/**
* 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 static com.google.common.base.MoreObjects.firstNonNull;
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.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableConstructor;
import org.joda.beans.ImmutableDefaults;
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.date.DayCount;
import com.opengamma.strata.basics.schedule.SchedulePeriod;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.rate.RateComputation;
/**
* A period over which a fixed or floating rate is accrued.
* <p>
* A swap leg consists of one or more periods that are the basis of accrual.
* This class represents one such period.
* <p>
* This class specifies the data necessary to calculate the value of the period.
* The key property is the {@link #getRateComputation() rateComputation} which defines
* how the rate is observed.
*/
@BeanDefinition
public final class RateAccrualPeriod
implements ImmutableBean, Serializable {
/**
* The start date of the accrual period.
* <p>
* This is the first accrual date in the period.
* If the schedule adjusts for business days, then this is the adjusted date.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate startDate;
/**
* The end date of the accrual period.
* <p>
* This is the last accrual date in the period.
* If the schedule adjusts for business days, then this is the adjusted date.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate endDate;
/**
* The unadjusted start date.
* <p>
* The start date before any business day adjustment is applied.
* <p>
* When building, this will default to the start date if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate unadjustedStartDate;
/**
* The unadjusted end date.
* <p>
* The end date before any business day adjustment is applied.
* <p>
* When building, this will default to the end date if not specified.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate unadjustedEndDate;
/**
* The year fraction that the accrual period represents.
* <p>
* The value is usually calculated using a {@link DayCount} which may be different to that of the index.
* Typically the value will be close to 1 for one year and close to 0.5 for six months.
* The fraction may be greater than 1, but not less than 0.
*/
@PropertyDefinition(validate = "ArgChecker.notNegative")
private final double yearFraction;
/**
* The rate to be computed.
* <p>
* The value of the period is based on this rate.
* Different implementations of the {@code RateComputation} interface have different
* approaches to computing the rate, including averaging, overnight and interpolation.
* For example, it might be a well known market index such as 'GBP-LIBOR-3M'.
*/
@PropertyDefinition(validate = "notNull")
private final RateComputation rateComputation;
/**
* The gearing multiplier, defaulted to 1.
* <p>
* This defines the gearing, which is used to multiply the observed rate.
* <p>
* When calculating the rate, the observed rate is multiplied by the gearing.
* If both gearing and spread exist, then the gearing is applied first.
* A gearing of 1 has no effect.
* <p>
* Gearing is also known as <i>leverage</i>.
*/
@PropertyDefinition
private final double gearing;
/**
* The spread rate, defaulted to 0.
* A 5% rate will be expressed as 0.05.
* <p>
* This defines the spread, which is used to add an amount the observed rate.
* <p>
* When calculating the rate, the spread is added to the observed rate.
* If both gearing and spread exist, then the gearing is applied first.
* A spread of 0 has no effect.
* <p>
* Defined by the 2006 ISDA definitions article 6.2e.
*/
@PropertyDefinition
private final double spread;
/**
* The negative rate method, defaulted to 'AllowNegative'.
* <p>
* This is used when the interest rate, observed or calculated, goes negative.
* <p>
* When observing or calculating the rate, the value may go negative.
* If it does, then this method is used to validate whether the negative rate is allowed.
* It is applied after any applicable gearing or spread.
* <p>
* Defined by the 2006 ISDA definitions article 6.4.
*/
@PropertyDefinition(validate = "notNull")
private final NegativeRateMethod negativeRateMethod;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.negativeRateMethod(NegativeRateMethod.ALLOW_NEGATIVE);
builder.gearing(1d);
}
// could use @ImmutablePreBuild and @ImmutableValidate but faster inline
@ImmutableConstructor
private RateAccrualPeriod(
LocalDate startDate,
LocalDate endDate,
LocalDate unadjustedStartDate,
LocalDate unadjustedEndDate,
double yearFraction,
RateComputation rateComputation,
double gearing,
double spread,
NegativeRateMethod negativeRateMethod) {
this.startDate = ArgChecker.notNull(startDate, "startDate");
this.endDate = ArgChecker.notNull(endDate, "endDate");
this.unadjustedStartDate = firstNonNull(unadjustedStartDate, startDate);
this.unadjustedEndDate = firstNonNull(unadjustedEndDate, endDate);
this.yearFraction = ArgChecker.notNegative(yearFraction, "yearFraction");
this.rateComputation = ArgChecker.notNull(rateComputation, "rateComputation");
this.gearing = gearing;
this.spread = spread;
this.negativeRateMethod = ArgChecker.notNull(negativeRateMethod, "negativeRateMethod");
// check for unadjusted must be after firstNonNull
ArgChecker.inOrderNotEqual(startDate, endDate, "startDate", "endDate");
ArgChecker.inOrderNotEqual(
this.unadjustedStartDate, this.unadjustedEndDate, "unadjustedStartDate", "unadjustedEndDate");
}
// trusted constructor
RateAccrualPeriod(SchedulePeriod period, double yearFraction, RateComputation rateComputation) {
this(period, yearFraction, rateComputation, 1d, 0d, NegativeRateMethod.ALLOW_NEGATIVE);
}
// trusted constructor
RateAccrualPeriod(
SchedulePeriod period,
double yearFraction,
RateComputation rateComputation,
double gearing,
double spread,
NegativeRateMethod negativeRateMethod) {
this.startDate = period.getStartDate();
this.endDate = period.getEndDate();
this.unadjustedStartDate = period.getUnadjustedStartDate();
this.unadjustedEndDate = period.getUnadjustedEndDate();
this.yearFraction = yearFraction;
this.rateComputation = rateComputation;
this.gearing = gearing;
this.spread = spread;
this.negativeRateMethod = negativeRateMethod;
}
//-------------------------------------------------------------------------
/**
* Returns a builder used to create an instance of the bean, based on a schedule period.
* <p>
* The start date and end date (adjusted and unadjusted) will be set in the builder.
*
* @param period the schedule period
* @return the builder, not null
*/
public static RateAccrualPeriod.Builder builder(SchedulePeriod period) {
return builder()
.startDate(period.getStartDate())
.endDate(period.getEndDate())
.unadjustedStartDate(period.getUnadjustedStartDate())
.unadjustedEndDate(period.getUnadjustedEndDate());
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code RateAccrualPeriod}.
* @return the meta-bean, not null
*/
public static RateAccrualPeriod.Meta meta() {
return RateAccrualPeriod.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(RateAccrualPeriod.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 RateAccrualPeriod.Builder builder() {
return new RateAccrualPeriod.Builder();
}
@Override
public RateAccrualPeriod.Meta metaBean() {
return RateAccrualPeriod.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 date of the accrual period.
* <p>
* This is the first accrual date in the period.
* If the schedule adjusts for business days, then this is the adjusted date.
* @return the value of the property, not null
*/
public LocalDate getStartDate() {
return startDate;
}
//-----------------------------------------------------------------------
/**
* Gets the end date of the accrual period.
* <p>
* This is the last accrual date in the period.
* If the schedule adjusts for business days, then this is the adjusted date.
* @return the value of the property, not null
*/
public LocalDate getEndDate() {
return endDate;
}
//-----------------------------------------------------------------------
/**
* Gets the unadjusted start date.
* <p>
* The start date before any business day adjustment is applied.
* <p>
* When building, this will default to the start date if not specified.
* @return the value of the property, not null
*/
public LocalDate getUnadjustedStartDate() {
return unadjustedStartDate;
}
//-----------------------------------------------------------------------
/**
* Gets the unadjusted end date.
* <p>
* The end date before any business day adjustment is applied.
* <p>
* When building, this will default to the end date if not specified.
* @return the value of the property, not null
*/
public LocalDate getUnadjustedEndDate() {
return unadjustedEndDate;
}
//-----------------------------------------------------------------------
/**
* Gets the year fraction that the accrual period represents.
* <p>
* The value is usually calculated using a {@link DayCount} which may be different to that of the index.
* Typically the value will be close to 1 for one year and close to 0.5 for six months.
* The fraction may be greater than 1, but not less than 0.
* @return the value of the property
*/
public double getYearFraction() {
return yearFraction;
}
//-----------------------------------------------------------------------
/**
* Gets the rate to be computed.
* <p>
* The value of the period is based on this rate.
* Different implementations of the {@code RateComputation} interface have different
* approaches to computing the rate, including averaging, overnight and interpolation.
* For example, it might be a well known market index such as 'GBP-LIBOR-3M'.
* @return the value of the property, not null
*/
public RateComputation getRateComputation() {
return rateComputation;
}
//-----------------------------------------------------------------------
/**
* Gets the gearing multiplier, defaulted to 1.
* <p>
* This defines the gearing, which is used to multiply the observed rate.
* <p>
* When calculating the rate, the observed rate is multiplied by the gearing.
* If both gearing and spread exist, then the gearing is applied first.
* A gearing of 1 has no effect.
* <p>
* Gearing is also known as <i>leverage</i>.
* @return the value of the property
*/
public double getGearing() {
return gearing;
}
//-----------------------------------------------------------------------
/**
* Gets the spread rate, defaulted to 0.
* A 5% rate will be expressed as 0.05.
* <p>
* This defines the spread, which is used to add an amount the observed rate.
* <p>
* When calculating the rate, the spread is added to the observed rate.
* If both gearing and spread exist, then the gearing is applied first.
* A spread of 0 has no effect.
* <p>
* Defined by the 2006 ISDA definitions article 6.2e.
* @return the value of the property
*/
public double getSpread() {
return spread;
}
//-----------------------------------------------------------------------
/**
* Gets the negative rate method, defaulted to 'AllowNegative'.
* <p>
* This is used when the interest rate, observed or calculated, goes negative.
* <p>
* When observing or calculating the rate, the value may go negative.
* If it does, then this method is used to validate whether the negative rate is allowed.
* It is applied after any applicable gearing or spread.
* <p>
* Defined by the 2006 ISDA definitions article 6.4.
* @return the value of the property, not null
*/
public NegativeRateMethod getNegativeRateMethod() {
return negativeRateMethod;
}
//-----------------------------------------------------------------------
/**
* 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()) {
RateAccrualPeriod other = (RateAccrualPeriod) obj;
return JodaBeanUtils.equal(startDate, other.startDate) &&
JodaBeanUtils.equal(endDate, other.endDate) &&
JodaBeanUtils.equal(unadjustedStartDate, other.unadjustedStartDate) &&
JodaBeanUtils.equal(unadjustedEndDate, other.unadjustedEndDate) &&
JodaBeanUtils.equal(yearFraction, other.yearFraction) &&
JodaBeanUtils.equal(rateComputation, other.rateComputation) &&
JodaBeanUtils.equal(gearing, other.gearing) &&
JodaBeanUtils.equal(spread, other.spread) &&
JodaBeanUtils.equal(negativeRateMethod, other.negativeRateMethod);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(startDate);
hash = hash * 31 + JodaBeanUtils.hashCode(endDate);
hash = hash * 31 + JodaBeanUtils.hashCode(unadjustedStartDate);
hash = hash * 31 + JodaBeanUtils.hashCode(unadjustedEndDate);
hash = hash * 31 + JodaBeanUtils.hashCode(yearFraction);
hash = hash * 31 + JodaBeanUtils.hashCode(rateComputation);
hash = hash * 31 + JodaBeanUtils.hashCode(gearing);
hash = hash * 31 + JodaBeanUtils.hashCode(spread);
hash = hash * 31 + JodaBeanUtils.hashCode(negativeRateMethod);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(320);
buf.append("RateAccrualPeriod{");
buf.append("startDate").append('=').append(startDate).append(',').append(' ');
buf.append("endDate").append('=').append(endDate).append(',').append(' ');
buf.append("unadjustedStartDate").append('=').append(unadjustedStartDate).append(',').append(' ');
buf.append("unadjustedEndDate").append('=').append(unadjustedEndDate).append(',').append(' ');
buf.append("yearFraction").append('=').append(yearFraction).append(',').append(' ');
buf.append("rateComputation").append('=').append(rateComputation).append(',').append(' ');
buf.append("gearing").append('=').append(gearing).append(',').append(' ');
buf.append("spread").append('=').append(spread).append(',').append(' ');
buf.append("negativeRateMethod").append('=').append(JodaBeanUtils.toString(negativeRateMethod));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RateAccrualPeriod}.
*/
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 startDate} property.
*/
private final MetaProperty<LocalDate> startDate = DirectMetaProperty.ofImmutable(
this, "startDate", RateAccrualPeriod.class, LocalDate.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty<LocalDate> endDate = DirectMetaProperty.ofImmutable(
this, "endDate", RateAccrualPeriod.class, LocalDate.class);
/**
* The meta-property for the {@code unadjustedStartDate} property.
*/
private final MetaProperty<LocalDate> unadjustedStartDate = DirectMetaProperty.ofImmutable(
this, "unadjustedStartDate", RateAccrualPeriod.class, LocalDate.class);
/**
* The meta-property for the {@code unadjustedEndDate} property.
*/
private final MetaProperty<LocalDate> unadjustedEndDate = DirectMetaProperty.ofImmutable(
this, "unadjustedEndDate", RateAccrualPeriod.class, LocalDate.class);
/**
* The meta-property for the {@code yearFraction} property.
*/
private final MetaProperty<Double> yearFraction = DirectMetaProperty.ofImmutable(
this, "yearFraction", RateAccrualPeriod.class, Double.TYPE);
/**
* The meta-property for the {@code rateComputation} property.
*/
private final MetaProperty<RateComputation> rateComputation = DirectMetaProperty.ofImmutable(
this, "rateComputation", RateAccrualPeriod.class, RateComputation.class);
/**
* The meta-property for the {@code gearing} property.
*/
private final MetaProperty<Double> gearing = DirectMetaProperty.ofImmutable(
this, "gearing", RateAccrualPeriod.class, Double.TYPE);
/**
* The meta-property for the {@code spread} property.
*/
private final MetaProperty<Double> spread = DirectMetaProperty.ofImmutable(
this, "spread", RateAccrualPeriod.class, Double.TYPE);
/**
* The meta-property for the {@code negativeRateMethod} property.
*/
private final MetaProperty<NegativeRateMethod> negativeRateMethod = DirectMetaProperty.ofImmutable(
this, "negativeRateMethod", RateAccrualPeriod.class, NegativeRateMethod.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"startDate",
"endDate",
"unadjustedStartDate",
"unadjustedEndDate",
"yearFraction",
"rateComputation",
"gearing",
"spread",
"negativeRateMethod");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case 1457691881: // unadjustedStartDate
return unadjustedStartDate;
case 31758114: // unadjustedEndDate
return unadjustedEndDate;
case -1731780257: // yearFraction
return yearFraction;
case 625350855: // rateComputation
return rateComputation;
case -91774989: // gearing
return gearing;
case -895684237: // spread
return spread;
case 1969081334: // negativeRateMethod
return negativeRateMethod;
}
return super.metaPropertyGet(propertyName);
}
@Override
public RateAccrualPeriod.Builder builder() {
return new RateAccrualPeriod.Builder();
}
@Override
public Class<? extends RateAccrualPeriod> beanType() {
return RateAccrualPeriod.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code startDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> startDate() {
return startDate;
}
/**
* The meta-property for the {@code endDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> endDate() {
return endDate;
}
/**
* The meta-property for the {@code unadjustedStartDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> unadjustedStartDate() {
return unadjustedStartDate;
}
/**
* The meta-property for the {@code unadjustedEndDate} property.
* @return the meta-property, not null
*/
public MetaProperty<LocalDate> unadjustedEndDate() {
return unadjustedEndDate;
}
/**
* The meta-property for the {@code yearFraction} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> yearFraction() {
return yearFraction;
}
/**
* The meta-property for the {@code rateComputation} property.
* @return the meta-property, not null
*/
public MetaProperty<RateComputation> rateComputation() {
return rateComputation;
}
/**
* The meta-property for the {@code gearing} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> gearing() {
return gearing;
}
/**
* The meta-property for the {@code spread} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> spread() {
return spread;
}
/**
* The meta-property for the {@code negativeRateMethod} property.
* @return the meta-property, not null
*/
public MetaProperty<NegativeRateMethod> negativeRateMethod() {
return negativeRateMethod;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -2129778896: // startDate
return ((RateAccrualPeriod) bean).getStartDate();
case -1607727319: // endDate
return ((RateAccrualPeriod) bean).getEndDate();
case 1457691881: // unadjustedStartDate
return ((RateAccrualPeriod) bean).getUnadjustedStartDate();
case 31758114: // unadjustedEndDate
return ((RateAccrualPeriod) bean).getUnadjustedEndDate();
case -1731780257: // yearFraction
return ((RateAccrualPeriod) bean).getYearFraction();
case 625350855: // rateComputation
return ((RateAccrualPeriod) bean).getRateComputation();
case -91774989: // gearing
return ((RateAccrualPeriod) bean).getGearing();
case -895684237: // spread
return ((RateAccrualPeriod) bean).getSpread();
case 1969081334: // negativeRateMethod
return ((RateAccrualPeriod) bean).getNegativeRateMethod();
}
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 RateAccrualPeriod}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<RateAccrualPeriod> {
private LocalDate startDate;
private LocalDate endDate;
private LocalDate unadjustedStartDate;
private LocalDate unadjustedEndDate;
private double yearFraction;
private RateComputation rateComputation;
private double gearing;
private double spread;
private NegativeRateMethod negativeRateMethod;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(RateAccrualPeriod beanToCopy) {
this.startDate = beanToCopy.getStartDate();
this.endDate = beanToCopy.getEndDate();
this.unadjustedStartDate = beanToCopy.getUnadjustedStartDate();
this.unadjustedEndDate = beanToCopy.getUnadjustedEndDate();
this.yearFraction = beanToCopy.getYearFraction();
this.rateComputation = beanToCopy.getRateComputation();
this.gearing = beanToCopy.getGearing();
this.spread = beanToCopy.getSpread();
this.negativeRateMethod = beanToCopy.getNegativeRateMethod();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case 1457691881: // unadjustedStartDate
return unadjustedStartDate;
case 31758114: // unadjustedEndDate
return unadjustedEndDate;
case -1731780257: // yearFraction
return yearFraction;
case 625350855: // rateComputation
return rateComputation;
case -91774989: // gearing
return gearing;
case -895684237: // spread
return spread;
case 1969081334: // negativeRateMethod
return negativeRateMethod;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -2129778896: // startDate
this.startDate = (LocalDate) newValue;
break;
case -1607727319: // endDate
this.endDate = (LocalDate) newValue;
break;
case 1457691881: // unadjustedStartDate
this.unadjustedStartDate = (LocalDate) newValue;
break;
case 31758114: // unadjustedEndDate
this.unadjustedEndDate = (LocalDate) newValue;
break;
case -1731780257: // yearFraction
this.yearFraction = (Double) newValue;
break;
case 625350855: // rateComputation
this.rateComputation = (RateComputation) newValue;
break;
case -91774989: // gearing
this.gearing = (Double) newValue;
break;
case -895684237: // spread
this.spread = (Double) newValue;
break;
case 1969081334: // negativeRateMethod
this.negativeRateMethod = (NegativeRateMethod) 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 RateAccrualPeriod build() {
return new RateAccrualPeriod(
startDate,
endDate,
unadjustedStartDate,
unadjustedEndDate,
yearFraction,
rateComputation,
gearing,
spread,
negativeRateMethod);
}
//-----------------------------------------------------------------------
/**
* Sets the start date of the accrual period.
* <p>
* This is the first accrual date in the period.
* If the schedule adjusts for business days, then this is the adjusted date.
* @param startDate the new value, not null
* @return this, for chaining, not null
*/
public Builder startDate(LocalDate startDate) {
JodaBeanUtils.notNull(startDate, "startDate");
this.startDate = startDate;
return this;
}
/**
* Sets the end date of the accrual period.
* <p>
* This is the last accrual date in the period.
* If the schedule adjusts for business days, then this is the adjusted date.
* @param endDate the new value, not null
* @return this, for chaining, not null
*/
public Builder endDate(LocalDate endDate) {
JodaBeanUtils.notNull(endDate, "endDate");
this.endDate = endDate;
return this;
}
/**
* Sets the unadjusted start date.
* <p>
* The start date before any business day adjustment is applied.
* <p>
* When building, this will default to the start date if not specified.
* @param unadjustedStartDate the new value, not null
* @return this, for chaining, not null
*/
public Builder unadjustedStartDate(LocalDate unadjustedStartDate) {
JodaBeanUtils.notNull(unadjustedStartDate, "unadjustedStartDate");
this.unadjustedStartDate = unadjustedStartDate;
return this;
}
/**
* Sets the unadjusted end date.
* <p>
* The end date before any business day adjustment is applied.
* <p>
* When building, this will default to the end date if not specified.
* @param unadjustedEndDate the new value, not null
* @return this, for chaining, not null
*/
public Builder unadjustedEndDate(LocalDate unadjustedEndDate) {
JodaBeanUtils.notNull(unadjustedEndDate, "unadjustedEndDate");
this.unadjustedEndDate = unadjustedEndDate;
return this;
}
/**
* Sets the year fraction that the accrual period represents.
* <p>
* The value is usually calculated using a {@link DayCount} which may be different to that of the index.
* Typically the value will be close to 1 for one year and close to 0.5 for six months.
* The fraction may be greater than 1, but not less than 0.
* @param yearFraction the new value
* @return this, for chaining, not null
*/
public Builder yearFraction(double yearFraction) {
ArgChecker.notNegative(yearFraction, "yearFraction");
this.yearFraction = yearFraction;
return this;
}
/**
* Sets the rate to be computed.
* <p>
* The value of the period is based on this rate.
* Different implementations of the {@code RateComputation} interface have different
* approaches to computing the rate, including averaging, overnight and interpolation.
* For example, it might be a well known market index such as 'GBP-LIBOR-3M'.
* @param rateComputation the new value, not null
* @return this, for chaining, not null
*/
public Builder rateComputation(RateComputation rateComputation) {
JodaBeanUtils.notNull(rateComputation, "rateComputation");
this.rateComputation = rateComputation;
return this;
}
/**
* Sets the gearing multiplier, defaulted to 1.
* <p>
* This defines the gearing, which is used to multiply the observed rate.
* <p>
* When calculating the rate, the observed rate is multiplied by the gearing.
* If both gearing and spread exist, then the gearing is applied first.
* A gearing of 1 has no effect.
* <p>
* Gearing is also known as <i>leverage</i>.
* @param gearing the new value
* @return this, for chaining, not null
*/
public Builder gearing(double gearing) {
this.gearing = gearing;
return this;
}
/**
* Sets the spread rate, defaulted to 0.
* A 5% rate will be expressed as 0.05.
* <p>
* This defines the spread, which is used to add an amount the observed rate.
* <p>
* When calculating the rate, the spread is added to the observed rate.
* If both gearing and spread exist, then the gearing is applied first.
* A spread of 0 has no effect.
* <p>
* Defined by the 2006 ISDA definitions article 6.2e.
* @param spread the new value
* @return this, for chaining, not null
*/
public Builder spread(double spread) {
this.spread = spread;
return this;
}
/**
* Sets the negative rate method, defaulted to 'AllowNegative'.
* <p>
* This is used when the interest rate, observed or calculated, goes negative.
* <p>
* When observing or calculating the rate, the value may go negative.
* If it does, then this method is used to validate whether the negative rate is allowed.
* It is applied after any applicable gearing or spread.
* <p>
* Defined by the 2006 ISDA definitions article 6.4.
* @param negativeRateMethod the new value, not null
* @return this, for chaining, not null
*/
public Builder negativeRateMethod(NegativeRateMethod negativeRateMethod) {
JodaBeanUtils.notNull(negativeRateMethod, "negativeRateMethod");
this.negativeRateMethod = negativeRateMethod;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(320);
buf.append("RateAccrualPeriod.Builder{");
buf.append("startDate").append('=').append(JodaBeanUtils.toString(startDate)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(endDate)).append(',').append(' ');
buf.append("unadjustedStartDate").append('=').append(JodaBeanUtils.toString(unadjustedStartDate)).append(',').append(' ');
buf.append("unadjustedEndDate").append('=').append(JodaBeanUtils.toString(unadjustedEndDate)).append(',').append(' ');
buf.append("yearFraction").append('=').append(JodaBeanUtils.toString(yearFraction)).append(',').append(' ');
buf.append("rateComputation").append('=').append(JodaBeanUtils.toString(rateComputation)).append(',').append(' ');
buf.append("gearing").append('=').append(JodaBeanUtils.toString(gearing)).append(',').append(' ');
buf.append("spread").append('=').append(JodaBeanUtils.toString(spread)).append(',').append(' ');
buf.append("negativeRateMethod").append('=').append(JodaBeanUtils.toString(negativeRateMethod));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}