/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.capfloor;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableValidator;
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.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.Product;
import com.opengamma.strata.product.swap.SwapLeg;
/**
* An Ibor cap/floor product.
* <p>
* The Ibor cap/floor product consists of two legs, a cap/floor leg and a pay leg.
* The cap/floor leg involves a set of call/put options on successive Ibor index rates,
* known as Ibor caplets/floorlets.
* The pay leg is any swap leg from a standard interest rate swap. The pay leg is absent for typical
* Ibor cap/floor products, with the premium paid upfront instead, as defined in {@link IborCapFloorTrade}.
*/
@BeanDefinition(builderScope = "private")
public final class IborCapFloor
implements Product, Resolvable<ResolvedIborCapFloor>, ImmutableBean, Serializable {
/**
* The Ibor cap/floor leg of the product.
* <p>
* This is associated with periodic payments based on Ibor rate.
* The payments are Ibor caplets or Ibor floorlets.
*/
@PropertyDefinition(validate = "notNull")
private final IborCapFloorLeg capFloorLeg;
/**
* The optional pay leg of the product.
* <p>
* These periodic payments are not made for typical cap/floor products.
* Instead the premium is paid upfront.
*/
@PropertyDefinition(get = "optional")
private final SwapLeg payLeg;
//-------------------------------------------------------------------------
/**
* Obtains an instance from a cap/floor leg with no pay leg.
* <p>
* The pay leg is absent in the resulting cap/floor.
*
* @param capFloorLeg the cap/floor leg
* @return the cap/floor
*/
public static IborCapFloor of(IborCapFloorLeg capFloorLeg) {
return new IborCapFloor(capFloorLeg, null);
}
/**
* Obtains an instance from a cap/floor leg and a pay leg.
*
* @param capFloorLeg the cap/floor leg
* @param payLeg the pay leg
* @return the cap/floor
*/
public static IborCapFloor of(IborCapFloorLeg capFloorLeg, SwapLeg payLeg) {
return new IborCapFloor(capFloorLeg, payLeg);
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
if (payLeg != null) {
ArgChecker.isFalse(
payLeg.getPayReceive().equals(capFloorLeg.getPayReceive()),
"Legs must have different Pay/Receive flag, but both were {}", payLeg.getPayReceive());
}
}
//-------------------------------------------------------------------------
/**
* Returns the set of payment currencies referred to by the cap/floor.
* <p>
* This returns the complete set of payment currencies for the cap/floor.
* This will typically return one currency, but could return two.
*
* @return the set of payment currencies referred to by this swap
*/
public ImmutableSet<Currency> allPaymentCurrencies() {
ImmutableSet.Builder<Currency> builder = ImmutableSet.builder();
builder.add(capFloorLeg.getCurrency());
if (payLeg != null) {
builder.add(payLeg.getCurrency());
}
return builder.build();
}
/**
* Returns the set of indices referred to by the cap/floor.
* <p>
* A cap/floor will typically refer to one index, such as 'GBP-LIBOR-3M'.
* Calling this method will return the complete list of indices.
*
* @return the set of indices referred to by this cap/floor
*/
public ImmutableSet<Index> allIndices() {
ImmutableSet.Builder<Index> builder = ImmutableSet.builder();
builder.add(capFloorLeg.getCalculation().getIndex());
if (payLeg != null) {
payLeg.collectIndices(builder);
}
return builder.build();
}
//-------------------------------------------------------------------------
@Override
public ResolvedIborCapFloor resolve(ReferenceData refData) {
if (payLeg == null) {
return ResolvedIborCapFloor.of(capFloorLeg.resolve(refData));
}
return ResolvedIborCapFloor.of(capFloorLeg.resolve(refData), payLeg.resolve(refData));
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code IborCapFloor}.
* @return the meta-bean, not null
*/
public static IborCapFloor.Meta meta() {
return IborCapFloor.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(IborCapFloor.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private IborCapFloor(
IborCapFloorLeg capFloorLeg,
SwapLeg payLeg) {
JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg");
this.capFloorLeg = capFloorLeg;
this.payLeg = payLeg;
validate();
}
@Override
public IborCapFloor.Meta metaBean() {
return IborCapFloor.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 Ibor cap/floor leg of the product.
* <p>
* This is associated with periodic payments based on Ibor rate.
* The payments are Ibor caplets or Ibor floorlets.
* @return the value of the property, not null
*/
public IborCapFloorLeg getCapFloorLeg() {
return capFloorLeg;
}
//-----------------------------------------------------------------------
/**
* Gets the optional pay leg of the product.
* <p>
* These periodic payments are not made for typical cap/floor products.
* Instead the premium is paid upfront.
* @return the optional value of the property, not null
*/
public Optional<SwapLeg> getPayLeg() {
return Optional.ofNullable(payLeg);
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IborCapFloor other = (IborCapFloor) obj;
return JodaBeanUtils.equal(capFloorLeg, other.capFloorLeg) &&
JodaBeanUtils.equal(payLeg, other.payLeg);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(capFloorLeg);
hash = hash * 31 + JodaBeanUtils.hashCode(payLeg);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("IborCapFloor{");
buf.append("capFloorLeg").append('=').append(capFloorLeg).append(',').append(' ');
buf.append("payLeg").append('=').append(JodaBeanUtils.toString(payLeg));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborCapFloor}.
*/
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 capFloorLeg} property.
*/
private final MetaProperty<IborCapFloorLeg> capFloorLeg = DirectMetaProperty.ofImmutable(
this, "capFloorLeg", IborCapFloor.class, IborCapFloorLeg.class);
/**
* The meta-property for the {@code payLeg} property.
*/
private final MetaProperty<SwapLeg> payLeg = DirectMetaProperty.ofImmutable(
this, "payLeg", IborCapFloor.class, SwapLeg.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"capFloorLeg",
"payLeg");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 2124672084: // capFloorLeg
return capFloorLeg;
case -995239866: // payLeg
return payLeg;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder<? extends IborCapFloor> builder() {
return new IborCapFloor.Builder();
}
@Override
public Class<? extends IborCapFloor> beanType() {
return IborCapFloor.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code capFloorLeg} property.
* @return the meta-property, not null
*/
public MetaProperty<IborCapFloorLeg> capFloorLeg() {
return capFloorLeg;
}
/**
* The meta-property for the {@code payLeg} property.
* @return the meta-property, not null
*/
public MetaProperty<SwapLeg> payLeg() {
return payLeg;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 2124672084: // capFloorLeg
return ((IborCapFloor) bean).getCapFloorLeg();
case -995239866: // payLeg
return ((IborCapFloor) bean).payLeg;
}
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 IborCapFloor}.
*/
private static final class Builder extends DirectFieldsBeanBuilder<IborCapFloor> {
private IborCapFloorLeg capFloorLeg;
private SwapLeg payLeg;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 2124672084: // capFloorLeg
return capFloorLeg;
case -995239866: // payLeg
return payLeg;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 2124672084: // capFloorLeg
this.capFloorLeg = (IborCapFloorLeg) newValue;
break;
case -995239866: // payLeg
this.payLeg = (SwapLeg) 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 IborCapFloor build() {
return new IborCapFloor(
capFloorLeg,
payLeg);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("IborCapFloor.Builder{");
buf.append("capFloorLeg").append('=').append(JodaBeanUtils.toString(capFloorLeg)).append(',').append(' ');
buf.append("payLeg").append('=').append(JodaBeanUtils.toString(payLeg));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}