/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.sesame;
import static com.opengamma.sesame.TimeSeriesReturnConverterFactory.ConversionType;
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.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.financial.timeseries.util.TimeSeriesRelativeWeightedDifferenceOperator;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesWeightedVolatilityOperator;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
* Produces a volatility weighted return series from a spot rate series
* using a fixed lambda value.
*/
@BeanDefinition
public final class VolatilityWeightedReturnConverter implements TimeSeriesReturnConverter, ImmutableBean {
private static final TimeSeriesRelativeWeightedDifferenceOperator RELATIVE_WEIGHTED_DIFFERENCE =
new TimeSeriesRelativeWeightedDifferenceOperator();
@PropertyDefinition(validate = "notNull")
private final ConversionType _conversionType;
@PropertyDefinition
private final double _lambda;
private final TimeSeriesWeightedVolatilityOperator _weightedVolatilityOperator;
/**
* Constructor with the desired difference operator.
*
* @param conversionType the type of conversion to be done, not null
* @param lambda the lambda value to be used for the weighting, not null
*/
@ImmutableConstructor
public VolatilityWeightedReturnConverter(ConversionType conversionType, double lambda) {
_conversionType = ArgumentChecker.notNull(conversionType, "conversionType");
_lambda = lambda;
_weightedVolatilityOperator = conversionType == ConversionType.ABSOLUTE ?
TimeSeriesWeightedVolatilityOperator.absolute(_lambda) :
TimeSeriesWeightedVolatilityOperator.relative(_lambda);
}
@Override
public LocalDateDoubleTimeSeries convert(LocalDateDoubleTimeSeries spotSeries) {
LocalDateDoubleTimeSeries weightedVolSeries =
(LocalDateDoubleTimeSeries) _weightedVolatilityOperator.evaluate(spotSeries);
return (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE.evaluate(spotSeries, weightedVolSeries);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code VolatilityWeightedReturnConverter}.
* @return the meta-bean, not null
*/
public static VolatilityWeightedReturnConverter.Meta meta() {
return VolatilityWeightedReturnConverter.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(VolatilityWeightedReturnConverter.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static VolatilityWeightedReturnConverter.Builder builder() {
return new VolatilityWeightedReturnConverter.Builder();
}
@Override
public VolatilityWeightedReturnConverter.Meta metaBean() {
return VolatilityWeightedReturnConverter.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 conversionType.
* @return the value of the property, not null
*/
public ConversionType getConversionType() {
return _conversionType;
}
//-----------------------------------------------------------------------
/**
* Gets the lambda.
* @return the value of the property
*/
public double getLambda() {
return _lambda;
}
//-----------------------------------------------------------------------
/**
* 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()) {
VolatilityWeightedReturnConverter other = (VolatilityWeightedReturnConverter) obj;
return JodaBeanUtils.equal(getConversionType(), other.getConversionType()) &&
JodaBeanUtils.equal(getLambda(), other.getLambda());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getConversionType());
hash = hash * 31 + JodaBeanUtils.hashCode(getLambda());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("VolatilityWeightedReturnConverter{");
buf.append("conversionType").append('=').append(getConversionType()).append(',').append(' ');
buf.append("lambda").append('=').append(JodaBeanUtils.toString(getLambda()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code VolatilityWeightedReturnConverter}.
*/
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 conversionType} property.
*/
private final MetaProperty<ConversionType> _conversionType = DirectMetaProperty.ofImmutable(
this, "conversionType", VolatilityWeightedReturnConverter.class, ConversionType.class);
/**
* The meta-property for the {@code lambda} property.
*/
private final MetaProperty<Double> _lambda = DirectMetaProperty.ofImmutable(
this, "lambda", VolatilityWeightedReturnConverter.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"conversionType",
"lambda");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 989646192: // conversionType
return _conversionType;
case -1110092857: // lambda
return _lambda;
}
return super.metaPropertyGet(propertyName);
}
@Override
public VolatilityWeightedReturnConverter.Builder builder() {
return new VolatilityWeightedReturnConverter.Builder();
}
@Override
public Class<? extends VolatilityWeightedReturnConverter> beanType() {
return VolatilityWeightedReturnConverter.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return _metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code conversionType} property.
* @return the meta-property, not null
*/
public MetaProperty<ConversionType> conversionType() {
return _conversionType;
}
/**
* The meta-property for the {@code lambda} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> lambda() {
return _lambda;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 989646192: // conversionType
return ((VolatilityWeightedReturnConverter) bean).getConversionType();
case -1110092857: // lambda
return ((VolatilityWeightedReturnConverter) bean).getLambda();
}
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 VolatilityWeightedReturnConverter}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<VolatilityWeightedReturnConverter> {
private ConversionType _conversionType;
private double _lambda;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(VolatilityWeightedReturnConverter beanToCopy) {
this._conversionType = beanToCopy.getConversionType();
this._lambda = beanToCopy.getLambda();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 989646192: // conversionType
return _conversionType;
case -1110092857: // lambda
return _lambda;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 989646192: // conversionType
this._conversionType = (ConversionType) newValue;
break;
case -1110092857: // lambda
this._lambda = (Double) 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 VolatilityWeightedReturnConverter build() {
return new VolatilityWeightedReturnConverter(
_conversionType,
_lambda);
}
//-----------------------------------------------------------------------
/**
* Sets the {@code conversionType} property in the builder.
* @param conversionType the new value, not null
* @return this, for chaining, not null
*/
public Builder conversionType(ConversionType conversionType) {
JodaBeanUtils.notNull(conversionType, "conversionType");
this._conversionType = conversionType;
return this;
}
/**
* Sets the {@code lambda} property in the builder.
* @param lambda the new value
* @return this, for chaining, not null
*/
public Builder lambda(double lambda) {
this._lambda = lambda;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("VolatilityWeightedReturnConverter.Builder{");
buf.append("conversionType").append('=').append(JodaBeanUtils.toString(_conversionType)).append(',').append(' ');
buf.append("lambda").append('=').append(JodaBeanUtils.toString(_lambda));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}