/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.fx;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import java.util.function.DoubleUnaryOperator;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
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.google.common.collect.ComparisonChain;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.basics.index.FxIndex;
import com.opengamma.strata.basics.index.FxIndexObservation;
import com.opengamma.strata.market.sensitivity.MutablePointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
/**
* Point sensitivity to a forward rate of an FX rate for an FX index.
* <p>
* Holds the sensitivity to the {@link FxIndex} curve at a fixing date.
*/
@BeanDefinition(builderScope = "private")
public final class FxIndexSensitivity
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, Serializable {
/**
* The FX rate observation.
* <p>
* This includes the index and fixing date.
*/
@PropertyDefinition(validate = "notNull")
private final FxIndexObservation observation;
/**
* The reference currency.
* <p>
* This is the base currency of the FX conversion that occurs using the index.
* The reference currency must be one of the two currencies of the index.
*/
@PropertyDefinition(validate = "notNull")
private final Currency referenceCurrency;
/**
* The currency of the sensitivity.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The value of the sensitivity.
*/
@PropertyDefinition(overrideGet = true)
private final double sensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the observation, reference currency and sensitivity value.
* <p>
* The sensitivity currency is defaulted to be the counter currency of queried currency pair.
*
* @param observation the rate observation, including the fixing date
* @param referenceCurrency the reference currency
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static FxIndexSensitivity of(FxIndexObservation observation, Currency referenceCurrency, double sensitivity) {
CurrencyPair obsPair = observation.getCurrencyPair();
boolean inverse = referenceCurrency.equals(obsPair.getCounter());
CurrencyPair queriedPair = inverse ? obsPair.inverse() : obsPair;
Currency sensiCurrency = queriedPair.getCounter();
return new FxIndexSensitivity(observation, referenceCurrency, sensiCurrency, sensitivity);
}
/**
* Obtains an instance from the observation, reference currency and sensitivity value,
* specifying the currency of the value.
*
* @param observation the rate observation, including the fixing date
* @param referenceCurrency the reference currency
* @param sensitivityCurrency the currency of the sensitivity
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static FxIndexSensitivity of(
FxIndexObservation observation,
Currency referenceCurrency,
Currency sensitivityCurrency,
double sensitivity) {
return new FxIndexSensitivity(observation, referenceCurrency, sensitivityCurrency, sensitivity);
}
//-------------------------------------------------------------------------
/**
* Converts this sensitivity to an {@code FxForwardSensitivity}.
* <p>
* The time series, fixing date and FX index are lost by this conversion.
* Instead, maturity date and currency pair are contained in {@link FxForwardSensitivity}.
*
* @return the FX forward sensitivity
*/
public FxForwardSensitivity toFxForwardSensitivity() {
return FxForwardSensitivity.of(
observation.getCurrencyPair(),
referenceCurrency,
observation.getMaturityDate(),
currency,
sensitivity);
}
//-------------------------------------------------------------------------
/**
* Gets the FX index that the sensitivity refers to.
*
* @return the FX index
*/
public FxIndex getIndex() {
return observation.getIndex();
}
//-------------------------------------------------------------------------
@Override
public FxIndexSensitivity withCurrency(Currency currency) {
if (this.currency.equals(currency)) {
return this;
}
return new FxIndexSensitivity(observation, referenceCurrency, currency, sensitivity);
}
@Override
public FxIndexSensitivity withSensitivity(double sensitivity) {
return new FxIndexSensitivity(observation, referenceCurrency, currency, sensitivity);
}
@Override
public int compareKey(PointSensitivity other) {
if (other instanceof FxIndexSensitivity) {
FxIndexSensitivity otherFx = (FxIndexSensitivity) other;
return ComparisonChain.start()
.compare(getIndex().toString(), otherFx.getIndex().toString())
.compare(currency, otherFx.currency)
.compare(referenceCurrency, otherFx.referenceCurrency)
.compare(observation.getFixingDate(), otherFx.observation.getFixingDate())
.result();
}
return getClass().getSimpleName().compareTo(other.getClass().getSimpleName());
}
@Override
public FxIndexSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
return (FxIndexSensitivity) PointSensitivity.super.convertedTo(resultCurrency, rateProvider);
}
//-------------------------------------------------------------------------
@Override
public FxIndexSensitivity multipliedBy(double factor) {
return new FxIndexSensitivity(observation, referenceCurrency, currency, sensitivity * factor);
}
@Override
public FxIndexSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return new FxIndexSensitivity(observation, referenceCurrency, currency, operator.applyAsDouble(sensitivity));
}
@Override
public FxIndexSensitivity normalize() {
return this;
}
@Override
public MutablePointSensitivities buildInto(MutablePointSensitivities combination) {
return combination.add(this);
}
@Override
public FxIndexSensitivity cloned() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code FxIndexSensitivity}.
* @return the meta-bean, not null
*/
public static FxIndexSensitivity.Meta meta() {
return FxIndexSensitivity.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(FxIndexSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private FxIndexSensitivity(
FxIndexObservation observation,
Currency referenceCurrency,
Currency currency,
double sensitivity) {
JodaBeanUtils.notNull(observation, "observation");
JodaBeanUtils.notNull(referenceCurrency, "referenceCurrency");
JodaBeanUtils.notNull(currency, "currency");
this.observation = observation;
this.referenceCurrency = referenceCurrency;
this.currency = currency;
this.sensitivity = sensitivity;
}
@Override
public FxIndexSensitivity.Meta metaBean() {
return FxIndexSensitivity.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 FX rate observation.
* <p>
* This includes the index and fixing date.
* @return the value of the property, not null
*/
public FxIndexObservation getObservation() {
return observation;
}
//-----------------------------------------------------------------------
/**
* Gets the reference currency.
* <p>
* This is the base currency of the FX conversion that occurs using the index.
* The reference currency must be one of the two currencies of the index.
* @return the value of the property, not null
*/
public Currency getReferenceCurrency() {
return referenceCurrency;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the sensitivity.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the value of the sensitivity.
* @return the value of the property
*/
@Override
public double getSensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
FxIndexSensitivity other = (FxIndexSensitivity) obj;
return JodaBeanUtils.equal(observation, other.observation) &&
JodaBeanUtils.equal(referenceCurrency, other.referenceCurrency) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(sensitivity, other.sensitivity);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(observation);
hash = hash * 31 + JodaBeanUtils.hashCode(referenceCurrency);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("FxIndexSensitivity{");
buf.append("observation").append('=').append(observation).append(',').append(' ');
buf.append("referenceCurrency").append('=').append(referenceCurrency).append(',').append(' ');
buf.append("currency").append('=').append(currency).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxIndexSensitivity}.
*/
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 observation} property.
*/
private final MetaProperty<FxIndexObservation> observation = DirectMetaProperty.ofImmutable(
this, "observation", FxIndexSensitivity.class, FxIndexObservation.class);
/**
* The meta-property for the {@code referenceCurrency} property.
*/
private final MetaProperty<Currency> referenceCurrency = DirectMetaProperty.ofImmutable(
this, "referenceCurrency", FxIndexSensitivity.class, Currency.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty<Currency> currency = DirectMetaProperty.ofImmutable(
this, "currency", FxIndexSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty<Double> sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", FxIndexSensitivity.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"observation",
"referenceCurrency",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
case 727652476: // referenceCurrency
return referenceCurrency;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder<? extends FxIndexSensitivity> builder() {
return new FxIndexSensitivity.Builder();
}
@Override
public Class<? extends FxIndexSensitivity> beanType() {
return FxIndexSensitivity.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code observation} property.
* @return the meta-property, not null
*/
public MetaProperty<FxIndexObservation> observation() {
return observation;
}
/**
* The meta-property for the {@code referenceCurrency} property.
* @return the meta-property, not null
*/
public MetaProperty<Currency> referenceCurrency() {
return referenceCurrency;
}
/**
* 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 sensitivity} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> sensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return ((FxIndexSensitivity) bean).getObservation();
case 727652476: // referenceCurrency
return ((FxIndexSensitivity) bean).getReferenceCurrency();
case 575402001: // currency
return ((FxIndexSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((FxIndexSensitivity) bean).getSensitivity();
}
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 FxIndexSensitivity}.
*/
private static final class Builder extends DirectFieldsBeanBuilder<FxIndexSensitivity> {
private FxIndexObservation observation;
private Currency referenceCurrency;
private Currency currency;
private double sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 122345516: // observation
return observation;
case 727652476: // referenceCurrency
return referenceCurrency;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 122345516: // observation
this.observation = (FxIndexObservation) newValue;
break;
case 727652476: // referenceCurrency
this.referenceCurrency = (Currency) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (Double) 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 FxIndexSensitivity build() {
return new FxIndexSensitivity(
observation,
referenceCurrency,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("FxIndexSensitivity.Builder{");
buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)).append(',').append(' ');
buf.append("referenceCurrency").append('=').append(JodaBeanUtils.toString(referenceCurrency)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}