/**
* Copyright (C) 2014 - 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.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.OptionalDouble;
import java.util.Set;
import org.joda.beans.Bean;
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.ReferenceData;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.rate.FixedRateComputation;
import com.opengamma.strata.product.rate.IborInterpolatedRateComputation;
import com.opengamma.strata.product.rate.IborRateComputation;
import com.opengamma.strata.product.rate.RateComputation;
/**
* Defines the rates applicable in the initial or final stub of an Ibor swap leg.
* <p>
* A standard swap leg consists of a regular periodic schedule and one or two stub periods at each end.
* This class defines what floating rate to use during a stub.
* <p>
* The rate may be specified in three ways.
* <ul>
* <li>A fixed rate, applicable for the whole stub
* <li>A floating rate based on a single Ibor index
* <li>A floating rate based on linear interpolation between two Ibor indices
* </ul>
*/
@BeanDefinition
public final class IborRateStubCalculation
implements ImmutableBean, Serializable {
/**
* An instance that has no special rate handling.
*/
public static final IborRateStubCalculation NONE = new IborRateStubCalculation(null, null, null, null);
/**
* The fixed rate to use in the stub.
* A 5% rate will be expressed as 0.05.
* <p>
* In certain circumstances two counterparties agree a fixed rate for the stub.
* It is used in place of an observed fixing.
* Other calculation elements, such as gearing or spread, still apply.
* <p>
* If the fixed rate is present, then {@code knownAmount}, {@code index} and
* {@code indexInterpolated} must not be present.
*/
@PropertyDefinition(get = "optional")
private final Double fixedRate;
/**
* The known amount to pay/receive for the stub.
* <p>
* If the known amount is present, then {@code fixedRate}, {@code index} and
* {@code indexInterpolated} must not be present.
*/
@PropertyDefinition(get = "optional")
private final CurrencyAmount knownAmount;
/**
* The Ibor index to be used for the stub.
* <p>
* This will be used throughout the stub unless {@code indexInterpolated} is present.
* <p>
* If the index is present, then {@code fixedRate} and {@code knownAmount} must not be present.
*/
@PropertyDefinition(get = "optional")
private final IborIndex index;
/**
* The second Ibor index to be used for the stub, linearly interpolated.
* <p>
* This will be used with {@code index} to linearly interpolate the rate.
* This index may be shorter or longer than {@code index}, but not the same.
* <p>
* If the interpolated index is present, then {@code index} must also be present,
* and {@code fixedRate} and {@code knownAmount} must not be present.
*/
@PropertyDefinition(get = "optional")
private final IborIndex indexInterpolated;
//-------------------------------------------------------------------------
/**
* Obtains an instance with a single fixed rate.
*
* @param fixedRate the fixed rate for the stub
* @return the stub
*/
public static IborRateStubCalculation ofFixedRate(double fixedRate) {
return new IborRateStubCalculation(fixedRate, null, null, null);
}
/**
* Obtains an instance with a known amount of interest.
*
* @param knownAmount the known amount of interest
* @return the stub
*/
public static IborRateStubCalculation ofKnownAmount(CurrencyAmount knownAmount) {
ArgChecker.notNull(knownAmount, "knownAmount");
return new IborRateStubCalculation(null, knownAmount, null, null);
}
/**
* Obtains an instance with a single floating rate.
*
* @param index the index that applies to the stub
* @return the stub
* @throws IllegalArgumentException if the index is null
*/
public static IborRateStubCalculation ofIborRate(IborIndex index) {
ArgChecker.notNull(index, "index");
return new IborRateStubCalculation(null, null, index, null);
}
/**
* Obtains an instance with linear interpolation of two floating rates.
* <p>
* The two indices must be different, typically with one longer than another.
* The order of input of the indices does not matter.
*
* @param index1 the first index
* @param index2 the second index
* @return the stub
* @throws IllegalArgumentException if the two indices are the same or either is null
*/
public static IborRateStubCalculation ofIborInterpolatedRate(IborIndex index1, IborIndex index2) {
ArgChecker.notNull(index1, "index1");
ArgChecker.notNull(index2, "index2");
return new IborRateStubCalculation(null, null, index1, index2);
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
if (fixedRate != null && knownAmount != null) {
throw new IllegalArgumentException("Either rate or amount may be specified, not both");
}
if (fixedRate != null && index != null) {
throw new IllegalArgumentException("Either rate or index may be specified, not both");
}
if (index != null && knownAmount != null) {
throw new IllegalArgumentException("Either index or amount may be specified, not both");
}
if (indexInterpolated != null) {
if (index == null) {
throw new IllegalArgumentException("When indexInterpolated is present, index must also be present");
}
if (indexInterpolated.equals(index)) {
throw new IllegalArgumentException("Interpolation requires two different indices");
}
}
}
//-------------------------------------------------------------------------
/**
* Creates the {@code RateComputation} for the stub.
*
* @param fixingDate the fixing date
* @param defaultIndex the default index to use if the stub has no rules
* @param refData the reference data
* @return the rate observation
*/
RateComputation createRateComputation(LocalDate fixingDate, IborIndex defaultIndex, ReferenceData refData) {
if (isInterpolated()) {
return IborInterpolatedRateComputation.of(index, indexInterpolated, fixingDate, refData);
} else if (isFloatingRate()) {
return IborRateComputation.of(index, fixingDate, refData);
} else if (isFixedRate()) {
return FixedRateComputation.of(fixedRate);
} else if (isKnownAmount()) {
return KnownAmountRateComputation.of(knownAmount);
} else {
return IborRateComputation.of(defaultIndex, fixingDate, refData);
}
}
//-------------------------------------------------------------------------
/**
* Checks if the stub has a fixed rate.
*
* @return true if a fixed stub rate applies
*/
public boolean isFixedRate() {
return fixedRate != null;
}
/**
* Checks if the stub has a known amount.
*
* @return true if the stub has a known amount
*/
public boolean isKnownAmount() {
return knownAmount != null;
}
/**
* Checks if the stub has a floating rate.
*
* @return true if a floating stub rate applies
*/
public boolean isFloatingRate() {
return index != null;
}
/**
* Checks if the stub has an interpolated rate.
* <p>
* An interpolated rate exists when there are two different rates that need linear interpolation.
*
* @return true if linear interpolation applies
*/
public boolean isInterpolated() {
return index != null && indexInterpolated != null;
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code IborRateStubCalculation}.
* @return the meta-bean, not null
*/
public static IborRateStubCalculation.Meta meta() {
return IborRateStubCalculation.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(IborRateStubCalculation.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 IborRateStubCalculation.Builder builder() {
return new IborRateStubCalculation.Builder();
}
private IborRateStubCalculation(
Double fixedRate,
CurrencyAmount knownAmount,
IborIndex index,
IborIndex indexInterpolated) {
this.fixedRate = fixedRate;
this.knownAmount = knownAmount;
this.index = index;
this.indexInterpolated = indexInterpolated;
validate();
}
@Override
public IborRateStubCalculation.Meta metaBean() {
return IborRateStubCalculation.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 fixed rate to use in the stub.
* A 5% rate will be expressed as 0.05.
* <p>
* In certain circumstances two counterparties agree a fixed rate for the stub.
* It is used in place of an observed fixing.
* Other calculation elements, such as gearing or spread, still apply.
* <p>
* If the fixed rate is present, then {@code knownAmount}, {@code index} and
* {@code indexInterpolated} must not be present.
* @return the optional value of the property, not null
*/
public OptionalDouble getFixedRate() {
return fixedRate != null ? OptionalDouble.of(fixedRate) : OptionalDouble.empty();
}
//-----------------------------------------------------------------------
/**
* Gets the known amount to pay/receive for the stub.
* <p>
* If the known amount is present, then {@code fixedRate}, {@code index} and
* {@code indexInterpolated} must not be present.
* @return the optional value of the property, not null
*/
public Optional<CurrencyAmount> getKnownAmount() {
return Optional.ofNullable(knownAmount);
}
//-----------------------------------------------------------------------
/**
* Gets the Ibor index to be used for the stub.
* <p>
* This will be used throughout the stub unless {@code indexInterpolated} is present.
* <p>
* If the index is present, then {@code fixedRate} and {@code knownAmount} must not be present.
* @return the optional value of the property, not null
*/
public Optional<IborIndex> getIndex() {
return Optional.ofNullable(index);
}
//-----------------------------------------------------------------------
/**
* Gets the second Ibor index to be used for the stub, linearly interpolated.
* <p>
* This will be used with {@code index} to linearly interpolate the rate.
* This index may be shorter or longer than {@code index}, but not the same.
* <p>
* If the interpolated index is present, then {@code index} must also be present,
* and {@code fixedRate} and {@code knownAmount} must not be present.
* @return the optional value of the property, not null
*/
public Optional<IborIndex> getIndexInterpolated() {
return Optional.ofNullable(indexInterpolated);
}
//-----------------------------------------------------------------------
/**
* 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()) {
IborRateStubCalculation other = (IborRateStubCalculation) obj;
return JodaBeanUtils.equal(fixedRate, other.fixedRate) &&
JodaBeanUtils.equal(knownAmount, other.knownAmount) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(indexInterpolated, other.indexInterpolated);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(fixedRate);
hash = hash * 31 + JodaBeanUtils.hashCode(knownAmount);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(indexInterpolated);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("IborRateStubCalculation{");
buf.append("fixedRate").append('=').append(fixedRate).append(',').append(' ');
buf.append("knownAmount").append('=').append(knownAmount).append(',').append(' ');
buf.append("index").append('=').append(index).append(',').append(' ');
buf.append("indexInterpolated").append('=').append(JodaBeanUtils.toString(indexInterpolated));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborRateStubCalculation}.
*/
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 fixedRate} property.
*/
private final MetaProperty<Double> fixedRate = DirectMetaProperty.ofImmutable(
this, "fixedRate", IborRateStubCalculation.class, Double.class);
/**
* The meta-property for the {@code knownAmount} property.
*/
private final MetaProperty<CurrencyAmount> knownAmount = DirectMetaProperty.ofImmutable(
this, "knownAmount", IborRateStubCalculation.class, CurrencyAmount.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty<IborIndex> index = DirectMetaProperty.ofImmutable(
this, "index", IborRateStubCalculation.class, IborIndex.class);
/**
* The meta-property for the {@code indexInterpolated} property.
*/
private final MetaProperty<IborIndex> indexInterpolated = DirectMetaProperty.ofImmutable(
this, "indexInterpolated", IborRateStubCalculation.class, IborIndex.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"fixedRate",
"knownAmount",
"index",
"indexInterpolated");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 747425396: // fixedRate
return fixedRate;
case -158727813: // knownAmount
return knownAmount;
case 100346066: // index
return index;
case -1934091915: // indexInterpolated
return indexInterpolated;
}
return super.metaPropertyGet(propertyName);
}
@Override
public IborRateStubCalculation.Builder builder() {
return new IborRateStubCalculation.Builder();
}
@Override
public Class<? extends IborRateStubCalculation> beanType() {
return IborRateStubCalculation.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code fixedRate} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> fixedRate() {
return fixedRate;
}
/**
* The meta-property for the {@code knownAmount} property.
* @return the meta-property, not null
*/
public MetaProperty<CurrencyAmount> knownAmount() {
return knownAmount;
}
/**
* 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 indexInterpolated} property.
* @return the meta-property, not null
*/
public MetaProperty<IborIndex> indexInterpolated() {
return indexInterpolated;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 747425396: // fixedRate
return ((IborRateStubCalculation) bean).fixedRate;
case -158727813: // knownAmount
return ((IborRateStubCalculation) bean).knownAmount;
case 100346066: // index
return ((IborRateStubCalculation) bean).index;
case -1934091915: // indexInterpolated
return ((IborRateStubCalculation) bean).indexInterpolated;
}
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 IborRateStubCalculation}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<IborRateStubCalculation> {
private Double fixedRate;
private CurrencyAmount knownAmount;
private IborIndex index;
private IborIndex indexInterpolated;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(IborRateStubCalculation beanToCopy) {
this.fixedRate = beanToCopy.fixedRate;
this.knownAmount = beanToCopy.knownAmount;
this.index = beanToCopy.index;
this.indexInterpolated = beanToCopy.indexInterpolated;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 747425396: // fixedRate
return fixedRate;
case -158727813: // knownAmount
return knownAmount;
case 100346066: // index
return index;
case -1934091915: // indexInterpolated
return indexInterpolated;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 747425396: // fixedRate
this.fixedRate = (Double) newValue;
break;
case -158727813: // knownAmount
this.knownAmount = (CurrencyAmount) newValue;
break;
case 100346066: // index
this.index = (IborIndex) newValue;
break;
case -1934091915: // indexInterpolated
this.indexInterpolated = (IborIndex) 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 IborRateStubCalculation build() {
return new IborRateStubCalculation(
fixedRate,
knownAmount,
index,
indexInterpolated);
}
//-----------------------------------------------------------------------
/**
* Sets the fixed rate to use in the stub.
* A 5% rate will be expressed as 0.05.
* <p>
* In certain circumstances two counterparties agree a fixed rate for the stub.
* It is used in place of an observed fixing.
* Other calculation elements, such as gearing or spread, still apply.
* <p>
* If the fixed rate is present, then {@code knownAmount}, {@code index} and
* {@code indexInterpolated} must not be present.
* @param fixedRate the new value
* @return this, for chaining, not null
*/
public Builder fixedRate(Double fixedRate) {
this.fixedRate = fixedRate;
return this;
}
/**
* Sets the known amount to pay/receive for the stub.
* <p>
* If the known amount is present, then {@code fixedRate}, {@code index} and
* {@code indexInterpolated} must not be present.
* @param knownAmount the new value
* @return this, for chaining, not null
*/
public Builder knownAmount(CurrencyAmount knownAmount) {
this.knownAmount = knownAmount;
return this;
}
/**
* Sets the Ibor index to be used for the stub.
* <p>
* This will be used throughout the stub unless {@code indexInterpolated} is present.
* <p>
* If the index is present, then {@code fixedRate} and {@code knownAmount} must not be present.
* @param index the new value
* @return this, for chaining, not null
*/
public Builder index(IborIndex index) {
this.index = index;
return this;
}
/**
* Sets the second Ibor index to be used for the stub, linearly interpolated.
* <p>
* This will be used with {@code index} to linearly interpolate the rate.
* This index may be shorter or longer than {@code index}, but not the same.
* <p>
* If the interpolated index is present, then {@code index} must also be present,
* and {@code fixedRate} and {@code knownAmount} must not be present.
* @param indexInterpolated the new value
* @return this, for chaining, not null
*/
public Builder indexInterpolated(IborIndex indexInterpolated) {
this.indexInterpolated = indexInterpolated;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("IborRateStubCalculation.Builder{");
buf.append("fixedRate").append('=').append(JodaBeanUtils.toString(fixedRate)).append(',').append(' ');
buf.append("knownAmount").append('=').append(JodaBeanUtils.toString(knownAmount)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("indexInterpolated").append('=').append(JodaBeanUtils.toString(indexInterpolated));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}