/** * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.sesame.marketdata.scenarios; 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.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.analytics.ShiftType; /** * Perturbation that applies a shift to an FX rate. * <p> * Shifts can be absolute or relative. An absolute shift adds the shift amount to the rate. Relative shifts * are defined in terms of how much to increase or decrease the rate by. e.g. a 10% shift multiplies the rate * by 1.1, a -20% shift multiplies the rate by 0.8. So for relative shifts the shifted * rate is {@code (rate x (1 + shiftAmount))}. * <p> * Inverse rates are handled correctly if the * {@link CurrencyPairMatchDetails match details} indicate the matching rate was the inverse of the rate for which * the filter was defined. */ @BeanDefinition public final class FxRateShift implements Perturbation, ImmutableBean { /** The amount of the shift. */ @PropertyDefinition private final double _shiftAmount; /** The type of shift. */ @PropertyDefinition(validate = "notNull") private final ShiftType _shiftType; /** * Creates an absolute shift. The shift amount is added to the underlying FX rate. * * @param shiftAmount the amount added to the underlying FX rate * @return a shift that adds the {@code shiftAmount} to the underlying FX rate */ public static FxRateShift absolute(double shiftAmount) { return new FxRateShift(shiftAmount, ShiftType.ABSOLUTE); } /** * Creates a relative shift that scales the underlying FX rate. * <p> * Relative shifts are defined in terms of how much to increase or decrease the rate by. e.g. a 10% shift (0.1) * multiplies the rate by 1.1, a -20% shift (-0.2) multiplies the rate by 0.8. So for relative shifts the shifted * rate is {@code (rate x (1 + shiftAmount))}. * * @param shiftAmount the amount to scale the rate by * @return a shift that scales the underlying FX rate by the {@code shiftAmount} */ public static FxRateShift relative(double shiftAmount) { return new FxRateShift(shiftAmount, ShiftType.RELATIVE); } @Override public Object apply(Object marketData, MatchDetails matchDetails) { double rate = (double) marketData; CurrencyPairMatchDetails pairMatchDetails = (CurrencyPairMatchDetails) matchDetails; if (pairMatchDetails.isInverse()) { return 1 / _shiftType.applyShift(1 / rate, _shiftAmount); } else { return _shiftType.applyShift(rate, _shiftAmount); } } @Override public Class<Double> getMarketDataType() { return Double.class; } @Override public Class<? extends MatchDetails> getMatchDetailsType() { return CurrencyPairMatchDetails.class; } @Override public PerturbationTarget getTargetType() { return PerturbationTarget.INPUT; } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code FxRateShift}. * @return the meta-bean, not null */ public static FxRateShift.Meta meta() { return FxRateShift.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(FxRateShift.Meta.INSTANCE); } /** * Returns a builder used to create an instance of the bean. * @return the builder, not null */ public static FxRateShift.Builder builder() { return new FxRateShift.Builder(); } private FxRateShift( double shiftAmount, ShiftType shiftType) { JodaBeanUtils.notNull(shiftType, "shiftType"); this._shiftAmount = shiftAmount; this._shiftType = shiftType; } @Override public FxRateShift.Meta metaBean() { return FxRateShift.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 amount of the shift. * @return the value of the property */ public double getShiftAmount() { return _shiftAmount; } //----------------------------------------------------------------------- /** * Gets the type of shift. * @return the value of the property, not null */ public ShiftType getShiftType() { return _shiftType; } //----------------------------------------------------------------------- /** * 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()) { FxRateShift other = (FxRateShift) obj; return JodaBeanUtils.equal(getShiftAmount(), other.getShiftAmount()) && JodaBeanUtils.equal(getShiftType(), other.getShiftType()); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(getShiftAmount()); hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType()); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(96); buf.append("FxRateShift{"); buf.append("shiftAmount").append('=').append(getShiftAmount()).append(',').append(' '); buf.append("shiftType").append('=').append(JodaBeanUtils.toString(getShiftType())); buf.append('}'); return buf.toString(); } //----------------------------------------------------------------------- /** * The meta-bean for {@code FxRateShift}. */ 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 shiftAmount} property. */ private final MetaProperty<Double> _shiftAmount = DirectMetaProperty.ofImmutable( this, "shiftAmount", FxRateShift.class, Double.TYPE); /** * The meta-property for the {@code shiftType} property. */ private final MetaProperty<ShiftType> _shiftType = DirectMetaProperty.ofImmutable( this, "shiftType", FxRateShift.class, ShiftType.class); /** * The meta-properties. */ private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap( this, null, "shiftAmount", "shiftType"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty<?> metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case -1043480710: // shiftAmount return _shiftAmount; case 893345500: // shiftType return _shiftType; } return super.metaPropertyGet(propertyName); } @Override public FxRateShift.Builder builder() { return new FxRateShift.Builder(); } @Override public Class<? extends FxRateShift> beanType() { return FxRateShift.class; } @Override public Map<String, MetaProperty<?>> metaPropertyMap() { return _metaPropertyMap$; } //----------------------------------------------------------------------- /** * The meta-property for the {@code shiftAmount} property. * @return the meta-property, not null */ public MetaProperty<Double> shiftAmount() { return _shiftAmount; } /** * The meta-property for the {@code shiftType} property. * @return the meta-property, not null */ public MetaProperty<ShiftType> shiftType() { return _shiftType; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case -1043480710: // shiftAmount return ((FxRateShift) bean).getShiftAmount(); case 893345500: // shiftType return ((FxRateShift) bean).getShiftType(); } 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 FxRateShift}. */ public static final class Builder extends DirectFieldsBeanBuilder<FxRateShift> { private double _shiftAmount; private ShiftType _shiftType; /** * Restricted constructor. */ private Builder() { } /** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(FxRateShift beanToCopy) { this._shiftAmount = beanToCopy.getShiftAmount(); this._shiftType = beanToCopy.getShiftType(); } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case -1043480710: // shiftAmount return _shiftAmount; case 893345500: // shiftType return _shiftType; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case -1043480710: // shiftAmount this._shiftAmount = (Double) newValue; break; case 893345500: // shiftType this._shiftType = (ShiftType) 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 FxRateShift build() { return new FxRateShift( _shiftAmount, _shiftType); } //----------------------------------------------------------------------- /** * Sets the {@code shiftAmount} property in the builder. * @param shiftAmount the new value * @return this, for chaining, not null */ public Builder shiftAmount(double shiftAmount) { this._shiftAmount = shiftAmount; return this; } /** * Sets the {@code shiftType} property in the builder. * @param shiftType the new value, not null * @return this, for chaining, not null */ public Builder shiftType(ShiftType shiftType) { JodaBeanUtils.notNull(shiftType, "shiftType"); this._shiftType = shiftType; return this; } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(96); buf.append("FxRateShift.Builder{"); buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(_shiftAmount)).append(',').append(' '); buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)); buf.append('}'); return buf.toString(); } } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }