Brl conventions

modules/product/src/main/java/com/opengamma/strata/product/rate/FixedOvernightCompoundedAnnualRateComputation.java

@@ -0,0 +1,329 @@
+/*
+ * Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.rate;
+
+import java.io.Serializable;
+import java.util.Map;
+import java.util.NoSuchElementException;
+
+import org.joda.beans.Bean;
+import org.joda.beans.BeanBuilder;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableConstructor;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
+
+import com.google.common.collect.ImmutableSet;
+import com.opengamma.strata.basics.index.Index;
+
+/**
+ * Defines a known annual fixed rate of interest that follows overnight compounding.
+ * <p>
+ * An interest rate that is specified in the contract.
+ * This is typically used in the fixed legs of a Brazilian swap.
+ */
+@BeanDefinition(builderScope = "private")
+public final class FixedOvernightCompoundedAnnualRateComputation
+    implements RateComputation, ImmutableBean, Serializable {
+
+  /**
+   * The fixed rate for overnight compounding.
+   * A 5% rate will be expressed as 0.05.
+   */
+  @PropertyDefinition
+  private final double rate;
+  /**
+   * The accrual factor.
+   */
+  @PropertyDefinition
+  private final double accrualFactor;
+  /**
+   * The calculated simple rate.
+   */
+  private final double simpleRate;  // not a property
+
+  //-------------------------------------------------------------------------
+  /**
+   * Obtains an instance from the rate and accrual factor.
+   * 
+   * @param rate  the fixed rate
+   * @param accrualFactor  the accrual factor
+   * @return the fixed rate computation
+   */
+  public static FixedOvernightCompoundedAnnualRateComputation of(double rate, double accrualFactor) {
+    return new FixedOvernightCompoundedAnnualRateComputation(rate, accrualFactor);
+  }
+
+  //-------------------------------------------------------------------------
+  @ImmutableConstructor
+  private FixedOvernightCompoundedAnnualRateComputation(double rate, double accrualFactor) {
+    this.rate = rate;
+    this.accrualFactor = accrualFactor;
+    this.simpleRate = (Math.pow(1 + rate, accrualFactor) - 1) / accrualFactor;
+  }
+
+  //-------------------------------------------------------------------------
+  /**
+   * Calculates the simple interest rate associated with the compounded rate.
+   * 
+   * @return the simple rate
+   */
+  public double getSimpleRate() {
+    return simpleRate;
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public void collectIndices(ImmutableSet.Builder<Index> builder) {
+    // no indices to add
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code FixedOvernightCompoundedAnnualRateComputation}.
+   * @return the meta-bean, not null
+   */
+  public static FixedOvernightCompoundedAnnualRateComputation.Meta meta() {
+    return FixedOvernightCompoundedAnnualRateComputation.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(FixedOvernightCompoundedAnnualRateComputation.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  @Override
+  public FixedOvernightCompoundedAnnualRateComputation.Meta metaBean() {
+    return FixedOvernightCompoundedAnnualRateComputation.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the fixed rate for overnight compounding.
+   * A 5% rate will be expressed as 0.05.
+   * @return the value of the property
+   */
+  public double getRate() {
+    return rate;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the accrual factor.
+   * @return the value of the property
+   */
+  public double getAccrualFactor() {
+    return accrualFactor;
+  }
+
+  //-----------------------------------------------------------------------
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      FixedOvernightCompoundedAnnualRateComputation other = (FixedOvernightCompoundedAnnualRateComputation) obj;
+      return JodaBeanUtils.equal(rate, other.rate) &&
+          JodaBeanUtils.equal(accrualFactor, other.accrualFactor);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(rate);
+    hash = hash * 31 + JodaBeanUtils.hashCode(accrualFactor);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(96);
+    buf.append("FixedOvernightCompoundedAnnualRateComputation{");
+    buf.append("rate").append('=').append(rate).append(',').append(' ');
+    buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code FixedOvernightCompoundedAnnualRateComputation}.
+   */
+  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 rate} property.
+     */
+    private final MetaProperty<Double> rate = DirectMetaProperty.ofImmutable(
+        this, "rate", FixedOvernightCompoundedAnnualRateComputation.class, Double.TYPE);
+    /**
+     * The meta-property for the {@code accrualFactor} property.
+     */
+    private final MetaProperty<Double> accrualFactor = DirectMetaProperty.ofImmutable(
+        this, "accrualFactor", FixedOvernightCompoundedAnnualRateComputation.class, Double.TYPE);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "rate",
+        "accrualFactor");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 3493088:  // rate
+          return rate;
+        case -1540322338:  // accrualFactor
+          return accrualFactor;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public BeanBuilder<? extends FixedOvernightCompoundedAnnualRateComputation> builder() {
+      return new FixedOvernightCompoundedAnnualRateComputation.Builder();
+    }
+
+    @Override
+    public Class<? extends FixedOvernightCompoundedAnnualRateComputation> beanType() {
+      return FixedOvernightCompoundedAnnualRateComputation.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code rate} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<Double> rate() {
+      return rate;
+    }
+
+    /**
+     * The meta-property for the {@code accrualFactor} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<Double> accrualFactor() {
+      return accrualFactor;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case 3493088:  // rate
+          return ((FixedOvernightCompoundedAnnualRateComputation) bean).getRate();
+        case -1540322338:  // accrualFactor
+          return ((FixedOvernightCompoundedAnnualRateComputation) bean).getAccrualFactor();
+      }
+      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 FixedOvernightCompoundedAnnualRateComputation}.
+   */
+  private static final class Builder extends DirectPrivateBeanBuilder<FixedOvernightCompoundedAnnualRateComputation> {
+
+    private double rate;
+    private double accrualFactor;
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 3493088:  // rate
+          return rate;
+        case -1540322338:  // accrualFactor
+          return accrualFactor;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case 3493088:  // rate
+          this.rate = (Double) newValue;
+          break;
+        case -1540322338:  // accrualFactor
+          this.accrualFactor = (Double) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public FixedOvernightCompoundedAnnualRateComputation build() {
+      return new FixedOvernightCompoundedAnnualRateComputation(
+          rate,
+          accrualFactor);
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(96);
+      buf.append("FixedOvernightCompoundedAnnualRateComputation.Builder{");
+      buf.append("rate").append('=').append(JodaBeanUtils.toString(rate)).append(',').append(' ');
+      buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}