/**
* 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.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.Set;
import java.util.function.Function;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableConstructor;
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.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.AdjustableDate;
import com.opengamma.strata.basics.date.DateAdjuster;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.index.IborIndexObservation;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.basics.schedule.Schedule;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.basics.schedule.StubConvention;
import com.opengamma.strata.basics.value.ValueSchedule;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.rate.IborRateComputation;
import com.opengamma.strata.product.swap.FixingRelativeTo;
import com.opengamma.strata.product.swap.IborRateCalculation;
/**
* An Ibor cap/floor leg of a cap/floor product.
* <p>
* This defines a single cap/floor leg for an Ibor cap/floor product.
* The cap/floor instruments are defined as a set of call/put options on successive Ibor index rates,
* known as Ibor caplets/floorlets.
* <p>
* The periodic payments in the resolved leg are caplets or floorlets depending on the data in this leg.
* The {@code capSchedule} field is used to represent strike values of individual caplets,
* whereas {@code floorSchedule} is used to represent strike values of individual floorlets.
* Either {@code capSchedule} or {@code floorSchedule} must be present, and not both.
*/
@BeanDefinition
public final class IborCapFloorLeg
implements Resolvable<ResolvedIborCapFloorLeg>, ImmutableBean, Serializable {
/**
* Whether the leg is pay or receive.
* <p>
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
*/
@PropertyDefinition(validate = "notNull")
private final PayReceive payReceive;
/**
* The periodic payment schedule.
* <p>
* This is used to define the periodic payment periods.
* These are used directly or indirectly to determine other dates in the leg.
*/
@PropertyDefinition(validate = "notNull")
private final PeriodicSchedule paymentSchedule;
/**
* The offset of payment from the base calculation period date, defaulted to 'None'.
* <p>
* The offset is applied to the adjusted end date of each payment period.
* Offset can be based on calendar days or business days.
*/
@PropertyDefinition(validate = "notNull")
private final DaysAdjustment paymentDateOffset;
/**
* The currency of the leg associated with the notional.
* <p>
* This is the currency of the leg and the currency that payoff calculation is made in.
* The amounts of the notional are expressed in terms of this currency.
*/
@PropertyDefinition(validate = "notNull")
private final Currency currency;
/**
* The notional amount, must be non-negative.
* <p>
* The notional amount applicable during the period.
* The currency of the notional is specified by {@code currency}.
*/
@PropertyDefinition(validate = "notNull")
private final ValueSchedule notional;
/**
* The interest rate accrual calculation.
* <p>
* The interest rate accrual is based on Ibor index.
*/
@PropertyDefinition(validate = "notNull")
private final IborRateCalculation calculation;
/**
* The cap schedule, optional.
* <p>
* This defines the strike value of a cap as an initial value and a list of adjustments.
* Thus individual caplets may have different strike values.
* The cap rate is only allowed to change at payment period boundaries.
* <p>
* If the product is not a cap, the cap schedule will be absent.
*/
@PropertyDefinition(get = "optional")
private final ValueSchedule capSchedule;
/**
* The floor schedule, optional.
* <p>
* This defines the strike value of a floor as an initial value and a list of adjustments.
* Thus individual floorlets may have different strike values.
* The floor rate is only allowed to change at payment period boundaries.
* <p>
* If the product is not a floor, the floor schedule will be absent.
*/
@PropertyDefinition(get = "optional")
private final ValueSchedule floorSchedule;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.paymentDateOffset(DaysAdjustment.NONE);
}
@ImmutableConstructor
private IborCapFloorLeg(
PayReceive payReceive,
PeriodicSchedule paymentSchedule,
DaysAdjustment paymentDateOffset,
Currency currency,
ValueSchedule notional,
IborRateCalculation calculation,
ValueSchedule capSchedule,
ValueSchedule floorSchedule) {
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.paymentSchedule = ArgChecker.notNull(paymentSchedule, "paymentSchedule");
this.paymentDateOffset = ArgChecker.notNull(paymentDateOffset, "paymentDateOffset");
this.currency = currency != null ? currency : calculation.getIndex().getCurrency();
this.notional = notional;
this.calculation = ArgChecker.notNull(calculation, "calculation");
this.capSchedule = capSchedule;
this.floorSchedule = floorSchedule;
ArgChecker.isTrue(!this.getPaymentSchedule().getStubConvention().isPresent() ||
this.getPaymentSchedule().getStubConvention().get().equals(StubConvention.NONE), "Stub period is not allowed");
ArgChecker.isFalse(this.getCapSchedule().isPresent() == this.getFloorSchedule().isPresent(),
"One of cap schedule and floor schedule should be empty");
ArgChecker.isTrue(this.getCalculation().getIndex().getTenor().getPeriod().equals(this.getPaymentSchedule()
.getFrequency().getPeriod()), "Payment frequency period should be the same as index tenor period");
}
//-------------------------------------------------------------------------
/**
* Gets the accrual start date of the leg.
* <p>
* This is the first accrual date in the leg, often known as the effective date.
*
* @return the start date of the leg
*/
public AdjustableDate getStartDate() {
return paymentSchedule.calculatedStartDate();
}
/**
* Gets the accrual end date of the leg.
* <p>
* This is the last accrual date in the leg, often known as the termination date.
*
* @return the end date of the leg
*/
public AdjustableDate getEndDate() {
return paymentSchedule.calculatedEndDate();
}
/**
* Gets the Ibor index.
* <p>
* The rate to be paid is based on this index
* It will be a well known market index such as 'GBP-LIBOR-3M'.
*
* @return the Ibor index
*/
public IborIndex getIndex() {
return calculation.getIndex();
}
//-------------------------------------------------------------------------
@Override
public ResolvedIborCapFloorLeg resolve(ReferenceData refData) {
Schedule adjustedSchedule = paymentSchedule.createSchedule(refData);
DoubleArray cap = getCapSchedule().isPresent() ? capSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray floor = getFloorSchedule().isPresent() ? floorSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray notionals = notional.resolveValues(adjustedSchedule);
DateAdjuster fixingDateAdjuster = calculation.getFixingDateOffset().resolve(refData);
DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData);
Function<LocalDate, IborIndexObservation> obsFn = calculation.getIndex().resolve(refData);
ImmutableList.Builder<IborCapletFloorletPeriod> periodsBuild = ImmutableList.builder();
for (int i = 0; i < adjustedSchedule.size(); i++) {
SchedulePeriod period = adjustedSchedule.getPeriod(i);
LocalDate paymentDate = paymentDateAdjuster.adjust(period.getEndDate());
LocalDate fixingDate = fixingDateAdjuster.adjust(
(calculation.getFixingRelativeTo().equals(FixingRelativeTo.PERIOD_START)) ?
period.getStartDate() :
period.getEndDate());
double signedNotional = payReceive.normalize(notionals.get(i));
periodsBuild.add(IborCapletFloorletPeriod.builder()
.unadjustedStartDate(period.getUnadjustedStartDate())
.unadjustedEndDate(period.getUnadjustedEndDate())
.startDate(period.getStartDate())
.endDate(period.getEndDate())
.iborRate(IborRateComputation.of(obsFn.apply(fixingDate)))
.paymentDate(paymentDate)
.notional(signedNotional)
.currency(currency)
.yearFraction(period.yearFraction(calculation.getDayCount(), adjustedSchedule))
.caplet(cap != null ? cap.get(i) : null)
.floorlet(floor != null ? floor.get(i) : null)
.build());
}
return ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(periodsBuild.build())
.payReceive(payReceive)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code IborCapFloorLeg}.
* @return the meta-bean, not null
*/
public static IborCapFloorLeg.Meta meta() {
return IborCapFloorLeg.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(IborCapFloorLeg.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 IborCapFloorLeg.Builder builder() {
return new IborCapFloorLeg.Builder();
}
@Override
public IborCapFloorLeg.Meta metaBean() {
return IborCapFloorLeg.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 whether the leg is pay or receive.
* <p>
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* @return the value of the property, not null
*/
public PayReceive getPayReceive() {
return payReceive;
}
//-----------------------------------------------------------------------
/**
* Gets the periodic payment schedule.
* <p>
* This is used to define the periodic payment periods.
* These are used directly or indirectly to determine other dates in the leg.
* @return the value of the property, not null
*/
public PeriodicSchedule getPaymentSchedule() {
return paymentSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the offset of payment from the base calculation period date, defaulted to 'None'.
* <p>
* The offset is applied to the adjusted end date of each payment period.
* Offset can be based on calendar days or business days.
* @return the value of the property, not null
*/
public DaysAdjustment getPaymentDateOffset() {
return paymentDateOffset;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the leg associated with the notional.
* <p>
* This is the currency of the leg and the currency that payoff calculation is made in.
* The amounts of the notional are expressed in terms of this currency.
* @return the value of the property, not null
*/
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount, must be non-negative.
* <p>
* The notional amount applicable during the period.
* The currency of the notional is specified by {@code currency}.
* @return the value of the property, not null
*/
public ValueSchedule getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the interest rate accrual calculation.
* <p>
* The interest rate accrual is based on Ibor index.
* @return the value of the property, not null
*/
public IborRateCalculation getCalculation() {
return calculation;
}
//-----------------------------------------------------------------------
/**
* Gets the cap schedule, optional.
* <p>
* This defines the strike value of a cap as an initial value and a list of adjustments.
* Thus individual caplets may have different strike values.
* The cap rate is only allowed to change at payment period boundaries.
* <p>
* If the product is not a cap, the cap schedule will be absent.
* @return the optional value of the property, not null
*/
public Optional<ValueSchedule> getCapSchedule() {
return Optional.ofNullable(capSchedule);
}
//-----------------------------------------------------------------------
/**
* Gets the floor schedule, optional.
* <p>
* This defines the strike value of a floor as an initial value and a list of adjustments.
* Thus individual floorlets may have different strike values.
* The floor rate is only allowed to change at payment period boundaries.
* <p>
* If the product is not a floor, the floor schedule will be absent.
* @return the optional value of the property, not null
*/
public Optional<ValueSchedule> getFloorSchedule() {
return Optional.ofNullable(floorSchedule);
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IborCapFloorLeg other = (IborCapFloorLeg) obj;
return JodaBeanUtils.equal(payReceive, other.payReceive) &&
JodaBeanUtils.equal(paymentSchedule, other.paymentSchedule) &&
JodaBeanUtils.equal(paymentDateOffset, other.paymentDateOffset) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(calculation, other.calculation) &&
JodaBeanUtils.equal(capSchedule, other.capSchedule) &&
JodaBeanUtils.equal(floorSchedule, other.floorSchedule);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(calculation);
hash = hash * 31 + JodaBeanUtils.hashCode(capSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(floorSchedule);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
buf.append("IborCapFloorLeg{");
buf.append("payReceive").append('=').append(payReceive).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(paymentSchedule).append(',').append(' ');
buf.append("paymentDateOffset").append('=').append(paymentDateOffset).append(',').append(' ');
buf.append("currency").append('=').append(currency).append(',').append(' ');
buf.append("notional").append('=').append(notional).append(',').append(' ');
buf.append("calculation").append('=').append(calculation).append(',').append(' ');
buf.append("capSchedule").append('=').append(capSchedule).append(',').append(' ');
buf.append("floorSchedule").append('=').append(JodaBeanUtils.toString(floorSchedule));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborCapFloorLeg}.
*/
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 payReceive} property.
*/
private final MetaProperty<PayReceive> payReceive = DirectMetaProperty.ofImmutable(
this, "payReceive", IborCapFloorLeg.class, PayReceive.class);
/**
* The meta-property for the {@code paymentSchedule} property.
*/
private final MetaProperty<PeriodicSchedule> paymentSchedule = DirectMetaProperty.ofImmutable(
this, "paymentSchedule", IborCapFloorLeg.class, PeriodicSchedule.class);
/**
* The meta-property for the {@code paymentDateOffset} property.
*/
private final MetaProperty<DaysAdjustment> paymentDateOffset = DirectMetaProperty.ofImmutable(
this, "paymentDateOffset", IborCapFloorLeg.class, DaysAdjustment.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty<Currency> currency = DirectMetaProperty.ofImmutable(
this, "currency", IborCapFloorLeg.class, Currency.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty<ValueSchedule> notional = DirectMetaProperty.ofImmutable(
this, "notional", IborCapFloorLeg.class, ValueSchedule.class);
/**
* The meta-property for the {@code calculation} property.
*/
private final MetaProperty<IborRateCalculation> calculation = DirectMetaProperty.ofImmutable(
this, "calculation", IborCapFloorLeg.class, IborRateCalculation.class);
/**
* The meta-property for the {@code capSchedule} property.
*/
private final MetaProperty<ValueSchedule> capSchedule = DirectMetaProperty.ofImmutable(
this, "capSchedule", IborCapFloorLeg.class, ValueSchedule.class);
/**
* The meta-property for the {@code floorSchedule} property.
*/
private final MetaProperty<ValueSchedule> floorSchedule = DirectMetaProperty.ofImmutable(
this, "floorSchedule", IborCapFloorLeg.class, ValueSchedule.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"payReceive",
"paymentSchedule",
"paymentDateOffset",
"currency",
"notional",
"calculation",
"capSchedule",
"floorSchedule");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case -1499086147: // paymentSchedule
return paymentSchedule;
case -716438393: // paymentDateOffset
return paymentDateOffset;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -934682935: // calculation
return calculation;
case -596212599: // capSchedule
return capSchedule;
case -1562227005: // floorSchedule
return floorSchedule;
}
return super.metaPropertyGet(propertyName);
}
@Override
public IborCapFloorLeg.Builder builder() {
return new IborCapFloorLeg.Builder();
}
@Override
public Class<? extends IborCapFloorLeg> beanType() {
return IborCapFloorLeg.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code payReceive} property.
* @return the meta-property, not null
*/
public MetaProperty<PayReceive> payReceive() {
return payReceive;
}
/**
* The meta-property for the {@code paymentSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty<PeriodicSchedule> paymentSchedule() {
return paymentSchedule;
}
/**
* The meta-property for the {@code paymentDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty<DaysAdjustment> paymentDateOffset() {
return paymentDateOffset;
}
/**
* 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 notional} property.
* @return the meta-property, not null
*/
public MetaProperty<ValueSchedule> notional() {
return notional;
}
/**
* The meta-property for the {@code calculation} property.
* @return the meta-property, not null
*/
public MetaProperty<IborRateCalculation> calculation() {
return calculation;
}
/**
* The meta-property for the {@code capSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty<ValueSchedule> capSchedule() {
return capSchedule;
}
/**
* The meta-property for the {@code floorSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty<ValueSchedule> floorSchedule() {
return floorSchedule;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return ((IborCapFloorLeg) bean).getPayReceive();
case -1499086147: // paymentSchedule
return ((IborCapFloorLeg) bean).getPaymentSchedule();
case -716438393: // paymentDateOffset
return ((IborCapFloorLeg) bean).getPaymentDateOffset();
case 575402001: // currency
return ((IborCapFloorLeg) bean).getCurrency();
case 1585636160: // notional
return ((IborCapFloorLeg) bean).getNotional();
case -934682935: // calculation
return ((IborCapFloorLeg) bean).getCalculation();
case -596212599: // capSchedule
return ((IborCapFloorLeg) bean).capSchedule;
case -1562227005: // floorSchedule
return ((IborCapFloorLeg) bean).floorSchedule;
}
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 IborCapFloorLeg}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<IborCapFloorLeg> {
private PayReceive payReceive;
private PeriodicSchedule paymentSchedule;
private DaysAdjustment paymentDateOffset;
private Currency currency;
private ValueSchedule notional;
private IborRateCalculation calculation;
private ValueSchedule capSchedule;
private ValueSchedule floorSchedule;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(IborCapFloorLeg beanToCopy) {
this.payReceive = beanToCopy.getPayReceive();
this.paymentSchedule = beanToCopy.getPaymentSchedule();
this.paymentDateOffset = beanToCopy.getPaymentDateOffset();
this.currency = beanToCopy.getCurrency();
this.notional = beanToCopy.getNotional();
this.calculation = beanToCopy.getCalculation();
this.capSchedule = beanToCopy.capSchedule;
this.floorSchedule = beanToCopy.floorSchedule;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case -1499086147: // paymentSchedule
return paymentSchedule;
case -716438393: // paymentDateOffset
return paymentDateOffset;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -934682935: // calculation
return calculation;
case -596212599: // capSchedule
return capSchedule;
case -1562227005: // floorSchedule
return floorSchedule;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
this.payReceive = (PayReceive) newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule = (PeriodicSchedule) newValue;
break;
case -716438393: // paymentDateOffset
this.paymentDateOffset = (DaysAdjustment) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 1585636160: // notional
this.notional = (ValueSchedule) newValue;
break;
case -934682935: // calculation
this.calculation = (IborRateCalculation) newValue;
break;
case -596212599: // capSchedule
this.capSchedule = (ValueSchedule) newValue;
break;
case -1562227005: // floorSchedule
this.floorSchedule = (ValueSchedule) 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 IborCapFloorLeg build() {
return new IborCapFloorLeg(
payReceive,
paymentSchedule,
paymentDateOffset,
currency,
notional,
calculation,
capSchedule,
floorSchedule);
}
//-----------------------------------------------------------------------
/**
* Sets whether the leg is pay or receive.
* <p>
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* @param payReceive the new value, not null
* @return this, for chaining, not null
*/
public Builder payReceive(PayReceive payReceive) {
JodaBeanUtils.notNull(payReceive, "payReceive");
this.payReceive = payReceive;
return this;
}
/**
* Sets the periodic payment schedule.
* <p>
* This is used to define the periodic payment periods.
* These are used directly or indirectly to determine other dates in the leg.
* @param paymentSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentSchedule(PeriodicSchedule paymentSchedule) {
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
this.paymentSchedule = paymentSchedule;
return this;
}
/**
* Sets the offset of payment from the base calculation period date, defaulted to 'None'.
* <p>
* The offset is applied to the adjusted end date of each payment period.
* Offset can be based on calendar days or business days.
* @param paymentDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentDateOffset(DaysAdjustment paymentDateOffset) {
JodaBeanUtils.notNull(paymentDateOffset, "paymentDateOffset");
this.paymentDateOffset = paymentDateOffset;
return this;
}
/**
* Sets the currency of the leg associated with the notional.
* <p>
* This is the currency of the leg and the currency that payoff calculation is made in.
* The amounts of the notional are expressed in terms of this currency.
* @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 the notional amount, must be non-negative.
* <p>
* The notional amount applicable during the period.
* The currency of the notional is specified by {@code currency}.
* @param notional the new value, not null
* @return this, for chaining, not null
*/
public Builder notional(ValueSchedule notional) {
JodaBeanUtils.notNull(notional, "notional");
this.notional = notional;
return this;
}
/**
* Sets the interest rate accrual calculation.
* <p>
* The interest rate accrual is based on Ibor index.
* @param calculation the new value, not null
* @return this, for chaining, not null
*/
public Builder calculation(IborRateCalculation calculation) {
JodaBeanUtils.notNull(calculation, "calculation");
this.calculation = calculation;
return this;
}
/**
* Sets the cap schedule, optional.
* <p>
* This defines the strike value of a cap as an initial value and a list of adjustments.
* Thus individual caplets may have different strike values.
* The cap rate is only allowed to change at payment period boundaries.
* <p>
* If the product is not a cap, the cap schedule will be absent.
* @param capSchedule the new value
* @return this, for chaining, not null
*/
public Builder capSchedule(ValueSchedule capSchedule) {
this.capSchedule = capSchedule;
return this;
}
/**
* Sets the floor schedule, optional.
* <p>
* This defines the strike value of a floor as an initial value and a list of adjustments.
* Thus individual floorlets may have different strike values.
* The floor rate is only allowed to change at payment period boundaries.
* <p>
* If the product is not a floor, the floor schedule will be absent.
* @param floorSchedule the new value
* @return this, for chaining, not null
*/
public Builder floorSchedule(ValueSchedule floorSchedule) {
this.floorSchedule = floorSchedule;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
buf.append("IborCapFloorLeg.Builder{");
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
buf.append("paymentDateOffset").append('=').append(JodaBeanUtils.toString(paymentDateOffset)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("calculation").append('=').append(JodaBeanUtils.toString(calculation)).append(',').append(' ');
buf.append("capSchedule").append('=').append(JodaBeanUtils.toString(capSchedule)).append(',').append(' ');
buf.append("floorSchedule").append('=').append(JodaBeanUtils.toString(floorSchedule));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}