public static Either <Error, Maturity> GetMaturity(this Tenor tenor)
{
var multiplier = (tenor.ToString()[0]) switch
{
'M' => 1D / 12,
_ => 1,
};
var right = int.Parse(tenor.ToString().Substring(1));
return(Maturity.TryCreate(right * multiplier));
}
// writes the rows for a single CurrencyParameterSensitivity
private void write(string reference, CurveSensitivitiesType type, CurveSensitivities curveSens, CurrencyParameterSensitivity paramSens, IList <string> additionalHeaders, bool containsDates, CsvOutput csv)
{
IList <string> additionalCells = supplier.values(additionalHeaders, curveSens, paramSens);
for (int i = 0; i < paramSens.ParameterCount; i++)
{
ParameterMetadata pmd = paramSens.getParameterMetadata(i);
Tenor tenor = ((TenoredParameterMetadata)pmd).Tenor;
double value = paramSens.Sensitivity.get(i);
csv.writeCell(reference);
csv.writeCell(type.Name);
csv.writeCell(tenor.ToString());
if (containsDates)
{
csv.writeCell(pmd is DatedParameterMetadata ? ((DatedParameterMetadata)pmd).Date.ToString() : "");
}
csv.writeCell(paramSens.Currency.Code);
csv.writeCell(decimal.valueOf(value).toPlainString());
csv.writeLine(additionalCells);
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance using the tenor.
/// </summary>
/// <param name="date"> the date associated with the parameter </param>
/// <param name="tenor"> the tenor associated with the parameter </param>
/// <returns> the parameter metadata based on the tenor </returns>
public static TenorDateParameterMetadata of(LocalDate date, Tenor tenor)
{
ArgChecker.notNull(date, "date");
ArgChecker.notNull(tenor, "tenor");
return(new TenorDateParameterMetadata(date, tenor, tenor.ToString()));
}
public virtual void test_swapIndicies()
{
ImmutableMap <string, SwapIndex> mapAll = SwapIndices.ENUM_LOOKUP.lookupAll();
ImmutableList <SwapIndex> indexAll = mapAll.values().asList();
ImmutableList <string> nameAll = mapAll.Keys.asList();
int size = indexAll.size();
for (int i = 0; i < size; ++i)
{
// check no duplication
for (int j = i + 1; j < size; ++j)
{
assertFalse(nameAll.get(i).Equals(nameAll.get(j)));
assertFalse(indexAll.get(i).Equals(indexAll.get(j)));
}
}
foreach (string name in nameAll)
{
SwapIndex index = mapAll.get(name);
assertEquals(SwapIndex.of(name), index);
assertEquals(index.Active, true);
FixedIborSwapTemplate temp = index.Template;
FixedIborSwapConvention conv = temp.Convention;
Tenor tenor = temp.Tenor;
LocalTime time = index.FixingTime;
ZoneId zone = index.FixingZone;
// test consistency between name and template
assertTrue(name.Contains(tenor.ToString()));
if (name.StartsWith("USD", StringComparison.Ordinal))
{
assertTrue(name.Contains("1100") || name.Contains("1500"));
assertTrue(conv.Equals(FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M));
assertTrue(zone.Equals(NEY_YORK));
}
if (name.StartsWith("GBP", StringComparison.Ordinal))
{
assertTrue(name.Contains("1100"));
if (tenor.Equals(Tenor.TENOR_1Y))
{
assertTrue(conv.Equals(FixedIborSwapConventions.GBP_FIXED_1Y_LIBOR_3M));
}
else
{
assertTrue(conv.Equals(FixedIborSwapConventions.GBP_FIXED_6M_LIBOR_6M));
}
assertTrue(zone.Equals(LONDON));
}
if (name.StartsWith("EUR", StringComparison.Ordinal))
{
assertTrue(name.Contains("1100") || name.Contains("1200"));
if (tenor.Equals(Tenor.TENOR_1Y))
{
assertTrue(conv.Equals(FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_3M));
}
else
{
assertTrue(conv.Equals(FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_6M));
}
assertTrue(zone.Equals(FRANKFURT));
}
if (name.Contains("1100"))
{
assertTrue(time.Equals(LocalTime.of(11, 0)));
}
if (name.Contains("1200"))
{
assertTrue(time.Equals(LocalTime.of(12, 0)));
}
if (name.Contains("1500"))
{
assertTrue(time.Equals(LocalTime.of(15, 0)));
}
assertEquals(index.calculateFixingDateTime(date(2015, 6, 30)), date(2015, 6, 30).atTime(time).atZone(zone));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance using the tenor.
/// </summary>
/// <param name="tenor"> the tenor associated with the parameter </param>
/// <returns> the parameter metadata based on the tenor </returns>
public static TenorParameterMetadata of(Tenor tenor)
{
ArgChecker.notNull(tenor, "tenor");
return(new TenorParameterMetadata(tenor, tenor.ToString()));
}