/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.explain;
import java.time.LocalDate;
import java.util.List;
import org.joda.convert.FromString;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.collect.TypedString;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.rate.IborInterpolatedRateComputation;
import com.opengamma.strata.product.swap.CompoundingMethod;
/**
* A key for the map of explanatory values.
* <p>
* This key is used with {@link ExplainMap} to create a loosely defined data structure
* that allows an explanation of a calculation to be represented.
*
* @param <T> the type of the object associated with the key
*/
public final class ExplainKey<T>
extends TypedString<ExplainKey<T>> {
/** Serialization version. */
private static final long serialVersionUID = 1L;
//-------------------------------------------------------------------------
/**
* The index of this entry within the parent.
* For example, this could be used to represent the index of the leg within the swap,
* or the index of the payment period within the leg.
*/
public static final ExplainKey<Integer> ENTRY_INDEX = of("EntryIndex");
/**
* The type of this entry.
* For example, this could be used to distinguish between a swap leg, swap payment period and a FRA.
*/
public static final ExplainKey<String> ENTRY_TYPE = of("EntryType");
/**
* The list of legs.
*/
public static final ExplainKey<List<ExplainMap>> LEGS = of("Legs");
/**
* The list of payment events.
*/
public static final ExplainKey<List<ExplainMap>> PAYMENT_EVENTS = of("PaymentEvents");
/**
* The list of payment periods.
*/
public static final ExplainKey<List<ExplainMap>> PAYMENT_PERIODS = of("PaymentPeriods");
/**
* The list of accrual periods.
*/
public static final ExplainKey<List<ExplainMap>> ACCRUAL_PERIODS = of("AccrualPeriods");
/**
* The list of reset periods.
*/
public static final ExplainKey<List<ExplainMap>> RESET_PERIODS = of("ResetPeriods");
/**
* The list of rate observations.
*/
public static final ExplainKey<List<ExplainMap>> OBSERVATIONS = of("Observations");
/**
* The present value.
*/
public static final ExplainKey<CurrencyAmount> PRESENT_VALUE = of("PresentValue");
/**
* The forecast value.
*/
public static final ExplainKey<CurrencyAmount> FORECAST_VALUE = of("ForecastValue");
/**
* The flag to indicate that the period has completed.
* For example, a swap payment period that has already paid would have this set to true.
* This will generally never be set to false.
*/
public static final ExplainKey<Boolean> COMPLETED = of("Completed");
/**
* The currency of the payment.
*/
public static final ExplainKey<Currency> PAYMENT_CURRENCY = of("PaymentCurrency");
/**
* Whether the entry is being paid or received.
*/
public static final ExplainKey<PayReceive> PAY_RECEIVE = of("PayReceive");
/**
* An indication of the pay-off formula that applies to the leg.
* For example, this could be used to distinguish between fixed, overnight, IBOR and inflation.
*/
public static final ExplainKey<String> LEG_TYPE = of("LegType");
/**
* The effective notional, which may be converted from the contract notional in the case of FX reset.
*/
public static final ExplainKey<CurrencyAmount> NOTIONAL = of("Notional");
/**
* The notional, as defined in the trade.
* This is the notional in the trade, which may be converted to the actual notional by FX reset.
*/
public static final ExplainKey<CurrencyAmount> TRADE_NOTIONAL = of("TradeNotional");
/**
* The payment date, adjusted to be a valid business day if necessary.
*/
public static final ExplainKey<LocalDate> PAYMENT_DATE = of("PaymentDate");
/**
* The payment date, before any business day adjustment.
*/
public static final ExplainKey<LocalDate> UNADJUSTED_PAYMENT_DATE = of("PaymentDate");
/**
* The accrual start date, adjusted to be a valid business day if necessary.
*/
public static final ExplainKey<LocalDate> START_DATE = of("StartDate");
/**
* The accrual start date, before any business day adjustment.
*/
public static final ExplainKey<LocalDate> UNADJUSTED_START_DATE = of("UnadjustedStartDate");
/**
* The accrual end date, adjusted to be a valid business day if necessary.
*/
public static final ExplainKey<LocalDate> END_DATE = of("EndDate");
/**
* The accrual end date, before any business day adjustment.
*/
public static final ExplainKey<LocalDate> UNADJUSTED_END_DATE = of("UnadjustedEndDate");
/**
* The day count used to calculate the year fraction.
*/
public static final ExplainKey<DayCount> ACCRUAL_DAY_COUNT = of("AccrualDayCount");
/**
* The year fraction between the start and end dates.
*/
public static final ExplainKey<Double> ACCRUAL_YEAR_FRACTION = of("AccrualYearFraction");
/**
* The number of accrual days between the start and end dates.
*/
public static final ExplainKey<Integer> ACCRUAL_DAYS = of("AccrualDays");
/**
* The actual number of days between the start and end dates.
*/
public static final ExplainKey<Integer> DAYS = of("Days");
/**
* The discount factor, typically derived from a curve.
*/
public static final ExplainKey<Double> DISCOUNT_FACTOR = of("DiscountFactor");
/**
* The fixed rate, as defined in the contract.
*/
public static final ExplainKey<Double> FIXED_RATE = of("FixedRate");
/**
* The observed index, such as an Ibor or Overnight index.
*/
public static final ExplainKey<Index> INDEX = of("Index");
/**
* The fixing date.
*/
public static final ExplainKey<LocalDate> FIXING_DATE = of("FixingDate");
/**
* The observed index value, typically derived from a curve.
* This may be known exactly if the fixing has occurred.
*/
public static final ExplainKey<Double> INDEX_VALUE = of("IndexValue");
/**
* The flag to indicate that the that the observed value is from a fixing time-series.
* This will generally never be set to false.
*/
public static final ExplainKey<Boolean> FROM_FIXING_SERIES = of("FromFixingSeries");
/**
* The weight of this observation.
* Weighting applies when averaging more than one observation to produce the final rate.
*/
public static final ExplainKey<Double> WEIGHT = of("Weight");
/**
* The combined rate, including weighting.
* This rate differs from the observed rate if there is more than one fixing involved.
* For example, {@link IborInterpolatedRateComputation} has two observed rates
* which are combined to create this rate.
*/
public static final ExplainKey<Double> COMBINED_RATE = of("CombinedRate");
/**
* The spread, added to the forward rate.
*/
public static final ExplainKey<Double> SPREAD = of("Spread");
/**
* The gearing, that the rate is multiplied by.
*/
public static final ExplainKey<Double> GEARING = of("Gearing");
/**
* The pay-off rate, which includes adjustments like weighting, spread and gearing.
*/
public static final ExplainKey<Double> PAY_OFF_RATE = of("PayOffRate");
/**
* The unit amount.
* This is typically the rate multiplied by the year fraction, before multiplication by the notional.
*/
public static final ExplainKey<Double> UNIT_AMOUNT = of("UnitAmount");
/**
* The method of compounding.
*/
public static final ExplainKey<CompoundingMethod> COMPOUNDING = of("CompoundingMethod");
/**
* The strike value.
*/
public static final ExplainKey<Double> STRIKE_VALUE = of("StrikeValue");
/**
* The convexity adjusted rate.
*/
public static final ExplainKey<Double> CONVEXITY_ADJUSTED_RATE = of("ConvexityAdjustedRate");
/**
* The forward rate.
*/
public static final ExplainKey<Double> FORWARD_RATE = of("ForwardRate");
//-------------------------------------------------------------------------
/**
* Obtains an instance from the specified name.
* <p>
* Field names may contain any character, but must not be empty.
*
* @param <R> the inferred type of the key
* @param name the name of the field
* @return a field with the specified name
*/
@FromString
public static <R> ExplainKey<R> of(String name) {
return new ExplainKey<R>(name);
}
/**
* Creates an instance.
*
* @param name the name of the field
*/
private ExplainKey(String name) {
super(name);
}
}