/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index.type;
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.BeanBuilder;
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.index.IborIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.index.IborFutureTrade;
/**
* A template for creating an Ibor Future trade using a relative definition of time.
* <p>
* The future is selected based on a minimum period and a sequence number.
* Given a date, the minimum period is added, and then a futures contract is selected
* according the sequence number.
*/
@BeanDefinition(builderScope = "private")
final class RelativeIborFutureTemplate
implements IborFutureTemplate, ImmutableBean, Serializable {
/**
* The minimum period between the value date and the first future.
* <p>
* This is used to select a future that is at least this period of time after the value date.
* For example, the 2nd future of the series where the 1st future is at least 1 week after the value date
* would be represented by a minimum period of 1 week and sequence number 2.
*/
@PropertyDefinition(validate = "notNull")
private final Period minimumPeriod;
/**
* The sequence number of the futures.
* <p>
* This is used to select the nth future after the value date.
* For example, the 2nd future of the series where the 1st future is at least 1 week after the value date
* would be represented by a minimum period of 1 week and sequence number 2.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final int sequenceNumber;
/**
* The underlying futures convention.
* <p>
* This specifies the market convention of the Ibor Futures to be created.
*/
@PropertyDefinition(validate = "notNull")
private final IborFutureConvention convention;
//-------------------------------------------------------------------------
/**
* Obtains a template based on the specified convention.
* <p>
* The specific future is defined by two date-related inputs, the minimum period and the 1-based future number.
* For example, the 2nd future of the series where the 1st future is at least 1 week after the value date
* would be represented by a minimum period of 1 week and future number 2.
*
* @param minimumPeriod the minimum period between the base date and the first future
* @param sequenceNumber the 1-based index of the future after the minimum period, must be 1 or greater
* @param convention the future convention
* @return the template
*/
public static RelativeIborFutureTemplate of(Period minimumPeriod, int sequenceNumber, IborFutureConvention convention) {
return new RelativeIborFutureTemplate(minimumPeriod, sequenceNumber, convention);
}
//-------------------------------------------------------------------------
@Override
public IborIndex getIndex() {
return convention.getIndex();
}
@Override
public IborFutureTrade createTrade(
LocalDate tradeDate,
SecurityId securityId,
double quantity,
double notional,
double price,
ReferenceData refData) {
return convention.createTrade(tradeDate, securityId, minimumPeriod, sequenceNumber, quantity, notional, price, refData);
}
@Override
public LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate, ReferenceData refData) {
return convention.calculateReferenceDateFromTradeDate(tradeDate, minimumPeriod, sequenceNumber, refData);
}
@Override
public double approximateMaturity(LocalDate valuationDate) {
return minimumPeriod.plus(convention.getIndex().getTenor()).toTotalMonths() / 12d;
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code RelativeIborFutureTemplate}.
* @return the meta-bean, not null
*/
public static RelativeIborFutureTemplate.Meta meta() {
return RelativeIborFutureTemplate.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(RelativeIborFutureTemplate.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private RelativeIborFutureTemplate(
Period minimumPeriod,
int sequenceNumber,
IborFutureConvention convention) {
JodaBeanUtils.notNull(minimumPeriod, "minimumPeriod");
ArgChecker.notNegativeOrZero(sequenceNumber, "sequenceNumber");
JodaBeanUtils.notNull(convention, "convention");
this.minimumPeriod = minimumPeriod;
this.sequenceNumber = sequenceNumber;
this.convention = convention;
}
@Override
public RelativeIborFutureTemplate.Meta metaBean() {
return RelativeIborFutureTemplate.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 minimum period between the value date and the first future.
* <p>
* This is used to select a future that is at least this period of time after the value date.
* For example, the 2nd future of the series where the 1st future is at least 1 week after the value date
* would be represented by a minimum period of 1 week and sequence number 2.
* @return the value of the property, not null
*/
public Period getMinimumPeriod() {
return minimumPeriod;
}
//-----------------------------------------------------------------------
/**
* Gets the sequence number of the futures.
* <p>
* This is used to select the nth future after the value date.
* For example, the 2nd future of the series where the 1st future is at least 1 week after the value date
* would be represented by a minimum period of 1 week and sequence number 2.
* @return the value of the property
*/
public int getSequenceNumber() {
return sequenceNumber;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying futures convention.
* <p>
* This specifies the market convention of the Ibor Futures to be created.
* @return the value of the property, not null
*/
public IborFutureConvention getConvention() {
return convention;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
RelativeIborFutureTemplate other = (RelativeIborFutureTemplate) obj;
return JodaBeanUtils.equal(minimumPeriod, other.minimumPeriod) &&
(sequenceNumber == other.sequenceNumber) &&
JodaBeanUtils.equal(convention, other.convention);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(minimumPeriod);
hash = hash * 31 + JodaBeanUtils.hashCode(sequenceNumber);
hash = hash * 31 + JodaBeanUtils.hashCode(convention);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("RelativeIborFutureTemplate{");
buf.append("minimumPeriod").append('=').append(minimumPeriod).append(',').append(' ');
buf.append("sequenceNumber").append('=').append(sequenceNumber).append(',').append(' ');
buf.append("convention").append('=').append(JodaBeanUtils.toString(convention));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RelativeIborFutureTemplate}.
*/
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 minimumPeriod} property.
*/
private final MetaProperty<Period> minimumPeriod = DirectMetaProperty.ofImmutable(
this, "minimumPeriod", RelativeIborFutureTemplate.class, Period.class);
/**
* The meta-property for the {@code sequenceNumber} property.
*/
private final MetaProperty<Integer> sequenceNumber = DirectMetaProperty.ofImmutable(
this, "sequenceNumber", RelativeIborFutureTemplate.class, Integer.TYPE);
/**
* The meta-property for the {@code convention} property.
*/
private final MetaProperty<IborFutureConvention> convention = DirectMetaProperty.ofImmutable(
this, "convention", RelativeIborFutureTemplate.class, IborFutureConvention.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"minimumPeriod",
"sequenceNumber",
"convention");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1855508625: // minimumPeriod
return minimumPeriod;
case -1353995670: // sequenceNumber
return sequenceNumber;
case 2039569265: // convention
return convention;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder<? extends RelativeIborFutureTemplate> builder() {
return new RelativeIborFutureTemplate.Builder();
}
@Override
public Class<? extends RelativeIborFutureTemplate> beanType() {
return RelativeIborFutureTemplate.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code minimumPeriod} property.
* @return the meta-property, not null
*/
public MetaProperty<Period> minimumPeriod() {
return minimumPeriod;
}
/**
* The meta-property for the {@code sequenceNumber} property.
* @return the meta-property, not null
*/
public MetaProperty<Integer> sequenceNumber() {
return sequenceNumber;
}
/**
* The meta-property for the {@code convention} property.
* @return the meta-property, not null
*/
public MetaProperty<IborFutureConvention> convention() {
return convention;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1855508625: // minimumPeriod
return ((RelativeIborFutureTemplate) bean).getMinimumPeriod();
case -1353995670: // sequenceNumber
return ((RelativeIborFutureTemplate) bean).getSequenceNumber();
case 2039569265: // convention
return ((RelativeIborFutureTemplate) bean).getConvention();
}
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 RelativeIborFutureTemplate}.
*/
private static final class Builder extends DirectFieldsBeanBuilder<RelativeIborFutureTemplate> {
private Period minimumPeriod;
private int sequenceNumber;
private IborFutureConvention convention;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1855508625: // minimumPeriod
return minimumPeriod;
case -1353995670: // sequenceNumber
return sequenceNumber;
case 2039569265: // convention
return convention;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1855508625: // minimumPeriod
this.minimumPeriod = (Period) newValue;
break;
case -1353995670: // sequenceNumber
this.sequenceNumber = (Integer) newValue;
break;
case 2039569265: // convention
this.convention = (IborFutureConvention) 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 RelativeIborFutureTemplate build() {
return new RelativeIborFutureTemplate(
minimumPeriod,
sequenceNumber,
convention);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("RelativeIborFutureTemplate.Builder{");
buf.append("minimumPeriod").append('=').append(JodaBeanUtils.toString(minimumPeriod)).append(',').append(' ');
buf.append("sequenceNumber").append('=').append(JodaBeanUtils.toString(sequenceNumber)).append(',').append(' ');
buf.append("convention").append('=').append(JodaBeanUtils.toString(convention));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}