Overnight rate in arrears cap floor pricers (#2680)

* overnight cap product

* tests

* javadoc

* line

* clean

* white spaces

* pricers

* failing test for accrual

* pricers

* test

* spaces

* addressed review comments

* error message

modules/pricer/src/main/java/com/opengamma/strata/pricer/capfloor/OvernightInArrearsCapletFloorletPeriodAmounts.java

@@ -0,0 +1,327 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.pricer.capfloor;
+
+import java.io.Serializable;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Optional;
+
+import org.joda.beans.Bean;
+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.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.ImmutableMap;
+import com.opengamma.strata.product.capfloor.OvernightInArrearsCapletFloorletPeriod;
+
+/**
+ * A map of double values keyed by overnight rate in arrears caplet/floorlet periods.
+ * <p>
+ * The double values should represent the same metric.
+ */
+@BeanDefinition
+public final class OvernightInArrearsCapletFloorletPeriodAmounts
+    implements ImmutableBean, Serializable {
+
+  /**
+   * The map of overnight rate in arrears caplet/floorlet periods to the double amount.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final ImmutableMap<OvernightInArrearsCapletFloorletPeriod, Double> amounts;
+
+  //-------------------------------------------------------------------------
+  /**
+   * Obtains an instance of double amounts.
+   *
+   * @param doubleMap the map of doubles
+   * @return the instance
+   */
+  public static OvernightInArrearsCapletFloorletPeriodAmounts of(
+      Map<OvernightInArrearsCapletFloorletPeriod, Double> doubleMap) {
+
+    return new OvernightInArrearsCapletFloorletPeriodAmounts(doubleMap);
+  }
+
+  /**
+   * Gets a double amount for the provided overnight rate in arrears caplet/floorlet.
+   *
+   * @param period the caplet/floorlet
+   * @return the double amount, empty if missing
+   */
+  public Optional<Double> findAmount(OvernightInArrearsCapletFloorletPeriod period) {
+    return Optional.ofNullable(amounts.get(period));
+  }
+
+  /**
+   * Gets a double amount for the provided overnight rate in arrears caplet/floorlet.
+   *
+   * @param period the caplet/floorlet
+   * @return the double amount
+   * @throws IllegalArgumentException if the period is missing
+   */
+  public double getAmount(OvernightInArrearsCapletFloorletPeriod period) {
+    return findAmount(period).orElseThrow(
+        () -> new IllegalArgumentException("Could not find double amount for " + period));
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapletFloorletPeriodAmounts}.
+   * @return the meta-bean, not null
+   */
+  public static OvernightInArrearsCapletFloorletPeriodAmounts.Meta meta() {
+    return OvernightInArrearsCapletFloorletPeriodAmounts.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(OvernightInArrearsCapletFloorletPeriodAmounts.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 OvernightInArrearsCapletFloorletPeriodAmounts.Builder builder() {
+    return new OvernightInArrearsCapletFloorletPeriodAmounts.Builder();
+  }
+
+  private OvernightInArrearsCapletFloorletPeriodAmounts(
+      Map<OvernightInArrearsCapletFloorletPeriod, Double> amounts) {
+    JodaBeanUtils.notNull(amounts, "amounts");
+    this.amounts = ImmutableMap.copyOf(amounts);
+  }
+
+  @Override
+  public OvernightInArrearsCapletFloorletPeriodAmounts.Meta metaBean() {
+    return OvernightInArrearsCapletFloorletPeriodAmounts.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the map of overnight rate in arrears caplet/floorlet periods to the double amount.
+   * @return the value of the property, not null
+   */
+  public ImmutableMap<OvernightInArrearsCapletFloorletPeriod, Double> getAmounts() {
+    return amounts;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * 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()) {
+      OvernightInArrearsCapletFloorletPeriodAmounts other = (OvernightInArrearsCapletFloorletPeriodAmounts) obj;
+      return JodaBeanUtils.equal(amounts, other.amounts);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(amounts);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(64);
+    buf.append("OvernightInArrearsCapletFloorletPeriodAmounts{");
+    buf.append("amounts").append('=').append(JodaBeanUtils.toString(amounts));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapletFloorletPeriodAmounts}.
+   */
+  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 amounts} property.
+     */
+    @SuppressWarnings({"unchecked", "rawtypes" })
+    private final MetaProperty<ImmutableMap<OvernightInArrearsCapletFloorletPeriod, Double>> amounts = DirectMetaProperty.ofImmutable(
+        this, "amounts", OvernightInArrearsCapletFloorletPeriodAmounts.class, (Class) ImmutableMap.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "amounts");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case -879772901:  // amounts
+          return amounts;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public OvernightInArrearsCapletFloorletPeriodAmounts.Builder builder() {
+      return new OvernightInArrearsCapletFloorletPeriodAmounts.Builder();
+    }
+
+    @Override
+    public Class<? extends OvernightInArrearsCapletFloorletPeriodAmounts> beanType() {
+      return OvernightInArrearsCapletFloorletPeriodAmounts.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code amounts} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ImmutableMap<OvernightInArrearsCapletFloorletPeriod, Double>> amounts() {
+      return amounts;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case -879772901:  // amounts
+          return ((OvernightInArrearsCapletFloorletPeriodAmounts) bean).getAmounts();
+      }
+      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 OvernightInArrearsCapletFloorletPeriodAmounts}.
+   */
+  public static final class Builder extends DirectFieldsBeanBuilder<OvernightInArrearsCapletFloorletPeriodAmounts> {
+
+    private Map<OvernightInArrearsCapletFloorletPeriod, Double> amounts = ImmutableMap.of();
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+    }
+
+    /**
+     * Restricted copy constructor.
+     * @param beanToCopy  the bean to copy from, not null
+     */
+    private Builder(OvernightInArrearsCapletFloorletPeriodAmounts beanToCopy) {
+      this.amounts = beanToCopy.getAmounts();
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case -879772901:  // amounts
+          return amounts;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @SuppressWarnings("unchecked")
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case -879772901:  // amounts
+          this.amounts = (Map<OvernightInArrearsCapletFloorletPeriod, 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 OvernightInArrearsCapletFloorletPeriodAmounts build() {
+      return new OvernightInArrearsCapletFloorletPeriodAmounts(
+          amounts);
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * Sets the map of overnight rate in arrears caplet/floorlet periods to the double amount.
+     * @param amounts  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder amounts(Map<OvernightInArrearsCapletFloorletPeriod, Double> amounts) {
+      JodaBeanUtils.notNull(amounts, "amounts");
+      this.amounts = amounts;
+      return this;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(64);
+      buf.append("OvernightInArrearsCapletFloorletPeriodAmounts.Builder{");
+      buf.append("amounts").append('=').append(JodaBeanUtils.toString(amounts));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}