/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.credit;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.Period;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import org.joda.beans.Bean;
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.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.schedule.StubConvention;
import com.opengamma.strata.product.Product;
import com.opengamma.strata.product.common.BuySell;
/**
* A credit default swap (CDS), including single-name and index swaps.
* <p>
* A CDS is a financial instrument where the protection seller agrees to compensate
* the protection buyer if a specified specified company or Sovereign entity experiences
* a credit event, indicating it is or may be unable to service its debts.
* The protection seller is typically paid a fee and/or premium, expressed as an annualized
* percentage of the notional in basis points, regularly over the life of the transaction or
* otherwise as agreed by the parties.
* <p>
* For example, a company engaged in another financial instrument with a counterparty may
* wish to protect itself against the risk of the counterparty defaulting.
*/
@BeanDefinition
public final class Cds
implements Product, Resolvable<ResolvedCds>, ImmutableBean, Serializable {
/**
* Whether the CDS is buy or sell.
* <p>
* A value of 'Buy' implies that the fee leg payments are being paid, and protection is being bought.
* A value of 'Sell' implies that the fee leg payments are being received, and protection is being sold.
*/
@PropertyDefinition(validate = "notNull")
private final BuySell buySellProtection;
/**
* The first date of the term of the trade.
* <p>
* This day may be subject to adjustment in accordance with a business day convention.
* This is typically the previous CDS date (quarter on 20th) before the trade date, adjusted.
* <p>
* ISDA 2003 Term: Effective Date.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate startDate;
/**
* The scheduled date on which the credit protection will lapse.
* <p>
* This day may be subject to adjustment in accordance with a business day convention.
* This is typically an unadjusted CDS date.
* <p>
* ISDA 2003 Term: Scheduled Termination Date.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate endDate;
/**
* The business day adjustment to apply to the start and end dates.
* <p>
* ISDA 2003 Terms: Business Day and Business Day Convention.
*/
@PropertyDefinition(validate = "notNull")
private final BusinessDayAdjustment businessDayAdjustment;
/**
* The reference against which protection applies.
* <p>
* For a single-name CDS, this contains information on the entity/issue
* For a CDS index, this contains information about the index.
*/
@PropertyDefinition(validate = "notNull")
private final ReferenceInformation referenceInformation;
/**
* The fee leg.
* <p>
* This contains all the terms relevant to defining the fixed amounts/payments
* per the applicable ISDA definitions.
*/
@PropertyDefinition(validate = "notNull")
private final FeeLeg feeLeg;
/**
* Whether the accrued premium is paid in the event of a default.
*/
@PropertyDefinition(validate = "notNull")
private final boolean payAccruedOnDefault;
//-------------------------------------------------------------------------
@Override
public ResolvedCds resolve(ReferenceData refData) {
Period paymentInterval = getFeeLeg().getPeriodicPayments().getPaymentFrequency().getPeriod();
StubConvention stubConvention = getFeeLeg().getPeriodicPayments().getStubConvention();
DayCount accrualDayCount = getFeeLeg().getPeriodicPayments().getDayCount();
double upfrontFeeAmount = getFeeLeg().getUpfrontFee().getAmount();
LocalDate upfrontFeePaymentDate = getFeeLeg().getUpfrontFee().getDate();
double coupon = getFeeLeg().getPeriodicPayments().getCoupon();
double notional = getFeeLeg().getPeriodicPayments().getNotional().getAmount();
Currency currency = getFeeLeg().getPeriodicPayments().getNotional().getCurrency();
return ResolvedCds
.builder()
.buySellProtection(buySellProtection)
.currency(currency)
.notional(notional)
.coupon(coupon)
.startDate(startDate)
.endDate(endDate)
.businessDayAdjustment(businessDayAdjustment)
.referenceInformation(referenceInformation)
.payAccruedOnDefault(payAccruedOnDefault)
.paymentInterval(paymentInterval)
.stubConvention(stubConvention)
.accrualDayCount(accrualDayCount)
.accrualDayCount(accrualDayCount)
.upfrontFeeAmount(upfrontFeeAmount)
.upfrontFeePaymentDate(upfrontFeePaymentDate)
.build();
}
// TODO add validation that notional currency matches the fee currency
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code Cds}.
* @return the meta-bean, not null
*/
public static Cds.Meta meta() {
return Cds.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(Cds.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 Cds.Builder builder() {
return new Cds.Builder();
}
private Cds(
BuySell buySellProtection,
LocalDate startDate,
LocalDate endDate,
BusinessDayAdjustment businessDayAdjustment,
ReferenceInformation referenceInformation,
FeeLeg feeLeg,
boolean payAccruedOnDefault) {
JodaBeanUtils.notNull(buySellProtection, "buySellProtection");
JodaBeanUtils.notNull(startDate, "startDate");
JodaBeanUtils.notNull(endDate, "endDate");
JodaBeanUtils.notNull(businessDayAdjustment, "businessDayAdjustment");
JodaBeanUtils.notNull(referenceInformation, "referenceInformation");
JodaBeanUtils.notNull(feeLeg, "feeLeg");
JodaBeanUtils.notNull(payAccruedOnDefault, "payAccruedOnDefault");
this.buySellProtection = buySellProtection;
this.startDate = startDate;
this.endDate = endDate;
this.businessDayAdjustment = businessDayAdjustment;
this.referenceInformation = referenceInformation;
this.feeLeg = feeLeg;
this.payAccruedOnDefault = payAccruedOnDefault;
}
@Override
public Cds.Meta metaBean() {
return Cds.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 CDS is buy or sell.
* <p>
* A value of 'Buy' implies that the fee leg payments are being paid, and protection is being bought.
* A value of 'Sell' implies that the fee leg payments are being received, and protection is being sold.
* @return the value of the property, not null
*/
public BuySell getBuySellProtection() {
return buySellProtection;
}
//-----------------------------------------------------------------------
/**
* Gets the first date of the term of the trade.
* <p>
* This day may be subject to adjustment in accordance with a business day convention.
* This is typically the previous CDS date (quarter on 20th) before the trade date, adjusted.
* <p>
* ISDA 2003 Term: Effective Date.
* @return the value of the property, not null
*/
public LocalDate getStartDate() {
return startDate;
}
//-----------------------------------------------------------------------
/**
* Gets the scheduled date on which the credit protection will lapse.
* <p>
* This day may be subject to adjustment in accordance with a business day convention.
* This is typically an unadjusted CDS date.
* <p>
* ISDA 2003 Term: Scheduled Termination Date.
* @return the value of the property, not null
*/
public LocalDate getEndDate() {
return endDate;
}
//-----------------------------------------------------------------------
/**
* Gets the business day adjustment to apply to the start and end dates.
* <p>
* ISDA 2003 Terms: Business Day and Business Day Convention.
* @return the value of the property, not null
*/
public BusinessDayAdjustment getBusinessDayAdjustment() {
return businessDayAdjustment;
}
//-----------------------------------------------------------------------
/**
* Gets the reference against which protection applies.
* <p>
* For a single-name CDS, this contains information on the entity/issue
* For a CDS index, this contains information about the index.
* @return the value of the property, not null
*/
public ReferenceInformation getReferenceInformation() {
return referenceInformation;
}
//-----------------------------------------------------------------------
/**
* Gets the fee leg.
* <p>
* This contains all the terms relevant to defining the fixed amounts/payments
* per the applicable ISDA definitions.
* @return the value of the property, not null
*/
public FeeLeg getFeeLeg() {
return feeLeg;
}
//-----------------------------------------------------------------------
/**
* Gets whether the accrued premium is paid in the event of a default.
* @return the value of the property, not null
*/
public boolean isPayAccruedOnDefault() {
return payAccruedOnDefault;
}
//-----------------------------------------------------------------------
/**
* 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()) {
Cds other = (Cds) obj;
return JodaBeanUtils.equal(buySellProtection, other.buySellProtection) &&
JodaBeanUtils.equal(startDate, other.startDate) &&
JodaBeanUtils.equal(endDate, other.endDate) &&
JodaBeanUtils.equal(businessDayAdjustment, other.businessDayAdjustment) &&
JodaBeanUtils.equal(referenceInformation, other.referenceInformation) &&
JodaBeanUtils.equal(feeLeg, other.feeLeg) &&
(payAccruedOnDefault == other.payAccruedOnDefault);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(buySellProtection);
hash = hash * 31 + JodaBeanUtils.hashCode(startDate);
hash = hash * 31 + JodaBeanUtils.hashCode(endDate);
hash = hash * 31 + JodaBeanUtils.hashCode(businessDayAdjustment);
hash = hash * 31 + JodaBeanUtils.hashCode(referenceInformation);
hash = hash * 31 + JodaBeanUtils.hashCode(feeLeg);
hash = hash * 31 + JodaBeanUtils.hashCode(payAccruedOnDefault);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("Cds{");
buf.append("buySellProtection").append('=').append(buySellProtection).append(',').append(' ');
buf.append("startDate").append('=').append(startDate).append(',').append(' ');
buf.append("endDate").append('=').append(endDate).append(',').append(' ');
buf.append("businessDayAdjustment").append('=').append(businessDayAdjustment).append(',').append(' ');
buf.append("referenceInformation").append('=').append(referenceInformation).append(',').append(' ');
buf.append("feeLeg").append('=').append(feeLeg).append(',').append(' ');
buf.append("payAccruedOnDefault").append('=').append(JodaBeanUtils.toString(payAccruedOnDefault));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code Cds}.
*/
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 buySellProtection} property.
*/
private final MetaProperty<BuySell> buySellProtection = DirectMetaProperty.ofImmutable(
this, "buySellProtection", Cds.class, BuySell.class);
/**
* The meta-property for the {@code startDate} property.
*/
private final MetaProperty<LocalDate> startDate = DirectMetaProperty.ofImmutable(
this, "startDate", Cds.class, LocalDate.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty<LocalDate> endDate = DirectMetaProperty.ofImmutable(
this, "endDate", Cds.class, LocalDate.class);
/**
* The meta-property for the {@code businessDayAdjustment} property.
*/
private final MetaProperty<BusinessDayAdjustment> businessDayAdjustment = DirectMetaProperty.ofImmutable(
this, "businessDayAdjustment", Cds.class, BusinessDayAdjustment.class);
/**
* The meta-property for the {@code referenceInformation} property.
*/
private final MetaProperty<ReferenceInformation> referenceInformation = DirectMetaProperty.ofImmutable(
this, "referenceInformation", Cds.class, ReferenceInformation.class);
/**
* The meta-property for the {@code feeLeg} property.
*/
private final MetaProperty<FeeLeg> feeLeg = DirectMetaProperty.ofImmutable(
this, "feeLeg", Cds.class, FeeLeg.class);
/**
* The meta-property for the {@code payAccruedOnDefault} property.
*/
private final MetaProperty<Boolean> payAccruedOnDefault = DirectMetaProperty.ofImmutable(
this, "payAccruedOnDefault", Cds.class, Boolean.TYPE);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"buySellProtection",
"startDate",
"endDate",
"businessDayAdjustment",
"referenceInformation",
"feeLeg",
"payAccruedOnDefault");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -405622799: // buySellProtection
return buySellProtection;
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case -1065319863: // businessDayAdjustment
return businessDayAdjustment;
case -2117930783: // referenceInformation
return referenceInformation;
case -1278433112: // feeLeg
return feeLeg;
case -43782841: // payAccruedOnDefault
return payAccruedOnDefault;
}
return super.metaPropertyGet(propertyName);
}
@Override
public Cds.Builder builder() {
return new Cds.Builder();
}
@Override
public Class<? extends Cds> beanType() {
return Cds.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code buySellProtection} property.
* @return the meta-property, not null
*/
public MetaProperty<BuySell> buySellProtection() {
return buySellProtection;
}
/**
* The meta-property for the {@code startDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> startDate() {
return startDate;
}
/**
* The meta-property for the {@code endDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> endDate() {
return endDate;
}
/**
* The meta-property for the {@code businessDayAdjustment} property.
* @return the meta-property, not null
*/
public MetaProperty<BusinessDayAdjustment> businessDayAdjustment() {
return businessDayAdjustment;
}
/**
* The meta-property for the {@code referenceInformation} property.
* @return the meta-property, not null
*/
public MetaProperty<ReferenceInformation> referenceInformation() {
return referenceInformation;
}
/**
* The meta-property for the {@code feeLeg} property.
* @return the meta-property, not null
*/
public MetaProperty<FeeLeg> feeLeg() {
return feeLeg;
}
/**
* The meta-property for the {@code payAccruedOnDefault} property.
* @return the meta-property, not null
*/
public MetaProperty<Boolean> payAccruedOnDefault() {
return payAccruedOnDefault;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -405622799: // buySellProtection
return ((Cds) bean).getBuySellProtection();
case -2129778896: // startDate
return ((Cds) bean).getStartDate();
case -1607727319: // endDate
return ((Cds) bean).getEndDate();
case -1065319863: // businessDayAdjustment
return ((Cds) bean).getBusinessDayAdjustment();
case -2117930783: // referenceInformation
return ((Cds) bean).getReferenceInformation();
case -1278433112: // feeLeg
return ((Cds) bean).getFeeLeg();
case -43782841: // payAccruedOnDefault
return ((Cds) bean).isPayAccruedOnDefault();
}
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 Cds}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<Cds> {
private BuySell buySellProtection;
private LocalDate startDate;
private LocalDate endDate;
private BusinessDayAdjustment businessDayAdjustment;
private ReferenceInformation referenceInformation;
private FeeLeg feeLeg;
private boolean payAccruedOnDefault;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(Cds beanToCopy) {
this.buySellProtection = beanToCopy.getBuySellProtection();
this.startDate = beanToCopy.getStartDate();
this.endDate = beanToCopy.getEndDate();
this.businessDayAdjustment = beanToCopy.getBusinessDayAdjustment();
this.referenceInformation = beanToCopy.getReferenceInformation();
this.feeLeg = beanToCopy.getFeeLeg();
this.payAccruedOnDefault = beanToCopy.isPayAccruedOnDefault();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -405622799: // buySellProtection
return buySellProtection;
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case -1065319863: // businessDayAdjustment
return businessDayAdjustment;
case -2117930783: // referenceInformation
return referenceInformation;
case -1278433112: // feeLeg
return feeLeg;
case -43782841: // payAccruedOnDefault
return payAccruedOnDefault;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -405622799: // buySellProtection
this.buySellProtection = (BuySell) newValue;
break;
case -2129778896: // startDate
this.startDate = (LocalDate) newValue;
break;
case -1607727319: // endDate
this.endDate = (LocalDate) newValue;
break;
case -1065319863: // businessDayAdjustment
this.businessDayAdjustment = (BusinessDayAdjustment) newValue;
break;
case -2117930783: // referenceInformation
this.referenceInformation = (ReferenceInformation) newValue;
break;
case -1278433112: // feeLeg
this.feeLeg = (FeeLeg) newValue;
break;
case -43782841: // payAccruedOnDefault
this.payAccruedOnDefault = (Boolean) 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 Cds build() {
return new Cds(
buySellProtection,
startDate,
endDate,
businessDayAdjustment,
referenceInformation,
feeLeg,
payAccruedOnDefault);
}
//-----------------------------------------------------------------------
/**
* Sets whether the CDS is buy or sell.
* <p>
* A value of 'Buy' implies that the fee leg payments are being paid, and protection is being bought.
* A value of 'Sell' implies that the fee leg payments are being received, and protection is being sold.
* @param buySellProtection the new value, not null
* @return this, for chaining, not null
*/
public Builder buySellProtection(BuySell buySellProtection) {
JodaBeanUtils.notNull(buySellProtection, "buySellProtection");
this.buySellProtection = buySellProtection;
return this;
}
/**
* Sets the first date of the term of the trade.
* <p>
* This day may be subject to adjustment in accordance with a business day convention.
* This is typically the previous CDS date (quarter on 20th) before the trade date, adjusted.
* <p>
* ISDA 2003 Term: Effective Date.
* @param startDate the new value, not null
* @return this, for chaining, not null
*/
public Builder startDate(LocalDate startDate) {
JodaBeanUtils.notNull(startDate, "startDate");
this.startDate = startDate;
return this;
}
/**
* Sets the scheduled date on which the credit protection will lapse.
* <p>
* This day may be subject to adjustment in accordance with a business day convention.
* This is typically an unadjusted CDS date.
* <p>
* ISDA 2003 Term: Scheduled Termination Date.
* @param endDate the new value, not null
* @return this, for chaining, not null
*/
public Builder endDate(LocalDate endDate) {
JodaBeanUtils.notNull(endDate, "endDate");
this.endDate = endDate;
return this;
}
/**
* Sets the business day adjustment to apply to the start and end dates.
* <p>
* ISDA 2003 Terms: Business Day and Business Day Convention.
* @param businessDayAdjustment the new value, not null
* @return this, for chaining, not null
*/
public Builder businessDayAdjustment(BusinessDayAdjustment businessDayAdjustment) {
JodaBeanUtils.notNull(businessDayAdjustment, "businessDayAdjustment");
this.businessDayAdjustment = businessDayAdjustment;
return this;
}
/**
* Sets the reference against which protection applies.
* <p>
* For a single-name CDS, this contains information on the entity/issue
* For a CDS index, this contains information about the index.
* @param referenceInformation the new value, not null
* @return this, for chaining, not null
*/
public Builder referenceInformation(ReferenceInformation referenceInformation) {
JodaBeanUtils.notNull(referenceInformation, "referenceInformation");
this.referenceInformation = referenceInformation;
return this;
}
/**
* Sets the fee leg.
* <p>
* This contains all the terms relevant to defining the fixed amounts/payments
* per the applicable ISDA definitions.
* @param feeLeg the new value, not null
* @return this, for chaining, not null
*/
public Builder feeLeg(FeeLeg feeLeg) {
JodaBeanUtils.notNull(feeLeg, "feeLeg");
this.feeLeg = feeLeg;
return this;
}
/**
* Sets whether the accrued premium is paid in the event of a default.
* @param payAccruedOnDefault the new value, not null
* @return this, for chaining, not null
*/
public Builder payAccruedOnDefault(boolean payAccruedOnDefault) {
JodaBeanUtils.notNull(payAccruedOnDefault, "payAccruedOnDefault");
this.payAccruedOnDefault = payAccruedOnDefault;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("Cds.Builder{");
buf.append("buySellProtection").append('=').append(JodaBeanUtils.toString(buySellProtection)).append(',').append(' ');
buf.append("startDate").append('=').append(JodaBeanUtils.toString(startDate)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(endDate)).append(',').append(' ');
buf.append("businessDayAdjustment").append('=').append(JodaBeanUtils.toString(businessDayAdjustment)).append(',').append(' ');
buf.append("referenceInformation").append('=').append(JodaBeanUtils.toString(referenceInformation)).append(',').append(' ');
buf.append("feeLeg").append('=').append(JodaBeanUtils.toString(feeLeg)).append(',').append(' ');
buf.append("payAccruedOnDefault").append('=').append(JodaBeanUtils.toString(payAccruedOnDefault));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}