//-------------------------------------------------------------------------
public virtual void test_collectIndices_simple()
{
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_03_30).unadjustedStartDate(DATE_2014_03_30).endDate(DATE_2014_10_01).unadjustedEndDate(DATE_2014_09_30).build();
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of());
}
//-------------------------------------------------------------------------
public virtual void test_adjustPaymentDate()
{
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_01).startDate(DATE_2014_03_30).unadjustedStartDate(DATE_2014_03_30).endDate(DATE_2014_10_01).unadjustedEndDate(DATE_2014_09_30).build();
KnownAmountSwapPaymentPeriod expected = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_03_30).unadjustedStartDate(DATE_2014_03_30).endDate(DATE_2014_10_01).unadjustedEndDate(DATE_2014_09_30).build();
assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d => d.plusDays(0))), test);
assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d => d.plusDays(2))), expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_03_30).unadjustedStartDate(DATE_2014_03_30).endDate(DATE_2014_10_01).unadjustedEndDate(DATE_2014_09_30).build();
coverImmutableBean(test);
KnownAmountSwapPaymentPeriod test2 = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03.negated()).startDate(DATE_2014_06_30).endDate(DATE_2014_09_30).build();
coverBeanEquals(test, test2);
}
public virtual void test_builder_defaultDates()
{
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_03_30).endDate(DATE_2014_10_01).build();
assertEquals(test.Payment, PAYMENT_2014_10_03);
assertEquals(test.StartDate, DATE_2014_03_30);
assertEquals(test.UnadjustedStartDate, DATE_2014_03_30);
assertEquals(test.EndDate, DATE_2014_10_01);
assertEquals(test.UnadjustedEndDate, DATE_2014_10_01);
assertEquals(test.PaymentDate, DATE_2014_10_03);
assertEquals(test.Currency, GBP);
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
// test case
KnownAmountSwapLeg test = KnownAmountSwapLeg.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()).amount(ValueSchedule.builder().initialValue(123d).steps(ValueStep.of(1, ValueAdjustment.ofReplace(234d))).build()).currency(GBP).build();
// expected
KnownAmountSwapPaymentPeriod rpp1 = KnownAmountSwapPaymentPeriod.builder().payment(Payment.ofPay(CurrencyAmount.of(GBP, 123d), DATE_02_07)).startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).build();
KnownAmountSwapPaymentPeriod rpp2 = KnownAmountSwapPaymentPeriod.builder().payment(Payment.ofPay(CurrencyAmount.of(GBP, 234d), DATE_03_07)).startDate(DATE_02_05).endDate(DATE_03_05).build();
KnownAmountSwapPaymentPeriod rpp3 = KnownAmountSwapPaymentPeriod.builder().payment(Payment.ofPay(CurrencyAmount.of(GBP, 234d), DATE_04_09)).startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).build());
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
SchedulePeriod sched = SchedulePeriod.of(DATE_2014_03_30, DATE_2014_09_30);
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.of(PAYMENT_2014_10_03, sched);
assertEquals(test.Payment, PAYMENT_2014_10_03);
assertEquals(test.StartDate, DATE_2014_03_30);
assertEquals(test.UnadjustedStartDate, DATE_2014_03_30);
assertEquals(test.EndDate, DATE_2014_09_30);
assertEquals(test.UnadjustedEndDate, DATE_2014_09_30);
assertEquals(test.PaymentDate, DATE_2014_10_03);
assertEquals(test.Currency, GBP);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
KnownAmountSwapPaymentPeriod other = (KnownAmountSwapPaymentPeriod)obj;
return(JodaBeanUtils.equal(payment, other.payment) && JodaBeanUtils.equal(startDate, other.startDate) && JodaBeanUtils.equal(endDate, other.endDate) && JodaBeanUtils.equal(unadjustedStartDate, other.unadjustedStartDate) && JodaBeanUtils.equal(unadjustedEndDate, other.unadjustedEndDate));
}
return(false);
}
public virtual void test_findNotionalKnownAmount()
{
Payment payment = Payment.of(GBP, 1000, LocalDate.of(2011, 3, 8));
SchedulePeriod schedulePeriod = SchedulePeriod.of(LocalDate.of(2010, 3, 8), LocalDate.of(2011, 3, 8));
KnownAmountSwapPaymentPeriod paymentPeriod = KnownAmountSwapPaymentPeriod.of(payment, schedulePeriod);
ResolvedSwapLeg test = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(paymentPeriod).build();
// Date is before the start date
assertEquals(test.findNotional(RPP1.StartDate.minusMonths(1)), null);
// Date is on the start date
assertEquals(test.findNotional(RPP1.StartDate), null);
// Date is after the start date
assertEquals(test.findNotional(RPP1.StartDate.plusDays(1)), null);
// Date is before the end date
assertEquals(test.findNotional(RPP2.EndDate.minusDays(1)), null);
// Date is on the end date
assertEquals(test.findNotional(RPP2.EndDate), null);
// Date is after the end date
assertEquals(test.findNotional(RPP2.EndDate.plusMonths(1)), null);
}
// create the payment period
private IList <SwapPaymentPeriod> createPaymentPeriods(Schedule resolvedPayments, ReferenceData refData)
{
// resolve amount schedule against payment schedule
DoubleArray amounts = amount.resolveValues(resolvedPayments);
// resolve against reference data once
DateAdjuster paymentDateAdjuster = paymentSchedule.PaymentDateOffset.resolve(refData);
// build up payment periods using schedule
ImmutableList.Builder <SwapPaymentPeriod> paymentPeriods = ImmutableList.builder();
for (int index = 0; index < resolvedPayments.size(); index++)
{
SchedulePeriod paymentPeriod = resolvedPayments.getPeriod(index);
LocalDate baseDate = paymentSchedule.PaymentRelativeTo.selectBaseDate(paymentPeriod);
LocalDate paymentDate = paymentDateAdjuster.adjust(baseDate);
double amount = payReceive.normalize(amounts.get(index));
Payment payment = Payment.of(CurrencyAmount.of(currency, amount), paymentDate);
paymentPeriods.add(KnownAmountSwapPaymentPeriod.of(payment, paymentPeriod));
}
return(paymentPeriods.build());
}
public virtual void test_builder_invalid()
{
assertThrowsIllegalArg(() => KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).endDate(DATE_2014_10_01).build());
assertThrowsIllegalArg(() => KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_10_01).build());
assertThrowsIllegalArg(() => KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_10_01).endDate(DATE_2014_10_01).build());
}
public virtual void test_serialization()
{
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.builder().payment(PAYMENT_2014_10_03).startDate(DATE_2014_03_30).unadjustedStartDate(DATE_2014_03_30).endDate(DATE_2014_10_01).unadjustedEndDate(DATE_2014_09_30).build();
assertSerialization(test);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a payment and schedule period.
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="period"> the schedule period </param>
/// <returns> the period </returns>
public static KnownAmountSwapPaymentPeriod of(Payment payment, SchedulePeriod period)
{
return(KnownAmountSwapPaymentPeriod.builder().payment(payment).startDate(period.StartDate).endDate(period.EndDate).unadjustedStartDate(period.UnadjustedStartDate).unadjustedEndDate(period.UnadjustedEndDate).build());
}