/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.fx.type;
import static com.opengamma.strata.basics.date.BusinessDayConventions.MODIFIED_FOLLOWING;
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 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.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.fx.FxSwap;
import com.opengamma.strata.product.fx.FxSwapTrade;
/**
* A market convention for FX swap trades
* <p>
* This defines the market convention for a FX swap based on a particular currency pair.
* <p>
* The convention is defined by four dates.
* <ul>
* <li>Trade date, the date that the trade is agreed
* <li>Spot date, the base for date calculations, typically 2 business days after the trade date
* <li>Near date, the date on which the near leg of the swap is exchanged, typically equal to the spot date
* <li>Far date, the date on which the far leg of the swap is exchanged, typically a number of months or years after the spot date
* </ul>
* The period between the spot date and the start/end date is specified by {@link FxSwapTemplate}, not by this convention.
*/
@BeanDefinition
public final class ImmutableFxSwapConvention
implements FxSwapConvention, ImmutableBean, Serializable {
/**
* The currency pair associated with the convention.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurrencyPair currencyPair;
/**
* The convention name, such as 'EUR/USD', optional with defaulting getter.
* <p>
* This will default to the name of the currency pair if not specified.
*/
@PropertyDefinition(get = "field")
private final String name;
/**
* The offset of the spot value date from the trade date.
* <p>
* The offset is applied to the trade date and is typically plus 2 business days
* in the joint calendar of the two currencies.
* The start and end date of the FX swap are relative to the spot date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DaysAdjustment spotDateOffset;
/**
* The business day adjustment to apply to the start and end date, optional with defaulting getter.
* <p>
* The start and end date are typically defined as valid business days and thus
* do not need to be adjusted. If this optional property is present, then the
* start and end date will be adjusted as defined here.
* <p>
* This will default to 'ModifiedFollowing' using the spot date offset calendar if not specified.
*/
@PropertyDefinition(get = "field")
private final BusinessDayAdjustment businessDayAdjustment;
//-------------------------------------------------------------------------
/**
* Obtains a convention based on the specified currency pair and spot date offset.
* <p>
* Use the {@linkplain #builder() builder} for unusual conventions.
*
* @param currencyPair the currency pair associated to the convention
* @param spotDateOffset the spot date offset
* @return the convention
*/
public static ImmutableFxSwapConvention of(CurrencyPair currencyPair, DaysAdjustment spotDateOffset) {
return ImmutableFxSwapConvention.builder()
.currencyPair(currencyPair)
.spotDateOffset(spotDateOffset)
.build();
}
/**
* Obtains a convention based on the specified currency pair, spot date offset and adjustment.
* <p>
* Use the {@linkplain #builder() builder} for unusual conventions.
*
* @param currencyPair the currency pair associated to the convention
* @param spotDateOffset the spot date offset
* @param businessDayAdjustment the business day adjustment to apply
* @return the convention
*/
public static ImmutableFxSwapConvention of(
CurrencyPair currencyPair,
DaysAdjustment spotDateOffset,
BusinessDayAdjustment businessDayAdjustment) {
ArgChecker.notNull(businessDayAdjustment, "businessDayAdjustment");
return ImmutableFxSwapConvention.builder()
.currencyPair(currencyPair)
.spotDateOffset(spotDateOffset)
.businessDayAdjustment(businessDayAdjustment)
.build();
}
@Override
public String getName() {
return name != null ? name : currencyPair.toString();
}
/**
* Gets the business day adjustment to apply to the start and end date,
* providing a default result if no override specified.
* <p>
* The start and end date are typically defined as valid business days and thus
* do not need to be adjusted. If this optional property is present, then the
* start and end date will be adjusted as defined here.
* <p>
* This will default to 'ModifiedFollowing' using the spot date offset calendar if not specified.
*
* @return the business day adjustment, not null
*/
public BusinessDayAdjustment getBusinessDayAdjustment() {
return businessDayAdjustment != null ?
businessDayAdjustment :
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, spotDateOffset.getCalendar());
}
//-------------------------------------------------------------------------
@Override
public FxSwapTrade toTrade(
TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double nearFxRate,
double farLegForwardPoints) {
Optional<LocalDate> tradeDate = tradeInfo.getTradeDate();
if (tradeDate.isPresent()) {
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
double amount1 = BuySell.BUY.normalize(notional);
return FxSwapTrade.builder()
.info(tradeInfo)
.product(FxSwap.ofForwardPoints(
CurrencyAmount.of(currencyPair.getBase(), amount1),
FxRate.of(currencyPair, nearFxRate),
farLegForwardPoints,
startDate,
endDate,
getBusinessDayAdjustment()))
.build();
}
@Override
public String toString() {
return getName();
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code ImmutableFxSwapConvention}.
* @return the meta-bean, not null
*/
public static ImmutableFxSwapConvention.Meta meta() {
return ImmutableFxSwapConvention.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(ImmutableFxSwapConvention.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 ImmutableFxSwapConvention.Builder builder() {
return new ImmutableFxSwapConvention.Builder();
}
private ImmutableFxSwapConvention(
CurrencyPair currencyPair,
String name,
DaysAdjustment spotDateOffset,
BusinessDayAdjustment businessDayAdjustment) {
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.currencyPair = currencyPair;
this.name = name;
this.spotDateOffset = spotDateOffset;
this.businessDayAdjustment = businessDayAdjustment;
}
@Override
public ImmutableFxSwapConvention.Meta metaBean() {
return ImmutableFxSwapConvention.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 currency pair associated with the convention.
* @return the value of the property, not null
*/
@Override
public CurrencyPair getCurrencyPair() {
return currencyPair;
}
//-----------------------------------------------------------------------
/**
* Gets the offset of the spot value date from the trade date.
* <p>
* The offset is applied to the trade date and is typically plus 2 business days
* in the joint calendar of the two currencies.
* The start and end date of the FX swap are relative to the spot date.
* @return the value of the property, not null
*/
@Override
public DaysAdjustment getSpotDateOffset() {
return spotDateOffset;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ImmutableFxSwapConvention other = (ImmutableFxSwapConvention) obj;
return JodaBeanUtils.equal(currencyPair, other.currencyPair) &&
JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(spotDateOffset, other.spotDateOffset) &&
JodaBeanUtils.equal(businessDayAdjustment, other.businessDayAdjustment);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(currencyPair);
hash = hash * 31 + JodaBeanUtils.hashCode(name);
hash = hash * 31 + JodaBeanUtils.hashCode(spotDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(businessDayAdjustment);
return hash;
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ImmutableFxSwapConvention}.
*/
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 currencyPair} property.
*/
private final MetaProperty<CurrencyPair> currencyPair = DirectMetaProperty.ofImmutable(
this, "currencyPair", ImmutableFxSwapConvention.class, CurrencyPair.class);
/**
* The meta-property for the {@code name} property.
*/
private final MetaProperty<String> name = DirectMetaProperty.ofImmutable(
this, "name", ImmutableFxSwapConvention.class, String.class);
/**
* The meta-property for the {@code spotDateOffset} property.
*/
private final MetaProperty<DaysAdjustment> spotDateOffset = DirectMetaProperty.ofImmutable(
this, "spotDateOffset", ImmutableFxSwapConvention.class, DaysAdjustment.class);
/**
* The meta-property for the {@code businessDayAdjustment} property.
*/
private final MetaProperty<BusinessDayAdjustment> businessDayAdjustment = DirectMetaProperty.ofImmutable(
this, "businessDayAdjustment", ImmutableFxSwapConvention.class, BusinessDayAdjustment.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"currencyPair",
"name",
"spotDateOffset",
"businessDayAdjustment");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return currencyPair;
case 3373707: // name
return name;
case 746995843: // spotDateOffset
return spotDateOffset;
case -1065319863: // businessDayAdjustment
return businessDayAdjustment;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ImmutableFxSwapConvention.Builder builder() {
return new ImmutableFxSwapConvention.Builder();
}
@Override
public Class<? extends ImmutableFxSwapConvention> beanType() {
return ImmutableFxSwapConvention.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code currencyPair} property.
* @return the meta-property, not null
*/
public MetaProperty<CurrencyPair> currencyPair() {
return currencyPair;
}
/**
* The meta-property for the {@code name} property.
* @return the meta-property, not null
*/
public MetaProperty<String> name() {
return name;
}
/**
* The meta-property for the {@code spotDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty<DaysAdjustment> spotDateOffset() {
return spotDateOffset;
}
/**
* The meta-property for the {@code businessDayAdjustment} property.
* @return the meta-property, not null
*/
public MetaProperty<BusinessDayAdjustment> businessDayAdjustment() {
return businessDayAdjustment;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return ((ImmutableFxSwapConvention) bean).getCurrencyPair();
case 3373707: // name
return ((ImmutableFxSwapConvention) bean).name;
case 746995843: // spotDateOffset
return ((ImmutableFxSwapConvention) bean).getSpotDateOffset();
case -1065319863: // businessDayAdjustment
return ((ImmutableFxSwapConvention) bean).businessDayAdjustment;
}
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 ImmutableFxSwapConvention}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<ImmutableFxSwapConvention> {
private CurrencyPair currencyPair;
private String name;
private DaysAdjustment spotDateOffset;
private BusinessDayAdjustment businessDayAdjustment;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ImmutableFxSwapConvention beanToCopy) {
this.currencyPair = beanToCopy.getCurrencyPair();
this.name = beanToCopy.name;
this.spotDateOffset = beanToCopy.getSpotDateOffset();
this.businessDayAdjustment = beanToCopy.businessDayAdjustment;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
return currencyPair;
case 3373707: // name
return name;
case 746995843: // spotDateOffset
return spotDateOffset;
case -1065319863: // businessDayAdjustment
return businessDayAdjustment;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1005147787: // currencyPair
this.currencyPair = (CurrencyPair) newValue;
break;
case 3373707: // name
this.name = (String) newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset = (DaysAdjustment) newValue;
break;
case -1065319863: // businessDayAdjustment
this.businessDayAdjustment = (BusinessDayAdjustment) 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 ImmutableFxSwapConvention build() {
return new ImmutableFxSwapConvention(
currencyPair,
name,
spotDateOffset,
businessDayAdjustment);
}
//-----------------------------------------------------------------------
/**
* Sets the currency pair associated with the convention.
* @param currencyPair the new value, not null
* @return this, for chaining, not null
*/
public Builder currencyPair(CurrencyPair currencyPair) {
JodaBeanUtils.notNull(currencyPair, "currencyPair");
this.currencyPair = currencyPair;
return this;
}
/**
* Sets the convention name, such as 'EUR/USD', optional with defaulting getter.
* <p>
* This will default to the name of the currency pair if not specified.
* @param name the new value
* @return this, for chaining, not null
*/
public Builder name(String name) {
this.name = name;
return this;
}
/**
* Sets the offset of the spot value date from the trade date.
* <p>
* The offset is applied to the trade date and is typically plus 2 business days
* in the joint calendar of the two currencies.
* The start and end date of the FX swap are relative to the spot date.
* @param spotDateOffset the new value, not null
* @return this, for chaining, not null
*/
public Builder spotDateOffset(DaysAdjustment spotDateOffset) {
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.spotDateOffset = spotDateOffset;
return this;
}
/**
* Sets the business day adjustment to apply to the start and end date, optional with defaulting getter.
* <p>
* The start and end date are typically defined as valid business days and thus
* do not need to be adjusted. If this optional property is present, then the
* start and end date will be adjusted as defined here.
* <p>
* This will default to 'ModifiedFollowing' using the spot date offset calendar if not specified.
* @param businessDayAdjustment the new value
* @return this, for chaining, not null
*/
public Builder businessDayAdjustment(BusinessDayAdjustment businessDayAdjustment) {
this.businessDayAdjustment = businessDayAdjustment;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ImmutableFxSwapConvention.Builder{");
buf.append("currencyPair").append('=').append(JodaBeanUtils.toString(currencyPair)).append(',').append(' ');
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("spotDateOffset").append('=').append(JodaBeanUtils.toString(spotDateOffset)).append(',').append(' ');
buf.append("businessDayAdjustment").append('=').append(JodaBeanUtils.toString(businessDayAdjustment));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}