/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.fxopt;
import static com.opengamma.strata.collect.ArgChecker.inOrderOrEqual;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.ZonedDateTime;
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.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.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.product.ResolvedProduct;
import com.opengamma.strata.product.common.LongShort;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.fx.ResolvedFxSingle;
/**
* A vanilla FX option, resolved for pricing.
* <p>
* This is the resolved form of {@link FxVanillaOption} and is an input to the pricers.
* Applications will typically create a {@code ResolvedFxVanillaOption} from a {@code FxVanillaOption}
* using {@link FxVanillaOption#resolve(ReferenceData)}.
* <p>
* A {@code ResolvedFxVanillaOption} 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
public final class ResolvedFxVanillaOption
implements ResolvedProduct, ImmutableBean, Serializable {
/**
* Whether the option is long or short.
* <p>
* At expiry, the long party will have the option to enter in this transaction;
* the short party will, at the option of the long party, potentially enter into the inverse transaction.
*/
@PropertyDefinition(validate = "notNull")
private final LongShort longShort;
/**
* The expiry date-time of the option.
* <p>
* The option is European, and can only be exercised on the expiry date.
*/
@PropertyDefinition(validate = "notNull")
private final ZonedDateTime expiry;
/**
* The underlying foreign exchange transaction.
* <p>
* At expiry, if the option is in the money, this foreign exchange will occur.
* A call option permits the transaction as specified to occur.
* A put option permits the inverse transaction to occur.
*/
@PropertyDefinition(validate = "notNull")
private final ResolvedFxSingle underlying;
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
inOrderOrEqual(expiry.toLocalDate(), underlying.getPaymentDate(), "expiry.date", "underlying.paymentDate");
}
//-------------------------------------------------------------------------
/**
* Gets currency pair of the base currency and counter currency.
* <p>
* This currency pair is conventional, thus indifferent to the direction of FX.
*
* @return the currency pair
*/
public CurrencyPair getCurrencyPair() {
return underlying.getCurrencyPair();
}
/**
* Gets the expiry date of the option.
*
* @return the expiry date
*/
public LocalDate getExpiryDate() {
return expiry.toLocalDate();
}
/**
* Gets the strike rate.
*
* @return the strike
*/
public double getStrike() {
return Math.abs(underlying.getCounterCurrencyPayment().getAmount() /
underlying.getBaseCurrencyPayment().getAmount());
}
/**
* Returns the put/call flag.
* <p>
* This is the put/call for the base currency.
* If the amount for the base currency is positive, the option is a call on the base currency (put on counter currency).
* If the amount for the base currency is negative, the option is a put on the base currency (call on counter currency).
*
* @return the put or call
*/
public PutCall getPutCall() {
return underlying.getCounterCurrencyPayment().getAmount() > 0d ? PutCall.PUT : PutCall.CALL;
}
/**
* Get the counter currency of the underlying FX transaction.
*
* @return the counter currency
*/
public Currency getCounterCurrency() {
return underlying.getCounterCurrencyPayment().getCurrency();
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code ResolvedFxVanillaOption}.
* @return the meta-bean, not null
*/
public static ResolvedFxVanillaOption.Meta meta() {
return ResolvedFxVanillaOption.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(ResolvedFxVanillaOption.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 ResolvedFxVanillaOption.Builder builder() {
return new ResolvedFxVanillaOption.Builder();
}
private ResolvedFxVanillaOption(
LongShort longShort,
ZonedDateTime expiry,
ResolvedFxSingle underlying) {
JodaBeanUtils.notNull(longShort, "longShort");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(underlying, "underlying");
this.longShort = longShort;
this.expiry = expiry;
this.underlying = underlying;
validate();
}
@Override
public ResolvedFxVanillaOption.Meta metaBean() {
return ResolvedFxVanillaOption.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 option is long or short.
* <p>
* At expiry, the long party will have the option to enter in this transaction;
* the short party will, at the option of the long party, potentially enter into the inverse transaction.
* @return the value of the property, not null
*/
public LongShort getLongShort() {
return longShort;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry date-time of the option.
* <p>
* The option is European, and can only be exercised on the expiry date.
* @return the value of the property, not null
*/
public ZonedDateTime getExpiry() {
return expiry;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying foreign exchange transaction.
* <p>
* At expiry, if the option is in the money, this foreign exchange will occur.
* A call option permits the transaction as specified to occur.
* A put option permits the inverse transaction to occur.
* @return the value of the property, not null
*/
public ResolvedFxSingle getUnderlying() {
return underlying;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedFxVanillaOption other = (ResolvedFxVanillaOption) obj;
return JodaBeanUtils.equal(longShort, other.longShort) &&
JodaBeanUtils.equal(expiry, other.expiry) &&
JodaBeanUtils.equal(underlying, other.underlying);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(longShort);
hash = hash * 31 + JodaBeanUtils.hashCode(expiry);
hash = hash * 31 + JodaBeanUtils.hashCode(underlying);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ResolvedFxVanillaOption{");
buf.append("longShort").append('=').append(longShort).append(',').append(' ');
buf.append("expiry").append('=').append(expiry).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedFxVanillaOption}.
*/
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 longShort} property.
*/
private final MetaProperty<LongShort> longShort = DirectMetaProperty.ofImmutable(
this, "longShort", ResolvedFxVanillaOption.class, LongShort.class);
/**
* The meta-property for the {@code expiry} property.
*/
private final MetaProperty<ZonedDateTime> expiry = DirectMetaProperty.ofImmutable(
this, "expiry", ResolvedFxVanillaOption.class, ZonedDateTime.class);
/**
* The meta-property for the {@code underlying} property.
*/
private final MetaProperty<ResolvedFxSingle> underlying = DirectMetaProperty.ofImmutable(
this, "underlying", ResolvedFxVanillaOption.class, ResolvedFxSingle.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"longShort",
"expiry",
"underlying");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -1289159373: // expiry
return expiry;
case -1770633379: // underlying
return underlying;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedFxVanillaOption.Builder builder() {
return new ResolvedFxVanillaOption.Builder();
}
@Override
public Class<? extends ResolvedFxVanillaOption> beanType() {
return ResolvedFxVanillaOption.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code longShort} property.
* @return the meta-property, not null
*/
public MetaProperty<LongShort> longShort() {
return longShort;
}
/**
* The meta-property for the {@code expiry} property.
* @return the meta-property, not null
*/
public MetaProperty<ZonedDateTime> expiry() {
return expiry;
}
/**
* The meta-property for the {@code underlying} property.
* @return the meta-property, not null
*/
public MetaProperty<ResolvedFxSingle> underlying() {
return underlying;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return ((ResolvedFxVanillaOption) bean).getLongShort();
case -1289159373: // expiry
return ((ResolvedFxVanillaOption) bean).getExpiry();
case -1770633379: // underlying
return ((ResolvedFxVanillaOption) bean).getUnderlying();
}
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 ResolvedFxVanillaOption}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<ResolvedFxVanillaOption> {
private LongShort longShort;
private ZonedDateTime expiry;
private ResolvedFxSingle underlying;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedFxVanillaOption beanToCopy) {
this.longShort = beanToCopy.getLongShort();
this.expiry = beanToCopy.getExpiry();
this.underlying = beanToCopy.getUnderlying();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -1289159373: // expiry
return expiry;
case -1770633379: // underlying
return underlying;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
this.longShort = (LongShort) newValue;
break;
case -1289159373: // expiry
this.expiry = (ZonedDateTime) newValue;
break;
case -1770633379: // underlying
this.underlying = (ResolvedFxSingle) 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 ResolvedFxVanillaOption build() {
return new ResolvedFxVanillaOption(
longShort,
expiry,
underlying);
}
//-----------------------------------------------------------------------
/**
* Sets whether the option is long or short.
* <p>
* At expiry, the long party will have the option to enter in this transaction;
* the short party will, at the option of the long party, potentially enter into the inverse transaction.
* @param longShort the new value, not null
* @return this, for chaining, not null
*/
public Builder longShort(LongShort longShort) {
JodaBeanUtils.notNull(longShort, "longShort");
this.longShort = longShort;
return this;
}
/**
* Sets the expiry date-time of the option.
* <p>
* The option is European, and can only be exercised on the expiry date.
* @param expiry the new value, not null
* @return this, for chaining, not null
*/
public Builder expiry(ZonedDateTime expiry) {
JodaBeanUtils.notNull(expiry, "expiry");
this.expiry = expiry;
return this;
}
/**
* Sets the underlying foreign exchange transaction.
* <p>
* At expiry, if the option is in the money, this foreign exchange will occur.
* A call option permits the transaction as specified to occur.
* A put option permits the inverse transaction to occur.
* @param underlying the new value, not null
* @return this, for chaining, not null
*/
public Builder underlying(ResolvedFxSingle underlying) {
JodaBeanUtils.notNull(underlying, "underlying");
this.underlying = underlying;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ResolvedFxVanillaOption.Builder{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}