//-------------------------------------------------------------------------
public virtual void coverage()
{
IborRateSensitivity test = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
coverImmutableBean(test);
IborRateSensitivity test2 = IborRateSensitivity.of(IborIndexObservation.of(USD_LIBOR_3M, DATE2, REF_DATA), USD, 16d);
coverBeanEquals(test, test2);
}
public virtual double rate(IborIndexObservation observation)
{
LocalDate fixingDate = observation.FixingDate;
if (fixingDate.Equals(valuationDate) && fixings.containsDate(fixingDate))
{
return(fixings.get(fixingDate).Value);
}
return(rates.get(fixingDate).Value);
}
//-------------------------------------------------------------------------
public virtual double rate(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
IborIndexObservation obs1 = computation.ShortObservation;
IborIndexObservation obs2 = computation.LongObservation;
IborIndexRates rates1 = provider.iborIndexRates(obs1.Index);
IborIndexRates rates2 = provider.iborIndexRates(obs2.Index);
double rate1 = rates1.rate(obs1);
double rate2 = rates2.rate(obs2);
DoublesPair weights = this.weights(obs1, obs2, endDate);
return(((rate1 * weights.First) + (rate2 * weights.Second)) / (weights.First + weights.Second));
}
// computes the weights related to the two indices
private DoublesPair weights(IborIndexObservation obs1, IborIndexObservation obs2, LocalDate endDate)
{
// weights: linear interpolation on the number of days between the fixing date and the maturity dates of the
// actual coupons on one side and the maturity dates of the underlying deposit on the other side.
long fixingEpochDay = obs1.FixingDate.toEpochDay();
double days1 = obs1.MaturityDate.toEpochDay() - fixingEpochDay;
double days2 = obs2.MaturityDate.toEpochDay() - fixingEpochDay;
double daysN = endDate.toEpochDay() - fixingEpochDay;
double weight1 = (days2 - daysN) / (days2 - days1);
double weight2 = (daysN - days1) / (days2 - days1);
return(DoublesPair.of(weight1, weight2));
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
IborRateComputation test = IborRateComputation.of(USD_LIBOR_3M, date(2016, 2, 18), REF_DATA);
IborIndexObservation obs = IborIndexObservation.of(USD_LIBOR_3M, date(2016, 2, 18), REF_DATA);
IborRateComputation expected = IborRateComputation.of(obs);
assertEquals(test, expected);
assertEquals(test.Currency, USD);
assertEquals(test.Index, obs.Index);
assertEquals(test.FixingDate, obs.FixingDate);
assertEquals(test.EffectiveDate, obs.EffectiveDate);
assertEquals(test.MaturityDate, obs.MaturityDate);
assertEquals(test.YearFraction, obs.YearFraction);
}
public virtual double explainRate(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)
{
IborIndexObservation obs1 = computation.ShortObservation;
IborIndexObservation obs2 = computation.LongObservation;
DoublesPair weights = this.weights(obs1, obs2, endDate);
IborIndexRates rates1 = provider.iborIndexRates(obs1.Index);
IborIndexRates rates2 = provider.iborIndexRates(obs2.Index);
rates1.explainRate(obs1, builder, child => child.put(ExplainKey.WEIGHT, weights.First));
rates2.explainRate(obs2, builder, child => child.put(ExplainKey.WEIGHT, weights.Second));
double rate = this.rate(computation, startDate, endDate, provider);
builder.put(ExplainKey.COMBINED_RATE, rate);
return(rate);
}
public virtual PointSensitivityBuilder rateSensitivity(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
// computes the dates related to the underlying deposits associated to the indices
IborIndexObservation obs1 = computation.ShortObservation;
IborIndexObservation obs2 = computation.LongObservation;
DoublesPair weights = this.weights(obs1, obs2, endDate);
double totalWeight = weights.First + weights.Second;
IborIndexRates ratesIndex1 = provider.iborIndexRates(obs1.Index);
PointSensitivityBuilder sens1 = ratesIndex1.ratePointSensitivity(obs1).multipliedBy(weights.First / totalWeight);
IborIndexRates ratesIndex2 = provider.iborIndexRates(obs2.Index);
PointSensitivityBuilder sens2 = ratesIndex2.ratePointSensitivity(obs2).multipliedBy(weights.Second / totalWeight);
return(sens1.combinedWith(sens2));
}
public virtual void test_expand_initialStubAndResetPeriods_weighted_firstFixed()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstRegularRate(0.028d).initialStub(IborRateStubCalculation.ofFixedRate(0.030d)).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_02_05, DATE_04_07, DATE_02_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_360, schedule)).rateComputation(FixedRateComputation.of(0.030d)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06, 0.028d), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_360, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
CreditCurveZeroRateSensitivity a1 = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, YEAR_FRACTION, 32d);
CreditCurveZeroRateSensitivity a2 = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, YEAR_FRACTION, 32d);
CreditCurveZeroRateSensitivity b = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, 10d, 32d);
CreditCurveZeroRateSensitivity c = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, USD, YEAR_FRACTION, 32d);
CreditCurveZeroRateSensitivity d = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, USD, YEAR_FRACTION, GBP, 32d);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public virtual void test_compareKey()
{
IssuerCurveZeroRateSensitivity a1 = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
IssuerCurveZeroRateSensitivity a2 = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
IssuerCurveZeroRateSensitivity b = IssuerCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
IssuerCurveZeroRateSensitivity c = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
IssuerCurveZeroRateSensitivity d = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, LegalEntityGroup.of("ISSUER2"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2015, 8, 27), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
public virtual void test_compareKey()
{
RepoCurveZeroRateSensitivity a1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity a2 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity b = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity c = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
RepoCurveZeroRateSensitivity d = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, RepoGroup.of("ISSUER1 BND 3Y"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
public virtual void test_expand_resetPeriods_weighted_firstFixingDateOffset()
{
// only the fixing date of the first reset period is changed, everything else stays the same
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstFixingDateOffset(MINUS_ONE_DAY).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
IborIndexObservation obs1 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_01_03, REF_DATA);
IborIndexObservation obs2 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_02_03, REF_DATA);
IborIndexObservation obs3 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_03_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings1 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs1, DATE_01_06, DATE_02_05), IborAveragedFixing.ofDaysInResetPeriod(obs2, DATE_02_05, DATE_03_05), IborAveragedFixing.ofDaysInResetPeriod(obs3, DATE_03_05, DATE_04_07));
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings1)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}
public virtual PointSensitivityBuilder ratePointSensitivity(IborIndexObservation observation)
{
return(sens);
}
public virtual PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(IborIndexObservation observation)
{
throw new System.NotSupportedException();
}
public virtual double rateIgnoringFixings(IborIndexObservation observation)
{
throw new System.NotSupportedException();
}
