/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index;
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.ImmutableBean;
import org.joda.beans.ImmutableDefaults;
import org.joda.beans.ImmutablePreBuild;
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.index.IborIndex;
import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.SecuritizedProduct;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.rate.IborRateComputation;
/**
* A futures contract based on an Ibor index.
* <p>
* An Ibor future is a financial instrument that is based on the future value of
* an Ibor index interest rate. The profit or loss of an Ibor future is settled daily.
* An Ibor future is also known as a <i>STIR future</i> (Short Term Interest Rate).
* This class represents the structure of a single futures contract.
* <p>
* For example, the widely traded "CME Eurodollar futures contract" has a notional
* of 1 million USD, is based on the USD Libor 3 month rate 'USD-LIBOR-3M', expiring
* two business days before an IMM date (the 3rd Wednesday of the month).
*
* <h4>Price</h4>
* The price of an Ibor future is based on the interest rate of the underlying index.
* It is defined as {@code (100 - percentRate)}.
* <p>
* Strata uses <i>decimal prices</i> for Ibor futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
*/
@BeanDefinition(constructorScope = "package")
public final class IborFuture
implements SecuritizedProduct, Resolvable<ResolvedIborFuture>, ImmutableBean, Serializable {
/**
* The security identifier.
* <p>
* This identifier uniquely identifies the security within the system.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityId securityId;
/**
* The currency that the future is traded in, defaulted from the index if not set.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The notional amount.
* <p>
* This is the full notional of the deposit, such as 1 million dollars.
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double notional;
/**
* The accrual factor, defaulted from the index if not set.
* <p>
* This is the year fraction of the contract, typically 0.25 for a 3 month deposit.
* <p>
* When building, this will default to the number of months in the index divided by 12
* if not specified. However, if the index is not month-based, no defaulting will occur.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double accrualFactor;
/**
* The last date of trading.
* This date is also the fixing date for the Ibor index.
* This is typically 2 business days before the IMM date (3rd Wednesday of the month).
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate lastTradeDate;
/**
* The underlying Ibor index.
* <p>
* The future is based on this index.
* It will be a well known market index such as 'USD-LIBOR-3M'.
*/
@PropertyDefinition(validate = "notNull")
private final IborIndex index;
/**
* The definition of how to round the futures price, defaulted to no rounding.
* <p>
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
*/
@PropertyDefinition(validate = "notNull")
private final Rounding rounding;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.rounding(Rounding.none());
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.index != null) {
if (builder.accrualFactor == 0d && builder.index.getTenor().isMonthBased()) {
builder.accrualFactor(builder.index.getTenor().getPeriod().toTotalMonths() / 12d);
}
if (builder.currency == null) {
builder.currency = builder.index.getCurrency();
}
}
}
//-------------------------------------------------------------------------
/**
* Gets the applicable fixing date.
* <p>
* This returns the fixing date of the contract.
* This implementation simply returns the last trade date.
* By including this method, it allows for the possibility of a future where the fixing date
* and last trade date differ.
*
* @return the fixing date
*/
public LocalDate getFixingDate() {
return lastTradeDate;
}
//-------------------------------------------------------------------------
@Override
public ResolvedIborFuture resolve(ReferenceData refData) {
IborRateComputation iborRate = IborRateComputation.of(index, lastTradeDate, refData);
return new ResolvedIborFuture(securityId, currency, notional, accrualFactor, iborRate, rounding);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code IborFuture}.
* @return the meta-bean, not null
*/
public static IborFuture.Meta meta() {
return IborFuture.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(IborFuture.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 IborFuture.Builder builder() {
return new IborFuture.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param currency the value of the property, not null
* @param notional the value of the property
* @param accrualFactor the value of the property
* @param lastTradeDate the value of the property, not null
* @param index the value of the property, not null
* @param rounding the value of the property, not null
*/
IborFuture(
SecurityId securityId,
Currency currency,
double notional,
double accrualFactor,
LocalDate lastTradeDate,
IborIndex index,
Rounding rounding) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(currency, "currency");
ArgChecker.notNegativeOrZero(notional, "notional");
ArgChecker.notNegativeOrZero(accrualFactor, "accrualFactor");
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(rounding, "rounding");
this.securityId = securityId;
this.currency = currency;
this.notional = notional;
this.accrualFactor = accrualFactor;
this.lastTradeDate = lastTradeDate;
this.index = index;
this.rounding = rounding;
}
@Override
public IborFuture.Meta metaBean() {
return IborFuture.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 security identifier.
* <p>
* This identifier uniquely identifies the security within the system.
* @return the value of the property, not null
*/
@Override
public SecurityId getSecurityId() {
return securityId;
}
//-----------------------------------------------------------------------
/**
* Gets the currency that the future is traded in, defaulted from the index if not set.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount.
* <p>
* This is the full notional of the deposit, such as 1 million dollars.
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
* @return the value of the property
*/
public double getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the accrual factor, defaulted from the index if not set.
* <p>
* This is the year fraction of the contract, typically 0.25 for a 3 month deposit.
* <p>
* When building, this will default to the number of months in the index divided by 12
* if not specified. However, if the index is not month-based, no defaulting will occur.
* @return the value of the property
*/
public double getAccrualFactor() {
return accrualFactor;
}
//-----------------------------------------------------------------------
/**
* Gets the last date of trading.
* This date is also the fixing date for the Ibor index.
* This is typically 2 business days before the IMM date (3rd Wednesday of the month).
* @return the value of the property, not null
*/
public LocalDate getLastTradeDate() {
return lastTradeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying Ibor index.
* <p>
* The future is based on this index.
* It will be a well known market index such as 'USD-LIBOR-3M'.
* @return the value of the property, not null
*/
public IborIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the definition of how to round the futures price, defaulted to no rounding.
* <p>
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
* @return the value of the property, not null
*/
public Rounding getRounding() {
return rounding;
}
//-----------------------------------------------------------------------
/**
* 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()) {
IborFuture other = (IborFuture) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(accrualFactor, other.accrualFactor) &&
JodaBeanUtils.equal(lastTradeDate, other.lastTradeDate) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(rounding, other.rounding);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualFactor);
hash = hash * 31 + JodaBeanUtils.hashCode(lastTradeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(rounding);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("IborFuture{");
buf.append("securityId").append('=').append(securityId).append(',').append(' ');
buf.append("currency").append('=').append(currency).append(',').append(' ');
buf.append("notional").append('=').append(notional).append(',').append(' ');
buf.append("accrualFactor").append('=').append(accrualFactor).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(lastTradeDate).append(',').append(' ');
buf.append("index").append('=').append(index).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborFuture}.
*/
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 securityId} property.
*/
private final MetaProperty<SecurityId> securityId = DirectMetaProperty.ofImmutable(
this, "securityId", IborFuture.class, SecurityId.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty<Currency> currency = DirectMetaProperty.ofImmutable(
this, "currency", IborFuture.class, Currency.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty<Double> notional = DirectMetaProperty.ofImmutable(
this, "notional", IborFuture.class, Double.TYPE);
/**
* The meta-property for the {@code accrualFactor} property.
*/
private final MetaProperty<Double> accrualFactor = DirectMetaProperty.ofImmutable(
this, "accrualFactor", IborFuture.class, Double.TYPE);
/**
* The meta-property for the {@code lastTradeDate} property.
*/
private final MetaProperty<LocalDate> lastTradeDate = DirectMetaProperty.ofImmutable(
this, "lastTradeDate", IborFuture.class, LocalDate.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty<IborIndex> index = DirectMetaProperty.ofImmutable(
this, "index", IborFuture.class, IborIndex.class);
/**
* The meta-property for the {@code rounding} property.
*/
private final MetaProperty<Rounding> rounding = DirectMetaProperty.ofImmutable(
this, "rounding", IborFuture.class, Rounding.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"currency",
"notional",
"accrualFactor",
"lastTradeDate",
"index",
"rounding");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -1540322338: // accrualFactor
return accrualFactor;
case -1041950404: // lastTradeDate
return lastTradeDate;
case 100346066: // index
return index;
case -142444: // rounding
return rounding;
}
return super.metaPropertyGet(propertyName);
}
@Override
public IborFuture.Builder builder() {
return new IborFuture.Builder();
}
@Override
public Class<? extends IborFuture> beanType() {
return IborFuture.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code securityId} property.
* @return the meta-property, not null
*/
public MetaProperty<SecurityId> securityId() {
return securityId;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty<Currency> currency() {
return currency;
}
/**
* 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 accrualFactor} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> accrualFactor() {
return accrualFactor;
}
/**
* 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 index} property.
* @return the meta-property, not null
*/
public MetaProperty<IborIndex> index() {
return index;
}
/**
* The meta-property for the {@code rounding} property.
* @return the meta-property, not null
*/
public MetaProperty<Rounding> rounding() {
return rounding;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((IborFuture) bean).getSecurityId();
case 575402001: // currency
return ((IborFuture) bean).getCurrency();
case 1585636160: // notional
return ((IborFuture) bean).getNotional();
case -1540322338: // accrualFactor
return ((IborFuture) bean).getAccrualFactor();
case -1041950404: // lastTradeDate
return ((IborFuture) bean).getLastTradeDate();
case 100346066: // index
return ((IborFuture) bean).getIndex();
case -142444: // rounding
return ((IborFuture) bean).getRounding();
}
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 IborFuture}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<IborFuture> {
private SecurityId securityId;
private Currency currency;
private double notional;
private double accrualFactor;
private LocalDate lastTradeDate;
private IborIndex index;
private Rounding rounding;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(IborFuture beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.currency = beanToCopy.getCurrency();
this.notional = beanToCopy.getNotional();
this.accrualFactor = beanToCopy.getAccrualFactor();
this.lastTradeDate = beanToCopy.getLastTradeDate();
this.index = beanToCopy.getIndex();
this.rounding = beanToCopy.getRounding();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -1540322338: // accrualFactor
return accrualFactor;
case -1041950404: // lastTradeDate
return lastTradeDate;
case 100346066: // index
return index;
case -142444: // rounding
return rounding;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
this.securityId = (SecurityId) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 1585636160: // notional
this.notional = (Double) newValue;
break;
case -1540322338: // accrualFactor
this.accrualFactor = (Double) newValue;
break;
case -1041950404: // lastTradeDate
this.lastTradeDate = (LocalDate) newValue;
break;
case 100346066: // index
this.index = (IborIndex) newValue;
break;
case -142444: // rounding
this.rounding = (Rounding) 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 IborFuture build() {
preBuild(this);
return new IborFuture(
securityId,
currency,
notional,
accrualFactor,
lastTradeDate,
index,
rounding);
}
//-----------------------------------------------------------------------
/**
* Sets the security identifier.
* <p>
* This identifier uniquely identifies the security within the system.
* @param securityId the new value, not null
* @return this, for chaining, not null
*/
public Builder securityId(SecurityId securityId) {
JodaBeanUtils.notNull(securityId, "securityId");
this.securityId = securityId;
return this;
}
/**
* Sets the currency that the future is traded in, defaulted from the index if not set.
* @param currency the new value, not null
* @return this, for chaining, not null
*/
public Builder currency(Currency currency) {
JodaBeanUtils.notNull(currency, "currency");
this.currency = currency;
return this;
}
/**
* Sets the notional amount.
* <p>
* This is the full notional of the deposit, such as 1 million dollars.
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
* @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 accrual factor, defaulted from the index if not set.
* <p>
* This is the year fraction of the contract, typically 0.25 for a 3 month deposit.
* <p>
* When building, this will default to the number of months in the index divided by 12
* if not specified. However, if the index is not month-based, no defaulting will occur.
* @param accrualFactor the new value
* @return this, for chaining, not null
*/
public Builder accrualFactor(double accrualFactor) {
ArgChecker.notNegativeOrZero(accrualFactor, "accrualFactor");
this.accrualFactor = accrualFactor;
return this;
}
/**
* Sets the last date of trading.
* This date is also the fixing date for the Ibor index.
* This is typically 2 business days before the IMM date (3rd Wednesday of the month).
* @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 Ibor index.
* <p>
* The future is based on this index.
* It will be a well known market index such as 'USD-LIBOR-3M'.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(IborIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
return this;
}
/**
* Sets the definition of how to round the futures price, defaulted to no rounding.
* <p>
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
* @param rounding the new value, not null
* @return this, for chaining, not null
*/
public Builder rounding(Rounding rounding) {
JodaBeanUtils.notNull(rounding, "rounding");
this.rounding = rounding;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("IborFuture.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}