public virtual void test_resolve_beforeEnd_weekend()
{
FxResetCalculation @base = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).fixingRelativeTo(FxResetFixingRelativeTo.PERIOD_END).build();
Optional <FxReset> test = @base.resolve(REF_DATA).apply(0, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertEquals(test, FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, date(2014, 6, 26), REF_DATA), GBP));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
case -449555555: // fxReset
this.fxReset_Renamed = (FxResetCalculation)newValue;
break;
case -1413853096: // amount
this.amount_Renamed = (ValueSchedule)newValue;
break;
case -511982201: // initialExchange
this.initialExchange_Renamed = (bool?)newValue.Value;
break;
case -2147112388: // intermediateExchange
this.intermediateExchange_Renamed = (bool?)newValue.Value;
break;
case -1048781383: // finalExchange
this.finalExchange_Renamed = (bool?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_resolve_beforeStart_threeDays()
{
FxResetCalculation @base = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_THREE_DAYS).build();
Optional <FxReset> test = @base.resolve(REF_DATA).apply(0, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertEquals(test, FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, date(2014, 3, 26), REF_DATA), GBP));
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(NotionalSchedule beanToCopy)
{
this.currency_Renamed = beanToCopy.Currency;
this.fxReset_Renamed = beanToCopy.fxReset;
this.amount_Renamed = beanToCopy.Amount;
this.initialExchange_Renamed = beanToCopy.InitialExchange;
this.intermediateExchange_Renamed = beanToCopy.IntermediateExchange;
this.finalExchange_Renamed = beanToCopy.FinalExchange;
}
public virtual void test_builder_defaults()
{
FxResetCalculation test = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).build();
assertEquals(test.Index, EUR_GBP_ECB);
assertEquals(test.ReferenceCurrency, GBP);
assertEquals(test.FixingDateOffset, EUR_GBP_ECB.FixingDateOffset);
assertEquals(test.FixingRelativeTo, FxResetFixingRelativeTo.PERIOD_START);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxResetCalculation test = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).build();
coverImmutableBean(test);
FxResetCalculation test2 = FxResetCalculation.builder().index(EUR_USD_ECB).referenceCurrency(Currency.EUR).fixingDateOffset(MINUS_THREE_DAYS).fixingRelativeTo(FxResetFixingRelativeTo.PERIOD_END).build();
coverBeanEquals(test, test2);
}
public virtual void test_resolve_initial_notional_override()
{
FxResetCalculation @base = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).initialNotionalValue(100000d).build();
Optional <FxReset> fxResetFirstPeriod = @base.resolve(REF_DATA).apply(0, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertFalse(fxResetFirstPeriod.Present);
Optional <FxReset> fxResetSecondPeriod = @base.resolve(REF_DATA).apply(1, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertTrue(fxResetSecondPeriod.Present);
}
private NotionalSchedule(Currency currency, FxResetCalculation fxReset, ValueSchedule amount, bool initialExchange, bool intermediateExchange, bool finalExchange)
{
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(amount, "amount");
this.currency = currency;
this.fxReset = fxReset;
this.amount = amount;
this.initialExchange = initialExchange;
this.intermediateExchange = intermediateExchange;
this.finalExchange = finalExchange;
validate();
}
public virtual void test_builder_FxResetSetsFlags()
{
FxResetCalculation fxReset = FxResetCalculation.builder().referenceCurrency(GBP).index(GBP_USD_WM).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build();
NotionalSchedule test = NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(2000d)).intermediateExchange(true).finalExchange(true).fxReset(fxReset).build();
assertEquals(test.Currency, USD);
assertEquals(test.Amount, ValueSchedule.of(2000d));
assertEquals(test.FxReset, fxReset);
assertEquals(test.InitialExchange, false);
assertEquals(test.IntermediateExchange, true);
assertEquals(test.FinalExchange, true);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FxResetCalculation other = (FxResetCalculation)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(referenceCurrency, other.referenceCurrency) && JodaBeanUtils.equal(fixingRelativeTo, other.fixingRelativeTo) && JodaBeanUtils.equal(fixingDateOffset, other.fixingDateOffset) && JodaBeanUtils.equal(initialNotionalValue, other.initialNotionalValue));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
NotionalSchedule test = NotionalSchedule.of(GBP, 1000d);
coverImmutableBean(test);
NotionalSchedule test2 = NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(2000d)).fxReset(FxResetCalculation.builder().referenceCurrency(GBP).index(GBP_USD_WM).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build()).initialExchange(true).intermediateExchange(true).finalExchange(true).build();
coverBeanEquals(test, test2);
}
/// <summary>
/// Sets the FX reset definition, optional.
/// <para>
/// This property is used when the defined amount of the notional is specified in
/// a currency other than the currency of the swap leg. When this occurs, the notional
/// amount has to be converted using an FX rate to the swap leg currency. This conversion
/// occurs at each payment period boundary and usually corresponds to an actual
/// exchange of money between the counterparties.
/// </para>
/// <para>
/// When building the notional schedule, if an {@code FxResetCalculation} is present,
/// then at least one of the notional exchange flags should be set to true. If all notional
/// exchange flags are false then an IllegalArgumentException is thrown.
/// </para>
/// </summary>
/// <param name="fxReset"> the new value </param>
/// <returns> this, for chaining, not null </returns>
public Builder fxReset(FxResetCalculation fxReset)
{
this.fxReset_Renamed = fxReset;
return(this);
}
//-------------------------------------------------------------------------
public virtual void test_resolve_oneAccrualPerPayment_fxReset()
{
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d)).fxReset(FxResetCalculation.builder().referenceCurrency(EUR).index(EUR_GBP_ECB).fixingDateOffset(MINUS_TWO_DAYS).build()).initialExchange(true).intermediateExchange(true).finalExchange(true).build()).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_02_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).yearFraction(ACT_365F.yearFraction(DATE_01_06, DATE_02_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA), EUR)).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA), EUR)).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_04_09).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_07)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA), EUR)).build();
FxResetNotionalExchange ne1a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_01_06, FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA));
FxResetNotionalExchange ne1b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_02_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA));
FxResetNotionalExchange ne2a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_02_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA));
FxResetNotionalExchange ne2b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_03_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA));
FxResetNotionalExchange ne3a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_03_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA));
FxResetNotionalExchange ne3b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_04_09, FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA));
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).paymentEvents(ne1a, ne1b, ne2a, ne2b, ne3a, ne3b).build());
}
public virtual void test_invalidCurrency()
{
assertThrowsIllegalArg(() => FxResetCalculation.builder().index(EUR_USD_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).build());
}
public virtual void test_serialization()
{
FxResetCalculation test = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).build();
assertSerialization(test);
}
public virtual void test_builder_invalidCurrencyFxReset()
{
assertThrowsIllegalArg(() => NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(2000d)).fxReset(FxResetCalculation.builder().referenceCurrency(USD).index(GBP_USD_WM).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build()).build());
assertThrowsIllegalArg(() => NotionalSchedule.builder().currency(EUR).amount(ValueSchedule.of(2000d)).fxReset(FxResetCalculation.builder().referenceCurrency(USD).index(GBP_USD_WM).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build()).build());
}
public virtual void test_collectIndices_fxReset()
{
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d)).finalExchange(true).fxReset(FxResetCalculation.builder().referenceCurrency(EUR).index(EUR_GBP_ECB).fixingDateOffset(MINUS_TWO_DAYS).build()).build()).calculation(IborRateCalculation.builder().dayCount(DayCounts.ACT_365F).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).build()).build();
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_3M, EUR_GBP_ECB));
assertEquals(test.allIndices(), ImmutableSet.of(GBP_LIBOR_3M, EUR_GBP_ECB));
assertEquals(test.allCurrencies(), ImmutableSet.of(GBP, EUR));
}
