//-------------------------------------------------------------------------
// build conventions
private static OvernightIborSwapConvention makeConvention(string name, OvernightIndex onIndex, IborIndex iborIndex, DayCount dayCount, Frequency frequency, int paymentLag, int cutOffDays, OvernightAccrualMethod accrual)
{
HolidayCalendarId calendarOn = onIndex.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendarOn);
return(ImmutableOvernightIborSwapConvention.of(name, OvernightRateSwapLegConvention.builder().index(onIndex).accrualMethod(accrual).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).rateCutOffDays(cutOffDays).build(), IborRateSwapLegConvention.of(iborIndex)));
}
//-------------------------------------------------------------------------
// build conventions
private static FixedOvernightSwapConvention makeConvention(string name, OvernightIndex index, DayCount dayCount, Frequency frequency, int paymentLag, int spotLag)
{
HolidayCalendarId calendar = index.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendar);
DaysAdjustment spotDateOffset = DaysAdjustment.ofBusinessDays(spotLag, calendar);
return(ImmutableFixedOvernightSwapConvention.of(name, FixedRateSwapLegConvention.builder().currency(index.Currency).dayCount(dayCount).accrualFrequency(frequency).accrualBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, calendar)).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), OvernightRateSwapLegConvention.builder().index(index).accrualMethod(COMPOUNDED).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), spotDateOffset));
}
public virtual PointSensitivityBuilder rateSensitivity(OvernightAveragedDailyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndex index = computation.Index;
OvernightIndexRates rates = provider.overnightIndexRates(index);
LocalDate lastFixingDate = computation.EndDate;
PointSensitivityBuilder pointSensitivityBuilder = PointSensitivityBuilder.none();
int numberOfDays = 0;
LocalDate currentFixingDate = computation.StartDate;
while (!currentFixingDate.isAfter(lastFixingDate))
{
LocalDate referenceFixingDate = computation.FixingCalendar.previousOrSame(currentFixingDate);
OvernightIndexObservation indexObs = computation.observeOn(referenceFixingDate);
PointSensitivityBuilder forwardRateSensitivity = rates.ratePointSensitivity(indexObs);
pointSensitivityBuilder = pointSensitivityBuilder.combinedWith(forwardRateSensitivity);
numberOfDays++;
currentFixingDate = currentFixingDate.plusDays(1);
}
return(pointSensitivityBuilder.multipliedBy(1d / numberOfDays));
}
//-------------------------------------------------------------------------
public virtual double rate(OvernightAveragedDailyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndex index = computation.Index;
OvernightIndexRates rates = provider.overnightIndexRates(index);
LocalDate lastFixingDate = computation.EndDate;
double interestSum = 0d;
int numberOfDays = 0;
LocalDate currentFixingDate = computation.StartDate;
while (!currentFixingDate.isAfter(lastFixingDate))
{
LocalDate referenceFixingDate = computation.FixingCalendar.previousOrSame(currentFixingDate);
OvernightIndexObservation indexObs = computation.observeOn(referenceFixingDate);
double forwardRate = rates.rate(indexObs);
interestSum += forwardRate;
numberOfDays++;
currentFixingDate = currentFixingDate.plusDays(1);
}
return(interestSum / numberOfDays);
}
//-------------------------------------------------------------------------
public virtual double rate(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
OvernightIndex index = computation.Index;
OvernightIndexRates rates = provider.overnightIndexRates(index);
LocalDate lastNonCutoffFixing = computation.EndDate;
int cutoffOffset = computation.RateCutOffDays > 1 ? computation.RateCutOffDays : 1;
double accumulatedInterest = 0.0d;
double accrualFactorTotal = 0.0d;
// Cut-off period. Starting from the end as the cutoff period is defined as a lag from the end.
// When the fixing period end-date is not a good business day in the index calendar,
// the last fixing end date will be after the fixing end-date.
double cutoffAccrualFactor = 0.0;
OvernightIndexObservation lastIndexObs = null;
// cutoffOffset >= 1, so loop always runs at least once
for (int i = 0; i < cutoffOffset; i++)
{
lastNonCutoffFixing = computation.FixingCalendar.previous(lastNonCutoffFixing);
lastIndexObs = computation.observeOn(lastNonCutoffFixing);
accrualFactorTotal += lastIndexObs.YearFraction;
cutoffAccrualFactor += lastIndexObs.YearFraction;
}
double forwardRateCutOff = rates.rate(lastIndexObs);
accumulatedInterest += cutoffAccrualFactor * forwardRateCutOff;
LocalDate currentFixingNonCutoff = computation.StartDate;
while (currentFixingNonCutoff.isBefore(lastNonCutoffFixing))
{
// All dates involved in the period are computed. Potentially slow.
// The fixing periods are added as long as their start date is (strictly) before the no cutoff period end-date.
OvernightIndexObservation indexObs = computation.observeOn(currentFixingNonCutoff);
double forwardRate = rates.rate(indexObs);
accrualFactorTotal += indexObs.YearFraction;
accumulatedInterest += indexObs.YearFraction * forwardRate;
currentFixingNonCutoff = computation.FixingCalendar.next(currentFixingNonCutoff);
}
// final rate
return(accumulatedInterest / accrualFactorTotal);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "onLeg") public void test_float_leg(OvernightIborSwapConvention convention, com.opengamma.strata.basics.index.OvernightIndex floatLeg)
public virtual void test_float_leg(OvernightIborSwapConvention convention, OvernightIndex floatLeg)
{
assertEquals(convention.OvernightLeg.Index, floatLeg);
}
//-------------------------------------------------------------------------
public virtual OvernightIndexRates overnightIndexRates(OvernightIndex index)
{
throw new System.NotSupportedException();
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "floatLeg") public void test_float_leg(FixedOvernightSwapConvention convention, com.opengamma.strata.basics.index.OvernightIndex floatLeg)
public virtual void test_float_leg(FixedOvernightSwapConvention convention, OvernightIndex floatLeg)
{
assertEquals(convention.FloatingLeg.Index, floatLeg);
}
