/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.rate;
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.BeanBuilder;
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.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.index.IborIndexObservation;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.collect.Messages;
/**
* Defines the computation of a rate of interest interpolated from two Ibor indices.
* <p>
* An interest rate determined from two Ibor indices by linear interpolation.
* Both indices are observed on the same fixing date and they must have the same currency.
* For example, linear interpolation between 'GBP-LIBOR-1M' and 'GBP-LIBOR-3M'.
*/
@BeanDefinition(builderScope = "private")
public final class IborInterpolatedRateComputation
implements RateComputation, ImmutableBean, Serializable {
/**
* The shorter Ibor index observation.
* <p>
* The rate to be paid is based on this index
* It will be a well known market index such as 'GBP-LIBOR-1M'.
*/
@PropertyDefinition(validate = "notNull")
private final IborIndexObservation shortObservation;
/**
* The longer Ibor index observation.
* <p>
* The rate to be paid is based on this index
* It will be a well known market index such as 'GBP-LIBOR-3M'.
*/
@PropertyDefinition(validate = "notNull")
private final IborIndexObservation longObservation;
//-------------------------------------------------------------------------
/**
* Creates an instance from two indices and fixing date.
* <p>
* The indices may be passed in any order.
*
* @param index1 the first index
* @param index2 the second index
* @param fixingDate the fixing date
* @param refData the reference data to use when resolving holiday calendars
* @return the interpolated rate computation
*/
public static IborInterpolatedRateComputation of(
IborIndex index1,
IborIndex index2,
LocalDate fixingDate,
ReferenceData refData) {
boolean inOrder = indicesInOrder(index1, index2, fixingDate);
IborIndexObservation obs1 = IborIndexObservation.of(index1, fixingDate, refData);
IborIndexObservation obs2 = IborIndexObservation.of(index2, fixingDate, refData);
return new IborInterpolatedRateComputation(inOrder ? obs1 : obs2, inOrder ? obs2 : obs1);
}
/**
* Creates an instance from the two underlying index observations.
* <p>
* The two observations must be for two different indexes in the same currency on the same fixing date.
* The index with the shorter tenor must be passed as the first argument.
*
* @param shortObservation the short underlying index observation
* @param longObservation the long underlying index observation
* @return the rate computation
* @throws IllegalArgumentException if the indices are not short, then long
*/
public static IborInterpolatedRateComputation of(
IborIndexObservation shortObservation,
IborIndexObservation longObservation) {
return new IborInterpolatedRateComputation(shortObservation, longObservation);
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
IborIndex shortIndex = shortObservation.getIndex();
IborIndex longIndex = longObservation.getIndex();
if (!shortIndex.getCurrency().equals(longIndex.getCurrency())) {
throw new IllegalArgumentException("Interpolation requires two indices in the same currency");
}
if (shortIndex.equals(longIndex)) {
throw new IllegalArgumentException("Interpolation requires two different indices");
}
if (!shortObservation.getFixingDate().equals(longObservation.getFixingDate())) {
throw new IllegalArgumentException("Interpolation requires observations with same fixing date");
}
if (!indicesInOrder(shortIndex, longIndex, shortObservation.getFixingDate())) {
throw new IllegalArgumentException(Messages.format(
"Interpolation indices passed in wrong order: {} {}", shortIndex, longIndex));
}
}
// checks that the indices are in order
private static boolean indicesInOrder(IborIndex index1, IborIndex index2, LocalDate fixingDate) {
return fixingDate.plus(index1.getTenor()).isBefore(fixingDate.plus(index2.getTenor()));
}
//-------------------------------------------------------------------------
/**
* Gets the fixing date.
*
* @return the fixing date
*/
public LocalDate getFixingDate() {
// fixing date is the same for both observations
return shortObservation.getFixingDate();
}
//-------------------------------------------------------------------------
@Override
public void collectIndices(ImmutableSet.Builder<Index> builder) {
builder.add(shortObservation.getIndex());
builder.add(longObservation.getIndex());
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code IborInterpolatedRateComputation}.
* @return the meta-bean, not null
*/
public static IborInterpolatedRateComputation.Meta meta() {
return IborInterpolatedRateComputation.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(IborInterpolatedRateComputation.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private IborInterpolatedRateComputation(
IborIndexObservation shortObservation,
IborIndexObservation longObservation) {
JodaBeanUtils.notNull(shortObservation, "shortObservation");
JodaBeanUtils.notNull(longObservation, "longObservation");
this.shortObservation = shortObservation;
this.longObservation = longObservation;
validate();
}
@Override
public IborInterpolatedRateComputation.Meta metaBean() {
return IborInterpolatedRateComputation.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 shorter Ibor index observation.
* <p>
* The rate to be paid is based on this index
* It will be a well known market index such as 'GBP-LIBOR-1M'.
* @return the value of the property, not null
*/
public IborIndexObservation getShortObservation() {
return shortObservation;
}
//-----------------------------------------------------------------------
/**
* Gets the longer Ibor index observation.
* <p>
* The rate to be paid is based on this index
* It will be a well known market index such as 'GBP-LIBOR-3M'.
* @return the value of the property, not null
*/
public IborIndexObservation getLongObservation() {
return longObservation;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IborInterpolatedRateComputation other = (IborInterpolatedRateComputation) obj;
return JodaBeanUtils.equal(shortObservation, other.shortObservation) &&
JodaBeanUtils.equal(longObservation, other.longObservation);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(shortObservation);
hash = hash * 31 + JodaBeanUtils.hashCode(longObservation);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("IborInterpolatedRateComputation{");
buf.append("shortObservation").append('=').append(shortObservation).append(',').append(' ');
buf.append("longObservation").append('=').append(JodaBeanUtils.toString(longObservation));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborInterpolatedRateComputation}.
*/
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 shortObservation} property.
*/
private final MetaProperty<IborIndexObservation> shortObservation = DirectMetaProperty.ofImmutable(
this, "shortObservation", IborInterpolatedRateComputation.class, IborIndexObservation.class);
/**
* The meta-property for the {@code longObservation} property.
*/
private final MetaProperty<IborIndexObservation> longObservation = DirectMetaProperty.ofImmutable(
this, "longObservation", IborInterpolatedRateComputation.class, IborIndexObservation.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shortObservation",
"longObservation");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -496986608: // shortObservation
return shortObservation;
case -684321776: // longObservation
return longObservation;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder<? extends IborInterpolatedRateComputation> builder() {
return new IborInterpolatedRateComputation.Builder();
}
@Override
public Class<? extends IborInterpolatedRateComputation> beanType() {
return IborInterpolatedRateComputation.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code shortObservation} property.
* @return the meta-property, not null
*/
public MetaProperty<IborIndexObservation> shortObservation() {
return shortObservation;
}
/**
* The meta-property for the {@code longObservation} property.
* @return the meta-property, not null
*/
public MetaProperty<IborIndexObservation> longObservation() {
return longObservation;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -496986608: // shortObservation
return ((IborInterpolatedRateComputation) bean).getShortObservation();
case -684321776: // longObservation
return ((IborInterpolatedRateComputation) bean).getLongObservation();
}
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 IborInterpolatedRateComputation}.
*/
private static final class Builder extends DirectFieldsBeanBuilder<IborInterpolatedRateComputation> {
private IborIndexObservation shortObservation;
private IborIndexObservation longObservation;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -496986608: // shortObservation
return shortObservation;
case -684321776: // longObservation
return longObservation;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -496986608: // shortObservation
this.shortObservation = (IborIndexObservation) newValue;
break;
case -684321776: // longObservation
this.longObservation = (IborIndexObservation) 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 IborInterpolatedRateComputation build() {
return new IborInterpolatedRateComputation(
shortObservation,
longObservation);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("IborInterpolatedRateComputation.Builder{");
buf.append("shortObservation").append('=').append(JodaBeanUtils.toString(shortObservation)).append(',').append(' ');
buf.append("longObservation").append('=').append(JodaBeanUtils.toString(longObservation));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}