/**
* Copyright (C) 2016 - 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.YearMonth;
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.index.Index;
import com.opengamma.strata.basics.index.PriceIndex;
import com.opengamma.strata.basics.index.PriceIndexObservation;
import com.opengamma.strata.collect.ArgChecker;
/**
* Defines the computation of inflation figures from a price index with interpolation
* where the start index value is known.
* <p>
* A typical application of this rate computation is payments of a capital indexed bond,
* where the reference start month is the start month of the bond rather than start month
* of the payment period.
* <p>
* A price index is typically published monthly and has a delay before publication.
* The rate observed by this instance will be based on the specified start index value
* and two index observations relative to the end month.
* Linear interpolation based on the number of days of the payment month is used
* to find the appropriate value.
*/
@BeanDefinition(builderScope = "private")
public final class InflationEndInterpolatedRateComputation
implements RateComputation, ImmutableBean, Serializable {
/**
* The start index value.
* <p>
* The published index value of the start month.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double startIndexValue;
/**
* The observation at the end.
* <p>
* The inflation rate is the ratio between the start index value and the interpolated end observations.
* The end month is typically three months before the end of the period.
*/
@PropertyDefinition(validate = "notNull")
private final PriceIndexObservation endObservation;
/**
* The observation for interpolation at the end.
* <p>
* The inflation rate is the ratio between the start index value and the interpolated end observations.
* The month is typically one month after the month of the end observation.
*/
@PropertyDefinition(validate = "notNull")
private final PriceIndexObservation endSecondObservation;
/**
* The positive weight used when interpolating.
* <p>
* Given two price index observations, typically in adjacent months, the weight is used
* to determine the adjusted index value. The value is given by the formula
* {@code (weight * price_index_1 + (1 - weight) * price_index_2)}.
*/
@PropertyDefinition(validate = "ArgChecker.notNegative")
private final double weight;
//-------------------------------------------------------------------------
/**
* Creates an instance from an index, start index value and reference end month.
* <p>
* The second end observations will be one month later than the end month.
*
* @param index the index
* @param startIndexValue the start index value
* @param referenceEndMonth the reference end month
* @param weight the weight
* @return the inflation rate computation
*/
public static InflationEndInterpolatedRateComputation of(
PriceIndex index,
double startIndexValue,
YearMonth referenceEndMonth,
double weight) {
return new InflationEndInterpolatedRateComputation(
startIndexValue,
PriceIndexObservation.of(index, referenceEndMonth),
PriceIndexObservation.of(index, referenceEndMonth.plusMonths(1)),
weight);
}
@ImmutableValidator
private void validate() {
ArgChecker.isTrue(
endObservation.getIndex().equals(endSecondObservation.getIndex()), "Both observations must be for the same index");
ArgChecker.inOrderNotEqual(
endObservation.getFixingMonth(), endSecondObservation.getFixingMonth(), "endObservation", "endSecondObservation");
}
//-----------------------------------------------------------------------
/**
* Gets the Price index.
*
* @return the Price index
*/
public PriceIndex getIndex() {
return endObservation.getIndex();
}
//-------------------------------------------------------------------------
@Override
public void collectIndices(ImmutableSet.Builder<Index> builder) {
builder.add(getIndex());
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code InflationEndInterpolatedRateComputation}.
* @return the meta-bean, not null
*/
public static InflationEndInterpolatedRateComputation.Meta meta() {
return InflationEndInterpolatedRateComputation.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(InflationEndInterpolatedRateComputation.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private InflationEndInterpolatedRateComputation(
double startIndexValue,
PriceIndexObservation endObservation,
PriceIndexObservation endSecondObservation,
double weight) {
ArgChecker.notNegativeOrZero(startIndexValue, "startIndexValue");
JodaBeanUtils.notNull(endObservation, "endObservation");
JodaBeanUtils.notNull(endSecondObservation, "endSecondObservation");
ArgChecker.notNegative(weight, "weight");
this.startIndexValue = startIndexValue;
this.endObservation = endObservation;
this.endSecondObservation = endSecondObservation;
this.weight = weight;
validate();
}
@Override
public InflationEndInterpolatedRateComputation.Meta metaBean() {
return InflationEndInterpolatedRateComputation.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 start index value.
* <p>
* The published index value of the start month.
* @return the value of the property
*/
public double getStartIndexValue() {
return startIndexValue;
}
//-----------------------------------------------------------------------
/**
* Gets the observation at the end.
* <p>
* The inflation rate is the ratio between the start index value and the interpolated end observations.
* The end month is typically three months before the end of the period.
* @return the value of the property, not null
*/
public PriceIndexObservation getEndObservation() {
return endObservation;
}
//-----------------------------------------------------------------------
/**
* Gets the observation for interpolation at the end.
* <p>
* The inflation rate is the ratio between the start index value and the interpolated end observations.
* The month is typically one month after the month of the end observation.
* @return the value of the property, not null
*/
public PriceIndexObservation getEndSecondObservation() {
return endSecondObservation;
}
//-----------------------------------------------------------------------
/**
* Gets the positive weight used when interpolating.
* <p>
* Given two price index observations, typically in adjacent months, the weight is used
* to determine the adjusted index value. The value is given by the formula
* {@code (weight * price_index_1 + (1 - weight) * price_index_2)}.
* @return the value of the property
*/
public double getWeight() {
return weight;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
InflationEndInterpolatedRateComputation other = (InflationEndInterpolatedRateComputation) obj;
return JodaBeanUtils.equal(startIndexValue, other.startIndexValue) &&
JodaBeanUtils.equal(endObservation, other.endObservation) &&
JodaBeanUtils.equal(endSecondObservation, other.endSecondObservation) &&
JodaBeanUtils.equal(weight, other.weight);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(startIndexValue);
hash = hash * 31 + JodaBeanUtils.hashCode(endObservation);
hash = hash * 31 + JodaBeanUtils.hashCode(endSecondObservation);
hash = hash * 31 + JodaBeanUtils.hashCode(weight);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("InflationEndInterpolatedRateComputation{");
buf.append("startIndexValue").append('=').append(startIndexValue).append(',').append(' ');
buf.append("endObservation").append('=').append(endObservation).append(',').append(' ');
buf.append("endSecondObservation").append('=').append(endSecondObservation).append(',').append(' ');
buf.append("weight").append('=').append(JodaBeanUtils.toString(weight));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code InflationEndInterpolatedRateComputation}.
*/
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 startIndexValue} property.
*/
private final MetaProperty<Double> startIndexValue = DirectMetaProperty.ofImmutable(
this, "startIndexValue", InflationEndInterpolatedRateComputation.class, Double.TYPE);
/**
* The meta-property for the {@code endObservation} property.
*/
private final MetaProperty<PriceIndexObservation> endObservation = DirectMetaProperty.ofImmutable(
this, "endObservation", InflationEndInterpolatedRateComputation.class, PriceIndexObservation.class);
/**
* The meta-property for the {@code endSecondObservation} property.
*/
private final MetaProperty<PriceIndexObservation> endSecondObservation = DirectMetaProperty.ofImmutable(
this, "endSecondObservation", InflationEndInterpolatedRateComputation.class, PriceIndexObservation.class);
/**
* The meta-property for the {@code weight} property.
*/
private final MetaProperty<Double> weight = DirectMetaProperty.ofImmutable(
this, "weight", InflationEndInterpolatedRateComputation.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"startIndexValue",
"endObservation",
"endSecondObservation",
"weight");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1656407615: // startIndexValue
return startIndexValue;
case 82210897: // endObservation
return endObservation;
case 1209389949: // endSecondObservation
return endSecondObservation;
case -791592328: // weight
return weight;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder<? extends InflationEndInterpolatedRateComputation> builder() {
return new InflationEndInterpolatedRateComputation.Builder();
}
@Override
public Class<? extends InflationEndInterpolatedRateComputation> beanType() {
return InflationEndInterpolatedRateComputation.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code startIndexValue} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> startIndexValue() {
return startIndexValue;
}
/**
* The meta-property for the {@code endObservation} property.
* @return the meta-property, not null
*/
public MetaProperty<PriceIndexObservation> endObservation() {
return endObservation;
}
/**
* The meta-property for the {@code endSecondObservation} property.
* @return the meta-property, not null
*/
public MetaProperty<PriceIndexObservation> endSecondObservation() {
return endSecondObservation;
}
/**
* The meta-property for the {@code weight} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> weight() {
return weight;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1656407615: // startIndexValue
return ((InflationEndInterpolatedRateComputation) bean).getStartIndexValue();
case 82210897: // endObservation
return ((InflationEndInterpolatedRateComputation) bean).getEndObservation();
case 1209389949: // endSecondObservation
return ((InflationEndInterpolatedRateComputation) bean).getEndSecondObservation();
case -791592328: // weight
return ((InflationEndInterpolatedRateComputation) bean).getWeight();
}
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 InflationEndInterpolatedRateComputation}.
*/
private static final class Builder extends DirectFieldsBeanBuilder<InflationEndInterpolatedRateComputation> {
private double startIndexValue;
private PriceIndexObservation endObservation;
private PriceIndexObservation endSecondObservation;
private double weight;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1656407615: // startIndexValue
return startIndexValue;
case 82210897: // endObservation
return endObservation;
case 1209389949: // endSecondObservation
return endSecondObservation;
case -791592328: // weight
return weight;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1656407615: // startIndexValue
this.startIndexValue = (Double) newValue;
break;
case 82210897: // endObservation
this.endObservation = (PriceIndexObservation) newValue;
break;
case 1209389949: // endSecondObservation
this.endSecondObservation = (PriceIndexObservation) newValue;
break;
case -791592328: // weight
this.weight = (Double) 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 InflationEndInterpolatedRateComputation build() {
return new InflationEndInterpolatedRateComputation(
startIndexValue,
endObservation,
endSecondObservation,
weight);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("InflationEndInterpolatedRateComputation.Builder{");
buf.append("startIndexValue").append('=').append(JodaBeanUtils.toString(startIndexValue)).append(',').append(' ');
buf.append("endObservation").append('=').append(JodaBeanUtils.toString(endObservation)).append(',').append(' ');
buf.append("endSecondObservation").append('=').append(JodaBeanUtils.toString(endSecondObservation)).append(',').append(' ');
buf.append("weight").append('=').append(JodaBeanUtils.toString(weight));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}