/** * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.product.dsf; import java.io.Serializable; import java.time.LocalDate; 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.DerivedProperty; 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.currency.Currency; import com.opengamma.strata.collect.ArgChecker; import com.opengamma.strata.product.Security; import com.opengamma.strata.product.SecurityId; import com.opengamma.strata.product.SecurityInfo; import com.opengamma.strata.product.TradeInfo; import com.opengamma.strata.product.swap.RateCalculationSwapLeg; import com.opengamma.strata.product.swap.Swap; import com.opengamma.strata.product.swap.SwapLeg; import com.opengamma.strata.product.swap.SwapLegType; /** * A security representing a deliverable swap futures security. * <p> * A deliverable swap future is a financial instrument that physically settles * an interest rate swap on a future date. * The delivered swap is cleared by a central counterparty. * The last future price before delivery is quoted in term of the underlying swap present value. * The futures product is margined on a daily basis. * * <h4>Price</h4> * The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. * For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. * This price can also be viewed as a percentage present value - {@code (100 + percentPv)}, or 0.182% in this example. * <p> * Strata uses <i>decimal prices</i> for DSFs in the trade model, pricers and market data. * The decimal price is based on the decimal multiplier equivalent to the implied percentage. * Thus the market price of 100.182 is represented in Strata by 1.00182. */ @BeanDefinition public final class DsfSecurity implements Security, ImmutableBean, Serializable { /** * The standard security information. * <p> * This includes the security identifier. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final SecurityInfo info; /** * The notional. * <p> * This is also called face value or contract value. */ @PropertyDefinition(validate = "ArgChecker.notNegativeOrZero") private final double notional; /** * The last date of trading. * <p> * This date must be before the delivery date of the underlying swap. */ @PropertyDefinition(validate = "notNull") private final LocalDate lastTradeDate; /** * The underlying swap. * <p> * The delivery date of the future is the start date of the swap. * The swap must be a single currency swap with a notional of 1. * There must be two legs, the fixed leg must be received and the floating rate must be paid. */ @PropertyDefinition(validate = "notNull") private final Swap underlyingSwap; //------------------------------------------------------------------------- @ImmutableValidator private void validate() { ArgChecker.isFalse(underlyingSwap.isCrossCurrency(), "Underlying swap must not be cross currency"); for (SwapLeg swapLeg : underlyingSwap.getLegs()) { if (swapLeg.getType().equals(SwapLegType.FIXED)) { ArgChecker.isTrue(swapLeg.getPayReceive().isReceive(), "Underlying swap must receive the fixed leg"); } if (swapLeg instanceof RateCalculationSwapLeg) { RateCalculationSwapLeg leg = (RateCalculationSwapLeg) swapLeg; ArgChecker.isTrue(Math.abs(leg.getNotionalSchedule().getAmount().getInitialValue()) == 1d, "Underlying swap must have a notional of 1"); } } } //------------------------------------------------------------------------- @Override @DerivedProperty public Currency getCurrency() { return underlyingSwap.getLegs().get(0).getCurrency(); } @Override public ImmutableSet<SecurityId> getUnderlyingIds() { return ImmutableSet.of(); } //------------------------------------------------------------------------- @Override public Dsf createProduct(ReferenceData refData) { LocalDate deliveryDate = underlyingSwap.getStartDate().getUnadjusted(); return new Dsf(getSecurityId(), notional, lastTradeDate, deliveryDate, underlyingSwap); } @Override public DsfTrade createTrade( TradeInfo info, double quantity, double tradePrice, ReferenceData refData) { return new DsfTrade(info, createProduct(refData), quantity, tradePrice); } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code DsfSecurity}. * @return the meta-bean, not null */ public static DsfSecurity.Meta meta() { return DsfSecurity.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(DsfSecurity.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 DsfSecurity.Builder builder() { return new DsfSecurity.Builder(); } private DsfSecurity( SecurityInfo info, double notional, LocalDate lastTradeDate, Swap underlyingSwap) { JodaBeanUtils.notNull(info, "info"); ArgChecker.notNegativeOrZero(notional, "notional"); JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate"); JodaBeanUtils.notNull(underlyingSwap, "underlyingSwap"); this.info = info; this.notional = notional; this.lastTradeDate = lastTradeDate; this.underlyingSwap = underlyingSwap; validate(); } @Override public DsfSecurity.Meta metaBean() { return DsfSecurity.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 standard security information. * <p> * This includes the security identifier. * @return the value of the property, not null */ @Override public SecurityInfo getInfo() { return info; } //----------------------------------------------------------------------- /** * Gets the notional. * <p> * This is also called face value or contract value. * @return the value of the property */ public double getNotional() { return notional; } //----------------------------------------------------------------------- /** * Gets the last date of trading. * <p> * This date must be before the delivery date of the underlying swap. * @return the value of the property, not null */ public LocalDate getLastTradeDate() { return lastTradeDate; } //----------------------------------------------------------------------- /** * Gets the underlying swap. * <p> * The delivery date of the future is the start date of the swap. * The swap must be a single currency swap with a notional of 1. * There must be two legs, the fixed leg must be received and the floating rate must be paid. * @return the value of the property, not null */ public Swap getUnderlyingSwap() { return underlyingSwap; } //----------------------------------------------------------------------- /** * 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()) { DsfSecurity other = (DsfSecurity) obj; return JodaBeanUtils.equal(info, other.info) && JodaBeanUtils.equal(notional, other.notional) && JodaBeanUtils.equal(lastTradeDate, other.lastTradeDate) && JodaBeanUtils.equal(underlyingSwap, other.underlyingSwap); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(info); hash = hash * 31 + JodaBeanUtils.hashCode(notional); hash = hash * 31 + JodaBeanUtils.hashCode(lastTradeDate); hash = hash * 31 + JodaBeanUtils.hashCode(underlyingSwap); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(192); buf.append("DsfSecurity{"); buf.append("info").append('=').append(info).append(',').append(' '); buf.append("notional").append('=').append(notional).append(',').append(' '); buf.append("lastTradeDate").append('=').append(lastTradeDate).append(',').append(' '); buf.append("underlyingSwap").append('=').append(underlyingSwap).append(',').append(' '); buf.append("currency").append('=').append(JodaBeanUtils.toString(getCurrency())); buf.append('}'); return buf.toString(); } //----------------------------------------------------------------------- /** * The meta-bean for {@code DsfSecurity}. */ 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 info} property. */ private final MetaProperty<SecurityInfo> info = DirectMetaProperty.ofImmutable( this, "info", DsfSecurity.class, SecurityInfo.class); /** * The meta-property for the {@code notional} property. */ private final MetaProperty<Double> notional = DirectMetaProperty.ofImmutable( this, "notional", DsfSecurity.class, Double.TYPE); /** * The meta-property for the {@code lastTradeDate} property. */ private final MetaProperty<LocalDate> lastTradeDate = DirectMetaProperty.ofImmutable( this, "lastTradeDate", DsfSecurity.class, LocalDate.class); /** * The meta-property for the {@code underlyingSwap} property. */ private final MetaProperty<Swap> underlyingSwap = DirectMetaProperty.ofImmutable( this, "underlyingSwap", DsfSecurity.class, Swap.class); /** * The meta-property for the {@code currency} property. */ private final MetaProperty<Currency> currency = DirectMetaProperty.ofDerived( this, "currency", DsfSecurity.class, Currency.class); /** * The meta-properties. */ private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap( this, null, "info", "notional", "lastTradeDate", "underlyingSwap", "currency"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty<?> metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case 3237038: // info return info; case 1585636160: // notional return notional; case -1041950404: // lastTradeDate return lastTradeDate; case 1497421456: // underlyingSwap return underlyingSwap; case 575402001: // currency return currency; } return super.metaPropertyGet(propertyName); } @Override public DsfSecurity.Builder builder() { return new DsfSecurity.Builder(); } @Override public Class<? extends DsfSecurity> beanType() { return DsfSecurity.class; } @Override public Map<String, MetaProperty<?>> metaPropertyMap() { return metaPropertyMap$; } //----------------------------------------------------------------------- /** * The meta-property for the {@code info} property. * @return the meta-property, not null */ public MetaProperty<SecurityInfo> info() { return info; } /** * The meta-property for the {@code notional} property. * @return the meta-property, not null */ public MetaProperty<Double> notional() { return notional; } /** * The meta-property for the {@code lastTradeDate} property. * @return the meta-property, not null */ public MetaProperty<LocalDate> lastTradeDate() { return lastTradeDate; } /** * The meta-property for the {@code underlyingSwap} property. * @return the meta-property, not null */ public MetaProperty<Swap> underlyingSwap() { return underlyingSwap; } /** * The meta-property for the {@code currency} property. * @return the meta-property, not null */ public MetaProperty<Currency> currency() { return currency; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 3237038: // info return ((DsfSecurity) bean).getInfo(); case 1585636160: // notional return ((DsfSecurity) bean).getNotional(); case -1041950404: // lastTradeDate return ((DsfSecurity) bean).getLastTradeDate(); case 1497421456: // underlyingSwap return ((DsfSecurity) bean).getUnderlyingSwap(); case 575402001: // currency return ((DsfSecurity) bean).getCurrency(); } 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 DsfSecurity}. */ public static final class Builder extends DirectFieldsBeanBuilder<DsfSecurity> { private SecurityInfo info; private double notional; private LocalDate lastTradeDate; private Swap underlyingSwap; /** * Restricted constructor. */ private Builder() { } /** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(DsfSecurity beanToCopy) { this.info = beanToCopy.getInfo(); this.notional = beanToCopy.getNotional(); this.lastTradeDate = beanToCopy.getLastTradeDate(); this.underlyingSwap = beanToCopy.getUnderlyingSwap(); } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case 3237038: // info return info; case 1585636160: // notional return notional; case -1041950404: // lastTradeDate return lastTradeDate; case 1497421456: // underlyingSwap return underlyingSwap; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case 3237038: // info this.info = (SecurityInfo) newValue; break; case 1585636160: // notional this.notional = (Double) newValue; break; case -1041950404: // lastTradeDate this.lastTradeDate = (LocalDate) newValue; break; case 1497421456: // underlyingSwap this.underlyingSwap = (Swap) 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 DsfSecurity build() { return new DsfSecurity( info, notional, lastTradeDate, underlyingSwap); } //----------------------------------------------------------------------- /** * Sets the standard security information. * <p> * This includes the security identifier. * @param info the new value, not null * @return this, for chaining, not null */ public Builder info(SecurityInfo info) { JodaBeanUtils.notNull(info, "info"); this.info = info; return this; } /** * Sets the notional. * <p> * This is also called face value or contract value. * @param notional the new value * @return this, for chaining, not null */ public Builder notional(double notional) { ArgChecker.notNegativeOrZero(notional, "notional"); this.notional = notional; return this; } /** * Sets the last date of trading. * <p> * This date must be before the delivery date of the underlying swap. * @param lastTradeDate the new value, not null * @return this, for chaining, not null */ public Builder lastTradeDate(LocalDate lastTradeDate) { JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate"); this.lastTradeDate = lastTradeDate; return this; } /** * Sets the underlying swap. * <p> * The delivery date of the future is the start date of the swap. * The swap must be a single currency swap with a notional of 1. * There must be two legs, the fixed leg must be received and the floating rate must be paid. * @param underlyingSwap the new value, not null * @return this, for chaining, not null */ public Builder underlyingSwap(Swap underlyingSwap) { JodaBeanUtils.notNull(underlyingSwap, "underlyingSwap"); this.underlyingSwap = underlyingSwap; return this; } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(160); buf.append("DsfSecurity.Builder{"); buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' '); buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' '); buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' '); buf.append("underlyingSwap").append('=').append(JodaBeanUtils.toString(underlyingSwap)); buf.append('}'); return buf.toString(); } } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }