/** * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.product.swap; import java.io.Serializable; import java.time.LocalDate; import java.time.temporal.TemporalAdjuster; 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.opengamma.strata.basics.currency.Currency; import com.opengamma.strata.basics.currency.CurrencyAmount; import com.opengamma.strata.basics.index.FxIndex; import com.opengamma.strata.basics.index.FxIndexObservation; import com.opengamma.strata.collect.Messages; /** * An exchange of notionals between two counterparties where FX reset applies. * <p> * In most swaps, the notional amount is not exchanged, with only the interest being exchanged. * However, in the case of an FX reset swap, the notional is exchanged. * The swap contract will define a notional, which may vary over time, in one currency * however payments are defined to occur in a different currency. * An FX conversion is used to convert the amount. * <p> * For example, a swap may have a notional of GBP 1,000,000 but be paid in USD. * At the start of the first swap period, there is a notional exchange at the prevailing * FX rate, say of USD 1,520,000. At the end of the first swap period, that amount is repaid * and the new FX rate is used to determine the exchange for the second period, say of USD 1,610,000. * In general, only the net difference due to FX will be exchanged at intermediate swap period boundaries. * <p> * The reference currency is the currency in which the notional is actually defined. * ISDA refers to the payment currency as the <i>variable currency</i> and the reference * currency as the <i>constant currency</i>. * An FX reset swap is also known as a <i>Mark-to-market currency swap</i>. * <p> * Defined by the 2006 ISDA definitions article 10. */ @BeanDefinition(builderScope = "private") public final class FxResetNotionalExchange implements SwapPaymentEvent, ImmutableBean, Serializable { /** * The notional amount, positive if receiving, negative if paying. * <p> * The notional amount applicable during the period. * The currency of the notional is specified by {@code referenceCurrency} but will * be paid after FX conversion using the index. */ @PropertyDefinition(validate = "notNull") private final CurrencyAmount notionalAmount; /** * The date that the payment is made. * <p> * Each payment event has a single payment date. * This date has been adjusted to be a valid business day. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final LocalDate paymentDate; /** * The FX index observation. * <p> * This defines the observation of the index used to obtain the FX reset rate. * <p> * An FX index is a daily rate of exchange between two currencies. * Note that the order of the currencies in the index does not matter, as the * conversion direction is fully defined by the currency of the reference amount. */ @PropertyDefinition(validate = "notNull") private final FxIndexObservation observation; //------------------------------------------------------------------------- /** * Obtains an instance from the amount, date and FX index observation. * * @param notionalAmount the notional amount that will be FX converted * @param paymentDate the date that the payment is made * @param observation the FX observation to perform * @return the FX reset notional exchange */ public static FxResetNotionalExchange of( CurrencyAmount notionalAmount, LocalDate paymentDate, FxIndexObservation observation) { return new FxResetNotionalExchange(notionalAmount, paymentDate, observation); } @ImmutableValidator private void validate() { FxIndex index = observation.getIndex(); if (!index.getCurrencyPair().contains(notionalAmount.getCurrency())) { throw new IllegalArgumentException( Messages.format( "Reference currency {} must be one of those in the FxIndex {}", notionalAmount.getCurrency(), index)); } } //------------------------------------------------------------------------- /** * Gets the payment currency. * <p> * This returns the currency that the payment is made in. * ISDA refers to this as the <i>variable currency</i>. * * @return the payment currency */ @Override public Currency getCurrency() { FxIndex index = observation.getIndex(); Currency indexBase = index.getCurrencyPair().getBase(); Currency indexCounter = index.getCurrencyPair().getCounter(); return (getReferenceCurrency().equals(indexBase) ? indexCounter : indexBase); } /** * Gets the reference currency, as defined in the contract. * <p> * This is the currency of notional amount as defined in the contract. * The notional will be converted from this currency to the payment currency using the specified index. * ISDA refers to this as the <i>constant currency</i>. * <p> * The reference currency must be one of the two currencies of the index. * * @return the reference currency, as defined in the contract */ public Currency getReferenceCurrency() { return notionalAmount.getCurrency(); } /** * Gets the amount of the notional. * <p> * See {@link #getNotionalAmount()}. * * @return the amount of the notional */ public double getNotional() { return getNotionalAmount().getAmount(); } //------------------------------------------------------------------------- @Override public FxResetNotionalExchange adjustPaymentDate(TemporalAdjuster adjuster) { LocalDate adjusted = paymentDate.with(adjuster); return adjusted.equals(paymentDate) ? this : new FxResetNotionalExchange(notionalAmount, adjusted, observation); } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code FxResetNotionalExchange}. * @return the meta-bean, not null */ public static FxResetNotionalExchange.Meta meta() { return FxResetNotionalExchange.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(FxResetNotionalExchange.Meta.INSTANCE); } /** * The serialization version id. */ private static final long serialVersionUID = 1L; private FxResetNotionalExchange( CurrencyAmount notionalAmount, LocalDate paymentDate, FxIndexObservation observation) { JodaBeanUtils.notNull(notionalAmount, "notionalAmount"); JodaBeanUtils.notNull(paymentDate, "paymentDate"); JodaBeanUtils.notNull(observation, "observation"); this.notionalAmount = notionalAmount; this.paymentDate = paymentDate; this.observation = observation; validate(); } @Override public FxResetNotionalExchange.Meta metaBean() { return FxResetNotionalExchange.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 notional amount, positive if receiving, negative if paying. * <p> * The notional amount applicable during the period. * The currency of the notional is specified by {@code referenceCurrency} but will * be paid after FX conversion using the index. * @return the value of the property, not null */ public CurrencyAmount getNotionalAmount() { return notionalAmount; } //----------------------------------------------------------------------- /** * Gets the date that the payment is made. * <p> * Each payment event has a single payment date. * This date has been adjusted to be a valid business day. * @return the value of the property, not null */ @Override public LocalDate getPaymentDate() { return paymentDate; } //----------------------------------------------------------------------- /** * Gets the FX index observation. * <p> * This defines the observation of the index used to obtain the FX reset rate. * <p> * An FX index is a daily rate of exchange between two currencies. * Note that the order of the currencies in the index does not matter, as the * conversion direction is fully defined by the currency of the reference amount. * @return the value of the property, not null */ public FxIndexObservation getObservation() { return observation; } //----------------------------------------------------------------------- @Override public boolean equals(Object obj) { if (obj == this) { return true; } if (obj != null && obj.getClass() == this.getClass()) { FxResetNotionalExchange other = (FxResetNotionalExchange) obj; return JodaBeanUtils.equal(notionalAmount, other.notionalAmount) && JodaBeanUtils.equal(paymentDate, other.paymentDate) && JodaBeanUtils.equal(observation, other.observation); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(notionalAmount); hash = hash * 31 + JodaBeanUtils.hashCode(paymentDate); hash = hash * 31 + JodaBeanUtils.hashCode(observation); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(128); buf.append("FxResetNotionalExchange{"); buf.append("notionalAmount").append('=').append(notionalAmount).append(',').append(' '); buf.append("paymentDate").append('=').append(paymentDate).append(',').append(' '); buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)); buf.append('}'); return buf.toString(); } //----------------------------------------------------------------------- /** * The meta-bean for {@code FxResetNotionalExchange}. */ 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 notionalAmount} property. */ private final MetaProperty<CurrencyAmount> notionalAmount = DirectMetaProperty.ofImmutable( this, "notionalAmount", FxResetNotionalExchange.class, CurrencyAmount.class); /** * The meta-property for the {@code paymentDate} property. */ private final MetaProperty<LocalDate> paymentDate = DirectMetaProperty.ofImmutable( this, "paymentDate", FxResetNotionalExchange.class, LocalDate.class); /** * The meta-property for the {@code observation} property. */ private final MetaProperty<FxIndexObservation> observation = DirectMetaProperty.ofImmutable( this, "observation", FxResetNotionalExchange.class, FxIndexObservation.class); /** * The meta-properties. */ private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap( this, null, "notionalAmount", "paymentDate", "observation"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty<?> metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case -902123592: // notionalAmount return notionalAmount; case -1540873516: // paymentDate return paymentDate; case 122345516: // observation return observation; } return super.metaPropertyGet(propertyName); } @Override public BeanBuilder<? extends FxResetNotionalExchange> builder() { return new FxResetNotionalExchange.Builder(); } @Override public Class<? extends FxResetNotionalExchange> beanType() { return FxResetNotionalExchange.class; } @Override public Map<String, MetaProperty<?>> metaPropertyMap() { return metaPropertyMap$; } //----------------------------------------------------------------------- /** * The meta-property for the {@code notionalAmount} property. * @return the meta-property, not null */ public MetaProperty<CurrencyAmount> notionalAmount() { return notionalAmount; } /** * The meta-property for the {@code paymentDate} property. * @return the meta-property, not null */ public MetaProperty<LocalDate> paymentDate() { return paymentDate; } /** * The meta-property for the {@code observation} property. * @return the meta-property, not null */ public MetaProperty<FxIndexObservation> observation() { return observation; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case -902123592: // notionalAmount return ((FxResetNotionalExchange) bean).getNotionalAmount(); case -1540873516: // paymentDate return ((FxResetNotionalExchange) bean).getPaymentDate(); case 122345516: // observation return ((FxResetNotionalExchange) bean).getObservation(); } 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 FxResetNotionalExchange}. */ private static final class Builder extends DirectFieldsBeanBuilder<FxResetNotionalExchange> { private CurrencyAmount notionalAmount; private LocalDate paymentDate; private FxIndexObservation observation; /** * Restricted constructor. */ private Builder() { } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case -902123592: // notionalAmount return notionalAmount; case -1540873516: // paymentDate return paymentDate; case 122345516: // observation return observation; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case -902123592: // notionalAmount this.notionalAmount = (CurrencyAmount) newValue; break; case -1540873516: // paymentDate this.paymentDate = (LocalDate) newValue; break; case 122345516: // observation this.observation = (FxIndexObservation) 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 FxResetNotionalExchange build() { return new FxResetNotionalExchange( notionalAmount, paymentDate, observation); } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(128); buf.append("FxResetNotionalExchange.Builder{"); buf.append("notionalAmount").append('=').append(JodaBeanUtils.toString(notionalAmount)).append(',').append(' '); buf.append("paymentDate").append('=').append(JodaBeanUtils.toString(paymentDate)).append(',').append(' '); buf.append("observation").append('=').append(JodaBeanUtils.toString(observation)); buf.append('}'); return buf.toString(); } } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }