaults;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.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.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.HolidayCalendar;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.basics.date.Tenor;
/**
* An overnight index, such as Sonia or Eonia.
* <p>
* An index represented by this class relates to lending over one night.
* The rate typically refers to "Today/Tomorrow" but might refer to "Tomorrow/Next".
* <p>
* The index is defined by four dates.
* The fixing date is the date on which the index is to be observed.
* The publication date is the date on which the fixed rate is actually published.
* The effective date is the date on which the implied deposit starts.
* The maturity date is the date on which the implied deposit ends.
*/
@BeanDefinition
public final class ImmutableOvernightIndex
implements OvernightIndex, ImmutableBean, Serializable {
/**
* The index name, such as 'GBP-SONIA'.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final String name;
/**
* The currency of the index.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* Whether the index is active, defaulted to true.
* <p>
* Over time some indices become inactive and are no longer produced.
* If this occurs, this flag will be set to false.
*/
@PropertyDefinition(overrideGet = true)
private final boolean active;
/**
* The calendar that the index uses.
* <p>
* All dates are calculated with reference to the same calendar.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final HolidayCalendarId fixingCalendar;
/**
* The number of days to add to the fixing date to obtain the publication date.
* <p>
* In most cases, the fixing rate is available on the fixing date.
* In a few cases, publication of the fixing rate is delayed until the following business day.
* This property is zero if publication is on the fixing date, or one if it is the next day.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final int publicationDateOffset;
/**
* The number of days to add to the fixing date to obtain the effective date.
* <p>
* In most cases, the settlement date and start of the implied deposit is on the fixing date.
* In a few cases, the settlement date is the following business day.
* This property is zero if settlement is on the fixing date, or one if it is the next day.
* Maturity is always one business day after the settlement date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final int effectiveDateOffset;
/**
* The day count convention.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DayCount dayCount;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.active = true;
}
@Override
public Tenor getTenor() {
return Tenor.TENOR_1D;
}
@Override
public FloatingRateName getFloatingRateName() {
return FloatingRateName.of(name);
}
//-------------------------------------------------------------------------
@Override
public LocalDate calculatePublicationFromFixing(LocalDate fixingDate, ReferenceData refData) {
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return fixingCal.shift(fixingCal.nextOrSame(fixingDate), publicationDateOffset);
}
@Override
public LocalDate calculateEffectiveFromFixing(LocalDate fixingDate, ReferenceData refData) {
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return fixingCal.shift(fixingCal.nextOrSame(fixingDate), effectiveDateOffset);
}
@Override
public LocalDate calculateMaturityFromFixing(LocalDate fixingDate, ReferenceData refData) {
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return fixingCal.shift(fixingCal.nextOrSame(fixingDate), effectiveDateOffset + 1);
}
@Override
public LocalDate calculateFixingFromEffective(LocalDate effectiveDate, ReferenceData refData) {
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return fixingCal.shift(fixingCal.nextOrSame(effectiveDate), -effectiveDateOffset);
}
@Override
public LocalDate calculateMaturityFromEffective(LocalDate effectiveDate, ReferenceData refData) {
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return fixingCal.shift(fixingCal.nextOrSame(effectiveDate), 1);
}
//-------------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj instanceof ImmutableOvernightIndex) {
return name.equals(((ImmutableOvernightIndex) obj).name);
}
return false;
}
@Override
public int hashCode() {
return name.hashCode();
}
//-------------------------------------------------------------------------
/**
* Returns the name of the index.
*
* @return the name of the index
*/
@Override
public String toString() {
return getName();
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code ImmutableOvernightIndex}.
* @return the meta-bean, not null
*/
public static ImmutableOvernightIndex.Meta meta() {
return ImmutableOvernightIndex.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(ImmutableOvernightIndex.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 ImmutableOvernightIndex.Builder builder() {
return new ImmutableOvernightIndex.Builder();
}
private ImmutableOvernightIndex(
String name,
Currency currency,
boolean active,
HolidayCalendarId fixingCalendar,
int publicationDateOffset,
int effectiveDateOffset,
DayCount dayCount) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(fixingCalendar, "fixingCalendar");
JodaBeanUtils.notNull(publicationDateOffset, "publicationDateOffset");
JodaBeanUtils.notNull(effectiveDateOffset, "effectiveDateOffset");
JodaBeanUtils.notNull(dayCount, "dayCount");
this.name = name;
this.currency = currency;
this.active = active;
this.fixingCalendar = fixingCalendar;
this.publicationDateOffset = publicationDateOffset;
this.effectiveDateOffset = effectiveDateOffset;
this.dayCount = dayCount;
}
@Override
public ImmutableOvernightIndex.Meta metaBean() {
return ImmutableOvernightIndex.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets the index name, such as 'GBP-SONIA'.
* @return the value of the property, not null
*/
@Override
public String getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the index.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets whether the index is active, defaulted to true.
* <p>
* Over time some indices become inactive and are no longer produced.
* If this occurs, this flag will be set to false.
* @return the value of the property
*/
@Override
public boolean isActive() {
return active;
}
//-----------------------------------------------------------------------
/**
* Gets the calendar that the index uses.
* <p>
* All dates are calculated with reference to the same calendar.
* @return the value of the property, not null
*/
@Override
public HolidayCalendarId getFixingCalendar() {
return fixingCalendar;
}
//-----------------------------------------------------------------------
/**
* Gets the number of days to add to the fixing date to obtain the publication date.
* <p>
* In most cases, the fixing rate is available on the fixing date.
* In a few cases, publication of the fixing rate is delayed until the following business day.
* This property is zero if publication is on the fixing date, or one if it is the next day.
* @return the value of the property, not null
*/
@Override
public int getPublicationDateOffset() {
return publicationDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the number of days to add to the fixing date to obtain the effective date.
* <p>
* In most cases, the settlement date and start of the implied deposit is on the fixing date.
* In a few cases, the settlement date is the following business day.
* This property is zero if settlement is on the fixing date, or one if it is the next day.
* Maturity is always one business day after the settlement date.
* @return the value of the property, not null
*/
@Override
public int getEffectiveDateOffset() {
return effectiveDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the day count convention.
* @return the value of the property, not null
*/
@Override
public DayCount getDayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ImmutableOvernightIndex}.
*/
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 name} property.
*/
private final MetaProperty<String> name = DirectMetaProperty.ofImmutable(
this, "name", ImmutableOvernightIndex.class, String.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty<Currency> currency = DirectMetaProperty.ofImmutable(
this, "currency", ImmutableOvernightIndex.class, Currency.class);
/**
* The meta-property for the {@code active} property.
*/
private final MetaProperty<Boolean> active = DirectMetaProperty.ofImmutable(
this, "active", ImmutableOvernightIndex.class, Boolean.TYPE);
/**
* The meta-property for the {@code fixingCalendar} property.
*/
private final MetaProperty<HolidayCalendarId> fixingCalendar = DirectMetaProperty.ofImmutable(
this, "fixingCalendar", ImmutableOvernightIndex.class, HolidayCalendarId.class);
/**
* The meta-property for the {@code publicationDateOffset} property.
*/
private final MetaProperty<Integer> publicationDateOffset = DirectMetaProperty.ofImmutable(
this, "publicationDateOffset", ImmutableOvernightIndex.class, Integer.TYPE);
/**
* The meta-property for the {@code effectiveDateOffset} property.
*/
private final MetaProperty<Integer> effectiveDateOffset = DirectMetaProperty.ofImmutable(
this, "effectiveDateOffset", ImmutableOvernightIndex.class, Integer.TYPE);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty<DayCount> dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", ImmutableOvernightIndex.class, DayCount.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"currency",
"active",
"fixingCalendar",
"publicationDateOffset",
"effectiveDateOffset",
"dayCount");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 575402001: // currency
return currency;
case -1422950650: // active
return active;
case 394230283: // fixingCalendar
return fixingCalendar;
case 1901198637: // publicationDateOffset
return publicationDateOffset;
case 1571923688: // effectiveDateOffset
return effectiveDateOffset;
case 1905311443: // dayCount
return dayCount;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ImmutableOvernightIndex.Builder builder() {
return new ImmutableOvernightIndex.Builder();
}
@Override
public Class<? extends ImmutableOvernightIndex> beanType() {
return ImmutableOvernightIndex.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code name} property.
* @return the meta-property, not null
*/
public MetaProperty<String> name() {
return name;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty<Currency> currency() {
return currency;
}
/**
* The meta-property for the {@code active} property.
* @return the meta-property, not null
*/
public MetaProperty<Boolean> active() {
return active;
}
/**
* The meta-property for the {@code fixingCalendar} property.
* @return the meta-property, not null
*/
public MetaProperty<HolidayCalendarId> fixingCalendar() {
return fixingCalendar;
}
/**
* The meta-property for the {@code publicationDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty<Integer> publicationDateOffset() {
return publicationDateOffset;
}
/**
* The meta-property for the {@code effectiveDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty<Integer> effectiveDateOffset() {
return effectiveDateOffset;
}
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty<DayCount> dayCount() {
return dayCount;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3373707: // name
return ((ImmutableOvernightIndex) bean).getName();
case 575402001: // currency
return ((ImmutableOvernightIndex) bean).getCurrency();
case -1422950650: // active
return ((ImmutableOvernightIndex) bean).isActive();
case 394230283: // fixingCalendar
return ((ImmutableOvernightIndex) bean).getFixingCalendar();
case 1901198637: // publicationDateOffset
return ((ImmutableOvernightIndex) bean).getPublicationDateOffset();
case 1571923688: // effectiveDateOffset
return ((ImmutableOvernightIndex) bean).getEffectiveDateOffset();
case 1905311443: // dayCount
return ((ImmutableOvernightIndex) bean).getDayCount();
}
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 ImmutableOvernightIndex}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<ImmutableOvernightIndex> {
private String name;
private Currency currency;
private boolean active;
private HolidayCalendarId fixingCalendar;
private int publicationDateOffset;
private int effectiveDateOffset;
private DayCount dayCount;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ImmutableOvernightIndex beanToCopy) {
this.name = beanToCopy.getName();
this.currency = beanToCopy.getCurrency();
this.active = beanToCopy.isActive();
this.fixingCalendar = beanToCopy.getFixingCalendar();
this.publicationDateOffset = beanToCopy.getPublicationDateOffset();
this.effectiveDateOffset = beanToCopy.getEffectiveDateOffset();
this.dayCount = beanToCopy.getDayCount();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case 575402001: // currency
return currency;
case -1422950650: // active
return active;
case 394230283: // fixingCalendar
return fixingCalendar;
case 1901198637: // publicationDateOffset
return publicationDateOffset;
case 1571923688: // effectiveDateOffset
return effectiveDateOffset;
case 1905311443: // dayCount
return dayCount;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3373707: // name
this.name = (String) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case -1422950650: // active
this.active = (Boolean) newValue;
break;
case 394230283: // fixingCalendar
this.fixingCalendar = (HolidayCalendarId) newValue;
break;
case 1901198637: // publicationDateOffset
this.publicationDateOffset = (Integer) newValue;
break;
case 1571923688: // effectiveDateOffset
this.effectiveDateOffset = (Integer) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) 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 Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public ImmutableOvernightIndex build() {
return new ImmutableOvernightIndex(
name,
currency,
active,
fixingCalendar,
publicationDateOffset,
effectiveDateOffset,
dayCount);
}
//-----------------------------------------------------------------------
/**
* Sets the index name, such as 'GBP-SONIA'.
* @param name the new value, not null
* @return this, for chaining, not null
*/
public Builder name(String name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* Sets the currency of the index.
* @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 whether the index is active, defaulted to true.
* <p>
* Over time some indices become inactive and are no longer produced.
* If this occurs, this flag will be set to false.
* @param active the new value
* @return this, for chaining, not null
*/
public Builder active(boolean active) {
this.active = active;
return this;
}
/**
* Sets the calendar that the index uses.
* <p>
* All dates are calculated with reference to the same calendar.
* @param fixingCalendar the new value, not null
* @return this, for chaining, not null
*/
public Builder fixingCalendar(HolidayCalendarId fixingCalendar) {
JodaBeanUtils.notNull(fixingCalendar, "fixingCalendar");
this.fixingCalendar = fixingCalendar;
return this;
}
/**
* Sets the number of days to add to the fixing date to obtain the publication date.
* <p>
* In most cases, the fixing rate is available on the fixing date.
* In a few cases, publication of the fixing rate is delayed until the following business day.
* This property is zero if publication is on the fixing date, or one if it is the next day.
* @param publicationDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder publicationDateOffset(int publicationDateOffset) {
JodaBeanUtils.notNull(publicationDateOffset, "publicationDateOffset");
this.publicationDateOffset = publicationDateOffset;
return this;
}
/**
* Sets the number of days to add to the fixing date to obtain the effective date.
* <p>
* In most cases, the settlement date and start of the implied deposit is on the fixing date.
* In a few cases, the settlement date is the following business day.
* This property is zero if settlement is on the fixing date, or one if it is the next day.
* Maturity is always one business day after the settlement date.
* @param effectiveDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder effectiveDateOffset(int effectiveDateOffset) {
JodaBeanUtils.notNull(effectiveDateOffset, "effectiveDateOffset");
this.effectiveDateOffset = effectiveDateOffset;
return this;
}
/**
* Sets the day count convention.
* @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;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("ImmutableOvernightIndex.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("active").append('=').append(JodaBeanUtils.toString(active)).append(',').append(' ');
buf.append("fixingCalendar").append('=').append(JodaBeanUtils.toString(fixingCalendar)).append(',').append(' ');
buf.append("publicationDateOffset").append('=').append(JodaBeanUtils.toString(publicationDateOffset)).append(',').append(' ');
buf.append("effectiveDateOffset").append('=').append(JodaBeanUtils.toString(effectiveDateOffset)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}