/** * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.product.swap.type; import java.io.Serializable; import java.time.LocalDate; import java.util.Map; import java.util.NoSuchElementException; import java.util.Optional; 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.date.DaysAdjustment; import com.opengamma.strata.collect.ArgChecker; import com.opengamma.strata.product.TradeInfo; import com.opengamma.strata.product.common.BuySell; import com.opengamma.strata.product.common.PayReceive; import com.opengamma.strata.product.swap.Swap; import com.opengamma.strata.product.swap.SwapLeg; import com.opengamma.strata.product.swap.SwapTrade; /** * A market convention for Fixed-Overnight swap trades. * <p> * This defines the market convention for a Fixed-Overnight single currency swap. * This is often known as an <i>OIS swap</i>, although <i>Fed Fund swaps</i> are also covered. * The convention is formed by combining two swap leg conventions in the same currency. * <p> * The convention is defined by four key dates. * <ul> * <li>Trade date, the date that the trade is agreed * <li>Spot date, the base for date calculations, typically 2 business days after the trade date * <li>Start date, the date on which the interest calculation starts, often the same as the spot date * <li>End date, the date on which the interest calculation ends, typically a number of years after the start date * </ul> */ @BeanDefinition public final class ImmutableOvernightIborSwapConvention implements OvernightIborSwapConvention, ImmutableBean, Serializable { /** * The convention name, such as 'USD-FED-FUND-AA-LIBOR-3M'. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final String name; /** * The market convention of the floating leg. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final OvernightRateSwapLegConvention overnightLeg; /** * The market convention of the floating leg. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final IborRateSwapLegConvention iborLeg; /** * The offset of the spot value date from the trade date. * <p> * The offset is applied to the trade date to find the start date. * A typical value is "plus 2 business days". */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final DaysAdjustment spotDateOffset; //------------------------------------------------------------------------- /** * Obtains a convention based on the specified name and leg conventions. * <p> * The two leg conventions must be in the same currency. * * @param name the unique name of the convention * @param overnightLeg the market convention for the overnight leg * @param iborLeg the market convention for the ibor leg * @param spotDateOffset the offset of the spot value date from the trade date * @return the convention */ public static ImmutableOvernightIborSwapConvention of( String name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg, DaysAdjustment spotDateOffset) { return new ImmutableOvernightIborSwapConvention(name, overnightLeg, iborLeg, spotDateOffset); } //------------------------------------------------------------------------- @ImmutableValidator private void validate() { ArgChecker.isTrue(overnightLeg.getCurrency().equals(iborLeg.getCurrency()), "Conventions must have same currency"); } //------------------------------------------------------------------------- @Override public SwapTrade toTrade( TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread) { Optional<LocalDate> tradeDate = tradeInfo.getTradeDate(); if (tradeDate.isPresent()) { ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate"); } SwapLeg leg1 = overnightLeg.toLeg(startDate, endDate, PayReceive.ofPay(buySell.isBuy()), notional, spread); SwapLeg leg2 = iborLeg.toLeg(startDate, endDate, PayReceive.ofPay(buySell.isSell()), notional); return SwapTrade.builder() .info(tradeInfo) .product(Swap.of(leg1, leg2)) .build(); } //------------------------------------------------------------------------- @Override public String toString() { return getName(); } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code ImmutableOvernightIborSwapConvention}. * @return the meta-bean, not null */ public static ImmutableOvernightIborSwapConvention.Meta meta() { return ImmutableOvernightIborSwapConvention.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(ImmutableOvernightIborSwapConvention.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 ImmutableOvernightIborSwapConvention.Builder builder() { return new ImmutableOvernightIborSwapConvention.Builder(); } private ImmutableOvernightIborSwapConvention( String name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg, DaysAdjustment spotDateOffset) { JodaBeanUtils.notNull(name, "name"); JodaBeanUtils.notNull(overnightLeg, "overnightLeg"); JodaBeanUtils.notNull(iborLeg, "iborLeg"); JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset"); this.name = name; this.overnightLeg = overnightLeg; this.iborLeg = iborLeg; this.spotDateOffset = spotDateOffset; validate(); } @Override public ImmutableOvernightIborSwapConvention.Meta metaBean() { return ImmutableOvernightIborSwapConvention.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 convention name, such as 'USD-FED-FUND-AA-LIBOR-3M'. * @return the value of the property, not null */ @Override public String getName() { return name; } //----------------------------------------------------------------------- /** * Gets the market convention of the floating leg. * @return the value of the property, not null */ @Override public OvernightRateSwapLegConvention getOvernightLeg() { return overnightLeg; } //----------------------------------------------------------------------- /** * Gets the market convention of the floating leg. * @return the value of the property, not null */ @Override public IborRateSwapLegConvention getIborLeg() { return iborLeg; } //----------------------------------------------------------------------- /** * Gets the offset of the spot value date from the trade date. * <p> * The offset is applied to the trade date to find the start date. * A typical value is "plus 2 business days". * @return the value of the property, not null */ @Override public DaysAdjustment getSpotDateOffset() { return spotDateOffset; } //----------------------------------------------------------------------- /** * 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()) { ImmutableOvernightIborSwapConvention other = (ImmutableOvernightIborSwapConvention) obj; return JodaBeanUtils.equal(name, other.name) && JodaBeanUtils.equal(overnightLeg, other.overnightLeg) && JodaBeanUtils.equal(iborLeg, other.iborLeg) && JodaBeanUtils.equal(spotDateOffset, other.spotDateOffset); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(name); hash = hash * 31 + JodaBeanUtils.hashCode(overnightLeg); hash = hash * 31 + JodaBeanUtils.hashCode(iborLeg); hash = hash * 31 + JodaBeanUtils.hashCode(spotDateOffset); return hash; } //----------------------------------------------------------------------- /** * The meta-bean for {@code ImmutableOvernightIborSwapConvention}. */ 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 name} property. */ private final MetaProperty<String> name = DirectMetaProperty.ofImmutable( this, "name", ImmutableOvernightIborSwapConvention.class, String.class); /** * The meta-property for the {@code overnightLeg} property. */ private final MetaProperty<OvernightRateSwapLegConvention> overnightLeg = DirectMetaProperty.ofImmutable( this, "overnightLeg", ImmutableOvernightIborSwapConvention.class, OvernightRateSwapLegConvention.class); /** * The meta-property for the {@code iborLeg} property. */ private final MetaProperty<IborRateSwapLegConvention> iborLeg = DirectMetaProperty.ofImmutable( this, "iborLeg", ImmutableOvernightIborSwapConvention.class, IborRateSwapLegConvention.class); /** * The meta-property for the {@code spotDateOffset} property. */ private final MetaProperty<DaysAdjustment> spotDateOffset = DirectMetaProperty.ofImmutable( this, "spotDateOffset", ImmutableOvernightIborSwapConvention.class, DaysAdjustment.class); /** * The meta-properties. */ private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap( this, null, "name", "overnightLeg", "iborLeg", "spotDateOffset"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty<?> metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case 3373707: // name return name; case 1774606250: // overnightLeg return overnightLeg; case 1610246066: // iborLeg return iborLeg; case 746995843: // spotDateOffset return spotDateOffset; } return super.metaPropertyGet(propertyName); } @Override public ImmutableOvernightIborSwapConvention.Builder builder() { return new ImmutableOvernightIborSwapConvention.Builder(); } @Override public Class<? extends ImmutableOvernightIborSwapConvention> beanType() { return ImmutableOvernightIborSwapConvention.class; } @Override public Map<String, MetaProperty<?>> metaPropertyMap() { return metaPropertyMap$; } //----------------------------------------------------------------------- /** * The meta-property for the {@code name} property. * @return the meta-property, not null */ public MetaProperty<String> name() { return name; } /** * The meta-property for the {@code overnightLeg} property. * @return the meta-property, not null */ public MetaProperty<OvernightRateSwapLegConvention> overnightLeg() { return overnightLeg; } /** * The meta-property for the {@code iborLeg} property. * @return the meta-property, not null */ public MetaProperty<IborRateSwapLegConvention> iborLeg() { return iborLeg; } /** * The meta-property for the {@code spotDateOffset} property. * @return the meta-property, not null */ public MetaProperty<DaysAdjustment> spotDateOffset() { return spotDateOffset; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 3373707: // name return ((ImmutableOvernightIborSwapConvention) bean).getName(); case 1774606250: // overnightLeg return ((ImmutableOvernightIborSwapConvention) bean).getOvernightLeg(); case 1610246066: // iborLeg return ((ImmutableOvernightIborSwapConvention) bean).getIborLeg(); case 746995843: // spotDateOffset return ((ImmutableOvernightIborSwapConvention) bean).getSpotDateOffset(); } 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 ImmutableOvernightIborSwapConvention}. */ public static final class Builder extends DirectFieldsBeanBuilder<ImmutableOvernightIborSwapConvention> { private String name; private OvernightRateSwapLegConvention overnightLeg; private IborRateSwapLegConvention iborLeg; private DaysAdjustment spotDateOffset; /** * Restricted constructor. */ private Builder() { } /** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(ImmutableOvernightIborSwapConvention beanToCopy) { this.name = beanToCopy.getName(); this.overnightLeg = beanToCopy.getOvernightLeg(); this.iborLeg = beanToCopy.getIborLeg(); this.spotDateOffset = beanToCopy.getSpotDateOffset(); } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case 3373707: // name return name; case 1774606250: // overnightLeg return overnightLeg; case 1610246066: // iborLeg return iborLeg; case 746995843: // spotDateOffset return spotDateOffset; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case 3373707: // name this.name = (String) newValue; break; case 1774606250: // overnightLeg this.overnightLeg = (OvernightRateSwapLegConvention) newValue; break; case 1610246066: // iborLeg this.iborLeg = (IborRateSwapLegConvention) newValue; break; case 746995843: // spotDateOffset this.spotDateOffset = (DaysAdjustment) 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 ImmutableOvernightIborSwapConvention build() { return new ImmutableOvernightIborSwapConvention( name, overnightLeg, iborLeg, spotDateOffset); } //----------------------------------------------------------------------- /** * Sets the convention name, such as 'USD-FED-FUND-AA-LIBOR-3M'. * @param name the new value, not null * @return this, for chaining, not null */ public Builder name(String name) { JodaBeanUtils.notNull(name, "name"); this.name = name; return this; } /** * Sets the market convention of the floating leg. * @param overnightLeg the new value, not null * @return this, for chaining, not null */ public Builder overnightLeg(OvernightRateSwapLegConvention overnightLeg) { JodaBeanUtils.notNull(overnightLeg, "overnightLeg"); this.overnightLeg = overnightLeg; return this; } /** * Sets the market convention of the floating leg. * @param iborLeg the new value, not null * @return this, for chaining, not null */ public Builder iborLeg(IborRateSwapLegConvention iborLeg) { JodaBeanUtils.notNull(iborLeg, "iborLeg"); this.iborLeg = iborLeg; return this; } /** * Sets the offset of the spot value date from the trade date. * <p> * The offset is applied to the trade date to find the start date. * A typical value is "plus 2 business days". * @param spotDateOffset the new value, not null * @return this, for chaining, not null */ public Builder spotDateOffset(DaysAdjustment spotDateOffset) { JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset"); this.spotDateOffset = spotDateOffset; return this; } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(160); buf.append("ImmutableOvernightIborSwapConvention.Builder{"); buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' '); buf.append("overnightLeg").append('=').append(JodaBeanUtils.toString(overnightLeg)).append(',').append(' '); buf.append("iborLeg").append('=').append(JodaBeanUtils.toString(iborLeg)).append(',').append(' '); buf.append("spotDateOffset").append('=').append(JodaBeanUtils.toString(spotDateOffset)); buf.append('}'); return buf.toString(); } } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }