public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (IborFutureTemplate)newValue;
break;
case -938107365: // rateId
this.rateId_Renamed = (QuoteId)newValue;
break;
case 291232890: // additionalSpread
this.additionalSpread_Renamed = (double?)newValue.Value;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case 3076014: // date
this.date_Renamed = (CurveNodeDate)newValue;
break;
case -263699392: // dateOrder
this.dateOrder_Renamed = (CurveNodeDateOrder)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_calculateReferenceDateFromTradeDate()
{
IborFutureTemplate @base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
LocalDate expected = LocalDate.of(2016, 6, 15);
assertEquals(@base.calculateReferenceDateFromTradeDate(date, REF_DATA), expected);
}
public virtual void test_calculateReferenceDateFromTradeDate()
{
IborFutureTemplate @base = IborFutureTemplate.of(MIN_PERIOD, NUMBER, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20); // 2nd Quarterly IMM at least 2 months later from this date
LocalDate expected = LocalDate.of(2016, 6, 15); // 1st is March 2016, 2nd is Jun 2016
assertEquals(@base.calculateReferenceDateFromTradeDate(date, REF_DATA), expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborFutureCurveNode test = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborFutureCurveNode test2 = IborFutureCurveNode.of(IborFutureTemplate.of(PERIOD_TO_START, NUMBER, CONVENTION), QuoteId.of(StandardId.of("OG-Ticker", "Unknown")));
coverBeanEquals(test, test2);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(IborFutureCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.rateId_Renamed = beanToCopy.RateId;
this.additionalSpread_Renamed = beanToCopy.AdditionalSpread;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
IborFutureTemplate @base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
double quantity = 3;
double price = 0.99;
double notional = 100.0;
SecurityId secId = SecurityId.of("OG-Future", "GBP-LIBOR-3M-Jun16");
IborFutureTrade trade = @base.createTrade(date, secId, quantity, notional, price, REF_DATA);
IborFutureTrade expected = CONVENTION.createTrade(date, secId, YEAR_MONTH, quantity, notional, price, REF_DATA);
assertEquals(trade, expected);
}
private IborFutureCurveNode(IborFutureTemplate template, QuoteId rateId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(rateId, "rateId");
JodaBeanUtils.notNull(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.rateId = rateId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
private static CurveNode curveIborFutureCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
Matcher matcher = FUT_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (matcher.matches())
{
Period periodToStart = Period.parse("P" + matcher.group(1));
int sequenceNumber = int.Parse(matcher.group(2));
IborFutureConvention convention = IborFutureConvention.of(conventionStr);
IborFutureTemplate template = IborFutureTemplate.of(periodToStart, sequenceNumber, convention);
return(IborFutureCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
Matcher matcher2 = FUT_MONTH_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (matcher2.matches())
{
YearMonth yearMonth = YearMonth.parse(matcher2.group(1), YM_FORMATTER);
IborFutureConvention convention = IborFutureConvention.of(conventionStr);
IborFutureTemplate template = IborFutureTemplate.of(yearMonth, convention);
return(IborFutureCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
throw new System.ArgumentException(Messages.format("Invalid time format for Ibor Future: {}", timeStr));
}
public virtual void test_approximateMaturity()
{
IborFutureTemplate @base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
assertEquals(@base.approximateMaturity(LocalDate.of(2015, 10, 20)), 8d / 12d, 0.1d);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a curve node for an Ibor Future using the specified template and rate key.
/// </summary>
/// <param name="template"> the template used for building the instrument for the node </param>
/// <param name="rateId"> the identifier of the market rate for the security </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFutureCurveNode of(IborFutureTemplate template, QuoteId rateId)
{
return(of(template, rateId, 0d));
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the template for the Ibor Futures associated with this node. </summary>
/// <param name="template"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder template(IborFutureTemplate template)
{
JodaBeanUtils.notNull(template, "template");
this.template_Renamed = template;
return(this);
}
/// <summary>
/// Obtains a curve node for an Ibor Future using the specified template, rate key, spread and label.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market rate for the security </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <param name="label"> the label to use for the node, if empty an appropriate default label will be generated </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFutureCurveNode of(IborFutureTemplate template, QuoteId rateId, double additionalSpread, string label)
{
return(new IborFutureCurveNode(template, rateId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT));
}
/// <summary>
/// Obtains a curve node for an Ibor Future using the specified template, rate key and spread.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market rate for the security </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFutureCurveNode of(IborFutureTemplate template, QuoteId rateId, double additionalSpread)
{
return(of(template, rateId, additionalSpread, ""));
}
static CalibrationZeroRateUsd2OisFuturesHWIrsTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set;
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
IborFutureConvention convention = ImmutableIborFutureConvention.of(USD_LIBOR_3M, DateSequences.QUARTERLY_IMM);
for (int i = 0; i < FWD3_NB_FUT_NODES; i++)
{
IborFutureTemplate template = IborFutureTemplate.of(Period.ofDays(7), FWD3_FUT_SEQ[i], convention);
FWD3_NODES[i + 1] = IborFutureCurveNode.of(template, QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i + 1 + FWD3_NB_FUT_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FUT_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>();
groupFwd3.Add(FWD3_NODES);
CURVES_NODES.Add(groupFwd3);
IList <CurveMetadata> groupDsc = new List <CurveMetadata>();
groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupDsc);
IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>();
groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd3);
}
public virtual void test_approximateMaturity()
{
IborFutureTemplate @base = IborFutureTemplate.of(MIN_PERIOD, NUMBER, CONVENTION);
assertEquals(@base.approximateMaturity(LocalDate.of(2015, 10, 20)), 0.5d, 0.1d);
}
