/** * 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.ImmutableConstructor; 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.currency.Currency; import com.opengamma.strata.basics.index.Index; import com.opengamma.strata.collect.ArgChecker; import com.opengamma.strata.product.ResolvedProduct; import com.opengamma.strata.product.swap.ResolvedSwapLeg; /** * An Ibor cap/floor, resolved for pricing. * <p> * This is the resolved form of {@link IborCapFloor} and is an input to the pricers. * Applications will typically create a {@code ResolvedIborCapFloor} from a {@code IborCapFloor} * using {@link IborCapFloor#resolve(ReferenceData)}. * <p> * A {@code ResolvedIborCapFloor} is bound to data that changes over time, such as holiday calendars. * If the data changes, such as the addition of a new holiday, the resolved form will not be updated. * Care must be taken when placing the resolved form in a cache or persistence layer. */ @BeanDefinition(builderScope = "private") public final class ResolvedIborCapFloor implements ResolvedProduct, 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 ResolvedIborCapFloorLeg 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 ResolvedSwapLeg payLeg; /** * The set of currencies. */ private final transient ImmutableSet<Currency> currencies; // not a property, derived and cached from input data /** * The set of indices. */ private final transient ImmutableSet<Index> indices; // not a property, derived and cached from input data //------------------------------------------------------------------------- /** * 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 ResolvedIborCapFloor of(ResolvedIborCapFloorLeg capFloorLeg) { ArgChecker.notNull(capFloorLeg, "capFloorLeg"); return new ResolvedIborCapFloor(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 ResolvedIborCapFloor of(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg) { ArgChecker.notNull(capFloorLeg, "capFloorLeg"); ArgChecker.notNull(payLeg, "payLeg"); return new ResolvedIborCapFloor(capFloorLeg, payLeg); } //------------------------------------------------------------------------- @ImmutableConstructor private ResolvedIborCapFloor(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg) { JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg"); if (payLeg != null) { ArgChecker.isFalse( payLeg.getPayReceive().equals(capFloorLeg.getPayReceive()), "Legs must have different Pay/Receive flag, but both were {}", payLeg.getPayReceive()); } this.capFloorLeg = capFloorLeg; this.payLeg = payLeg; this.currencies = buildCurrencies(capFloorLeg, payLeg); this.indices = buildIndices(capFloorLeg, payLeg); } // collect the set of currencies private static ImmutableSet<Currency> buildCurrencies(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg) { ImmutableSet.Builder<Currency> builder = ImmutableSet.builder(); builder.add(capFloorLeg.getCurrency()); if (payLeg != null) { builder.add(payLeg.getCurrency()); } return builder.build(); } // collect the set of indices private static ImmutableSet<Index> buildIndices(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg) { ImmutableSet.Builder<Index> builder = ImmutableSet.builder(); builder.add(capFloorLeg.getIndex()); if (payLeg != null) { payLeg.collectIndices(builder); } return builder.build(); } // ensure standard constructor is invoked private Object readResolve() { return new ResolvedIborCapFloor(capFloorLeg, payLeg); } //------------------------------------------------------------------------- /** * 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() { return currencies; } /** * 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() { return indices; } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code ResolvedIborCapFloor}. * @return the meta-bean, not null */ public static ResolvedIborCapFloor.Meta meta() { return ResolvedIborCapFloor.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(ResolvedIborCapFloor.Meta.INSTANCE); } /** * The serialization version id. */ private static final long serialVersionUID = 1L; @Override public ResolvedIborCapFloor.Meta metaBean() { return ResolvedIborCapFloor.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 ResolvedIborCapFloorLeg 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<ResolvedSwapLeg> getPayLeg() { return Optional.ofNullable(payLeg); } //----------------------------------------------------------------------- @Override public boolean equals(Object obj) { if (obj == this) { return true; } if (obj != null && obj.getClass() == this.getClass()) { ResolvedIborCapFloor other = (ResolvedIborCapFloor) 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("ResolvedIborCapFloor{"); 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 ResolvedIborCapFloor}. */ 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<ResolvedIborCapFloorLeg> capFloorLeg = DirectMetaProperty.ofImmutable( this, "capFloorLeg", ResolvedIborCapFloor.class, ResolvedIborCapFloorLeg.class); /** * The meta-property for the {@code payLeg} property. */ private final MetaProperty<ResolvedSwapLeg> payLeg = DirectMetaProperty.ofImmutable( this, "payLeg", ResolvedIborCapFloor.class, ResolvedSwapLeg.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 ResolvedIborCapFloor> builder() { return new ResolvedIborCapFloor.Builder(); } @Override public Class<? extends ResolvedIborCapFloor> beanType() { return ResolvedIborCapFloor.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<ResolvedIborCapFloorLeg> capFloorLeg() { return capFloorLeg; } /** * The meta-property for the {@code payLeg} property. * @return the meta-property, not null */ public MetaProperty<ResolvedSwapLeg> payLeg() { return payLeg; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 2124672084: // capFloorLeg return ((ResolvedIborCapFloor) bean).getCapFloorLeg(); case -995239866: // payLeg return ((ResolvedIborCapFloor) 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 ResolvedIborCapFloor}. */ private static final class Builder extends DirectFieldsBeanBuilder<ResolvedIborCapFloor> { private ResolvedIborCapFloorLeg capFloorLeg; private ResolvedSwapLeg 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 = (ResolvedIborCapFloorLeg) newValue; break; case -995239866: // payLeg this.payLeg = (ResolvedSwapLeg) 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 ResolvedIborCapFloor build() { return new ResolvedIborCapFloor( capFloorLeg, payLeg); } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(96); buf.append("ResolvedIborCapFloor.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 -------------------------- }