/**
* 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.List;
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.DerivedProperty;
import org.joda.beans.ImmutableBean;
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.ImmutableList;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.AdjustableDate;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.basics.schedule.Schedule;
import com.opengamma.strata.product.common.PayReceive;
/**
* A rate swap leg defined using a parameterized schedule and calculation.
* <p>
* This defines a single swap leg paying a rate, such as an interest rate.
* The rate may be fixed or floating, see {@link FixedRateCalculation},
* {@link IborRateCalculation} and {@link OvernightRateCalculation}.
* <p>
* Interest is calculated based on <i>accrual periods</i> which follow a regular schedule
* with optional initial and final stubs. Coupon payments are based on <i>payment periods</i>
* which are typically the same as the accrual periods.
* If the payment period is longer than the accrual period then compounding may apply.
* The schedule of periods is defined using {@link PeriodicSchedule}, {@link PaymentSchedule},
* {@link NotionalSchedule} and {@link ResetSchedule}.
* <p>
* If the schedule needs to be manually specified, or there are other unusual calculation
* rules then the {@link RatePeriodSwapLeg} class should be used instead.
*/
@BeanDefinition
public final class RateCalculationSwapLeg
implements SwapLeg, ImmutableBean, Serializable {
/**
* Whether the leg is pay or receive.
* <p>
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final PayReceive payReceive;
/**
* The accrual schedule.
* <p>
* This is used to define the accrual periods.
* These are used directly or indirectly to determine other dates in the swap.
*/
@PropertyDefinition(validate = "notNull")
private final PeriodicSchedule accrualSchedule;
/**
* The payment schedule.
* <p>
* This is used to define the payment periods, including any compounding.
* The payment period dates are based on the accrual schedule.
*/
@PropertyDefinition(validate = "notNull")
private final PaymentSchedule paymentSchedule;
/**
* The notional schedule.
* <p>
* The notional amount schedule, which can vary during the lifetime of the swap.
* In most cases, the notional amount is not exchanged, with only the net difference being exchanged.
* However, in certain cases, initial, final or intermediate amounts are exchanged.
*/
@PropertyDefinition(validate = "notNull")
private final NotionalSchedule notionalSchedule;
/**
* The interest rate accrual calculation.
* <p>
* Different kinds of swap leg are determined by the subclass used here.
* See {@link FixedRateCalculation}, {@link IborRateCalculation} and {@link OvernightRateCalculation}.
*/
@PropertyDefinition(validate = "notNull")
private final RateCalculation calculation;
//-------------------------------------------------------------------------
@Override
@DerivedProperty
public SwapLegType getType() {
return calculation.getType();
}
@Override
@DerivedProperty
public AdjustableDate getStartDate() {
return accrualSchedule.calculatedStartDate();
}
@Override
@DerivedProperty
public AdjustableDate getEndDate() {
return accrualSchedule.calculatedEndDate();
}
@Override
@DerivedProperty
public Currency getCurrency() {
return notionalSchedule.getCurrency();
}
@Override
public void collectIndices(ImmutableSet.Builder<Index> builder) {
calculation.collectIndices(builder);
notionalSchedule.getFxReset().ifPresent(fxReset -> builder.add(fxReset.getIndex()));
}
/**
* Converts this swap leg to the equivalent {@code ResolvedSwapLeg}.
* <p>
* An {@link ResolvedSwapLeg} represents the same data as this leg, but with
* a complete schedule of dates defined using {@link RatePaymentPeriod}.
*
* @return the equivalent resolved swap leg
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid swap schedule or definition
*/
@Override
public ResolvedSwapLeg resolve(ReferenceData refData) {
DayCount dayCount = calculation.getDayCount();
Schedule resolvedAccruals = accrualSchedule.createSchedule(refData);
Schedule resolvedPayments = paymentSchedule.createSchedule(resolvedAccruals, refData);
List<RateAccrualPeriod> accrualPeriods = calculation.createAccrualPeriods(resolvedAccruals, resolvedPayments, refData);
List<NotionalPaymentPeriod> payPeriods = paymentSchedule.createPaymentPeriods(
resolvedAccruals, resolvedPayments, accrualPeriods, dayCount, notionalSchedule, payReceive, refData);
LocalDate startDate = accrualPeriods.get(0).getStartDate();
ImmutableList<SwapPaymentEvent> payEvents = notionalSchedule.createEvents(payPeriods, startDate, refData);
return new ResolvedSwapLeg(getType(), payReceive, payPeriods, payEvents, getCurrency());
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code RateCalculationSwapLeg}.
* @return the meta-bean, not null
*/
public static RateCalculationSwapLeg.Meta meta() {
return RateCalculationSwapLeg.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(RateCalculationSwapLeg.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 RateCalculationSwapLeg.Builder builder() {
return new RateCalculationSwapLeg.Builder();
}
private RateCalculationSwapLeg(
PayReceive payReceive,
PeriodicSchedule accrualSchedule,
PaymentSchedule paymentSchedule,
NotionalSchedule notionalSchedule,
RateCalculation calculation) {
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
JodaBeanUtils.notNull(notionalSchedule, "notionalSchedule");
JodaBeanUtils.notNull(calculation, "calculation");
this.payReceive = payReceive;
this.accrualSchedule = accrualSchedule;
this.paymentSchedule = paymentSchedule;
this.notionalSchedule = notionalSchedule;
this.calculation = calculation;
}
@Override
public RateCalculationSwapLeg.Meta metaBean() {
return RateCalculationSwapLeg.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 whether the leg is pay or receive.
* <p>
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
* @return the value of the property, not null
*/
@Override
public PayReceive getPayReceive() {
return payReceive;
}
//-----------------------------------------------------------------------
/**
* Gets the accrual schedule.
* <p>
* This is used to define the accrual periods.
* These are used directly or indirectly to determine other dates in the swap.
* @return the value of the property, not null
*/
public PeriodicSchedule getAccrualSchedule() {
return accrualSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the payment schedule.
* <p>
* This is used to define the payment periods, including any compounding.
* The payment period dates are based on the accrual schedule.
* @return the value of the property, not null
*/
public PaymentSchedule getPaymentSchedule() {
return paymentSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the notional schedule.
* <p>
* The notional amount schedule, which can vary during the lifetime of the swap.
* In most cases, the notional amount is not exchanged, with only the net difference being exchanged.
* However, in certain cases, initial, final or intermediate amounts are exchanged.
* @return the value of the property, not null
*/
public NotionalSchedule getNotionalSchedule() {
return notionalSchedule;
}
//-----------------------------------------------------------------------
/**
* Gets the interest rate accrual calculation.
* <p>
* Different kinds of swap leg are determined by the subclass used here.
* See {@link FixedRateCalculation}, {@link IborRateCalculation} and {@link OvernightRateCalculation}.
* @return the value of the property, not null
*/
public RateCalculation getCalculation() {
return calculation;
}
//-----------------------------------------------------------------------
/**
* 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()) {
RateCalculationSwapLeg other = (RateCalculationSwapLeg) obj;
return JodaBeanUtils.equal(payReceive, other.payReceive) &&
JodaBeanUtils.equal(accrualSchedule, other.accrualSchedule) &&
JodaBeanUtils.equal(paymentSchedule, other.paymentSchedule) &&
JodaBeanUtils.equal(notionalSchedule, other.notionalSchedule) &&
JodaBeanUtils.equal(calculation, other.calculation);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(paymentSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(notionalSchedule);
hash = hash * 31 + JodaBeanUtils.hashCode(calculation);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(320);
buf.append("RateCalculationSwapLeg{");
buf.append("payReceive").append('=').append(payReceive).append(',').append(' ');
buf.append("accrualSchedule").append('=').append(accrualSchedule).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(paymentSchedule).append(',').append(' ');
buf.append("notionalSchedule").append('=').append(notionalSchedule).append(',').append(' ');
buf.append("calculation").append('=').append(calculation).append(',').append(' ');
buf.append("type").append('=').append(getType()).append(',').append(' ');
buf.append("startDate").append('=').append(getStartDate()).append(',').append(' ');
buf.append("endDate").append('=').append(getEndDate()).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(getCurrency()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RateCalculationSwapLeg}.
*/
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 payReceive} property.
*/
private final MetaProperty<PayReceive> payReceive = DirectMetaProperty.ofImmutable(
this, "payReceive", RateCalculationSwapLeg.class, PayReceive.class);
/**
* The meta-property for the {@code accrualSchedule} property.
*/
private final MetaProperty<PeriodicSchedule> accrualSchedule = DirectMetaProperty.ofImmutable(
this, "accrualSchedule", RateCalculationSwapLeg.class, PeriodicSchedule.class);
/**
* The meta-property for the {@code paymentSchedule} property.
*/
private final MetaProperty<PaymentSchedule> paymentSchedule = DirectMetaProperty.ofImmutable(
this, "paymentSchedule", RateCalculationSwapLeg.class, PaymentSchedule.class);
/**
* The meta-property for the {@code notionalSchedule} property.
*/
private final MetaProperty<NotionalSchedule> notionalSchedule = DirectMetaProperty.ofImmutable(
this, "notionalSchedule", RateCalculationSwapLeg.class, NotionalSchedule.class);
/**
* The meta-property for the {@code calculation} property.
*/
private final MetaProperty<RateCalculation> calculation = DirectMetaProperty.ofImmutable(
this, "calculation", RateCalculationSwapLeg.class, RateCalculation.class);
/**
* The meta-property for the {@code type} property.
*/
private final MetaProperty<SwapLegType> type = DirectMetaProperty.ofDerived(
this, "type", RateCalculationSwapLeg.class, SwapLegType.class);
/**
* The meta-property for the {@code startDate} property.
*/
private final MetaProperty<AdjustableDate> startDate = DirectMetaProperty.ofDerived(
this, "startDate", RateCalculationSwapLeg.class, AdjustableDate.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty<AdjustableDate> endDate = DirectMetaProperty.ofDerived(
this, "endDate", RateCalculationSwapLeg.class, AdjustableDate.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty<Currency> currency = DirectMetaProperty.ofDerived(
this, "currency", RateCalculationSwapLeg.class, Currency.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"payReceive",
"accrualSchedule",
"paymentSchedule",
"notionalSchedule",
"calculation",
"type",
"startDate",
"endDate",
"currency");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case 304659814: // accrualSchedule
return accrualSchedule;
case -1499086147: // paymentSchedule
return paymentSchedule;
case 1447860727: // notionalSchedule
return notionalSchedule;
case -934682935: // calculation
return calculation;
case 3575610: // type
return type;
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case 575402001: // currency
return currency;
}
return super.metaPropertyGet(propertyName);
}
@Override
public RateCalculationSwapLeg.Builder builder() {
return new RateCalculationSwapLeg.Builder();
}
@Override
public Class<? extends RateCalculationSwapLeg> beanType() {
return RateCalculationSwapLeg.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code payReceive} property.
* @return the meta-property, not null
*/
public MetaProperty<PayReceive> payReceive() {
return payReceive;
}
/**
* The meta-property for the {@code accrualSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty<PeriodicSchedule> accrualSchedule() {
return accrualSchedule;
}
/**
* The meta-property for the {@code paymentSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty<PaymentSchedule> paymentSchedule() {
return paymentSchedule;
}
/**
* The meta-property for the {@code notionalSchedule} property.
* @return the meta-property, not null
*/
public MetaProperty<NotionalSchedule> notionalSchedule() {
return notionalSchedule;
}
/**
* The meta-property for the {@code calculation} property.
* @return the meta-property, not null
*/
public MetaProperty<RateCalculation> calculation() {
return calculation;
}
/**
* The meta-property for the {@code type} property.
* @return the meta-property, not null
*/
public MetaProperty<SwapLegType> type() {
return type;
}
/**
* The meta-property for the {@code startDate} property.
* @return the meta-property, not null
*/
public MetaProperty<AdjustableDate> startDate() {
return startDate;
}
/**
* The meta-property for the {@code endDate} property.
* @return the meta-property, not null
*/
public MetaProperty<AdjustableDate> endDate() {
return endDate;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty<Currency> currency() {
return currency;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return ((RateCalculationSwapLeg) bean).getPayReceive();
case 304659814: // accrualSchedule
return ((RateCalculationSwapLeg) bean).getAccrualSchedule();
case -1499086147: // paymentSchedule
return ((RateCalculationSwapLeg) bean).getPaymentSchedule();
case 1447860727: // notionalSchedule
return ((RateCalculationSwapLeg) bean).getNotionalSchedule();
case -934682935: // calculation
return ((RateCalculationSwapLeg) bean).getCalculation();
case 3575610: // type
return ((RateCalculationSwapLeg) bean).getType();
case -2129778896: // startDate
return ((RateCalculationSwapLeg) bean).getStartDate();
case -1607727319: // endDate
return ((RateCalculationSwapLeg) bean).getEndDate();
case 575402001: // currency
return ((RateCalculationSwapLeg) bean).getCurrency();
}
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 RateCalculationSwapLeg}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<RateCalculationSwapLeg> {
private PayReceive payReceive;
private PeriodicSchedule accrualSchedule;
private PaymentSchedule paymentSchedule;
private NotionalSchedule notionalSchedule;
private RateCalculation calculation;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(RateCalculationSwapLeg beanToCopy) {
this.payReceive = beanToCopy.getPayReceive();
this.accrualSchedule = beanToCopy.getAccrualSchedule();
this.paymentSchedule = beanToCopy.getPaymentSchedule();
this.notionalSchedule = beanToCopy.getNotionalSchedule();
this.calculation = beanToCopy.getCalculation();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
return payReceive;
case 304659814: // accrualSchedule
return accrualSchedule;
case -1499086147: // paymentSchedule
return paymentSchedule;
case 1447860727: // notionalSchedule
return notionalSchedule;
case -934682935: // calculation
return calculation;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -885469925: // payReceive
this.payReceive = (PayReceive) newValue;
break;
case 304659814: // accrualSchedule
this.accrualSchedule = (PeriodicSchedule) newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule = (PaymentSchedule) newValue;
break;
case 1447860727: // notionalSchedule
this.notionalSchedule = (NotionalSchedule) newValue;
break;
case -934682935: // calculation
this.calculation = (RateCalculation) 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 RateCalculationSwapLeg build() {
return new RateCalculationSwapLeg(
payReceive,
accrualSchedule,
paymentSchedule,
notionalSchedule,
calculation);
}
//-----------------------------------------------------------------------
/**
* Sets whether the leg is pay or receive.
* <p>
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
* @param payReceive the new value, not null
* @return this, for chaining, not null
*/
public Builder payReceive(PayReceive payReceive) {
JodaBeanUtils.notNull(payReceive, "payReceive");
this.payReceive = payReceive;
return this;
}
/**
* Sets the accrual schedule.
* <p>
* This is used to define the accrual periods.
* These are used directly or indirectly to determine other dates in the swap.
* @param accrualSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder accrualSchedule(PeriodicSchedule accrualSchedule) {
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
this.accrualSchedule = accrualSchedule;
return this;
}
/**
* Sets the payment schedule.
* <p>
* This is used to define the payment periods, including any compounding.
* The payment period dates are based on the accrual schedule.
* @param paymentSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder paymentSchedule(PaymentSchedule paymentSchedule) {
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
this.paymentSchedule = paymentSchedule;
return this;
}
/**
* Sets the notional schedule.
* <p>
* The notional amount schedule, which can vary during the lifetime of the swap.
* In most cases, the notional amount is not exchanged, with only the net difference being exchanged.
* However, in certain cases, initial, final or intermediate amounts are exchanged.
* @param notionalSchedule the new value, not null
* @return this, for chaining, not null
*/
public Builder notionalSchedule(NotionalSchedule notionalSchedule) {
JodaBeanUtils.notNull(notionalSchedule, "notionalSchedule");
this.notionalSchedule = notionalSchedule;
return this;
}
/**
* Sets the interest rate accrual calculation.
* <p>
* Different kinds of swap leg are determined by the subclass used here.
* See {@link FixedRateCalculation}, {@link IborRateCalculation} and {@link OvernightRateCalculation}.
* @param calculation the new value, not null
* @return this, for chaining, not null
*/
public Builder calculation(RateCalculation calculation) {
JodaBeanUtils.notNull(calculation, "calculation");
this.calculation = calculation;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("RateCalculationSwapLeg.Builder{");
buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
buf.append("accrualSchedule").append('=').append(JodaBeanUtils.toString(accrualSchedule)).append(',').append(' ');
buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
buf.append("notionalSchedule").append('=').append(JodaBeanUtils.toString(notionalSchedule)).append(',').append(' ');
buf.append("calculation").append('=').append(JodaBeanUtils.toString(calculation));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}