public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case -391537158: // fixedLeg
this.fixedLeg_Renamed = (FixedRateSwapLegConvention)newValue;
break;
case -1177101272: // floatingLeg
this.floatingLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 1774606250: // overnightLeg
this.overnightLeg_Renamed = (OvernightRateSwapLegConvention)newValue;
break;
case 1610246066: // iborLeg
this.iborLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableIborIborSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.spreadLeg_Renamed = beanToCopy.SpreadLeg;
this.flatLeg_Renamed = beanToCopy.FlatLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableOvernightIborSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.overnightLeg_Renamed = beanToCopy.OvernightLeg;
this.iborLeg_Renamed = beanToCopy.IborLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableFixedIborSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.fixedLeg_Renamed = beanToCopy.FixedLeg;
this.floatingLeg_Renamed = beanToCopy.FloatingLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 1302781851: // spreadLeg
this.spreadLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case -778843179: // flatLeg
this.flatLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableThreeLegBasisSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.spreadLeg_Renamed = beanToCopy.SpreadLeg;
this.spreadFloatingLeg_Renamed = beanToCopy.SpreadFloatingLeg;
this.flatFloatingLeg_Renamed = beanToCopy.FlatFloatingLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborRateSwapLegConvention test = IborRateSwapLegConvention.builder().index(GBP_LIBOR_3M).build();
coverImmutableBean(test);
IborRateSwapLegConvention test2 = IborRateSwapLegConvention.builder().index(GBP_LIBOR_3M).currency(USD).dayCount(ACT_360).accrualFrequency(P6M).accrualBusinessDayAdjustment(BDA_FOLLOW).startDateBusinessDayAdjustment(BDA_FOLLOW).endDateBusinessDayAdjustment(BDA_FOLLOW).stubConvention(LONG_INITIAL).rollConvention(RollConventions.EOM).fixingRelativeTo(PERIOD_END).fixingDateOffset(MINUS_FIVE_DAYS).paymentFrequency(P6M).paymentDateOffset(PLUS_TWO_DAYS).notionalExchange(true).build();
coverBeanEquals(test, test2);
}
public virtual void test_toLeg_withSpread()
{
IborRateSwapLegConvention @base = IborRateSwapLegConvention.builder().index(GBP_LIBOR_3M).build();
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = @base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().frequency(P3M).startDate(startDate).endDate(endDate).businessDayAdjustment(BDA_MOD_FOLLOW).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)).calculation(IborRateCalculation.builder().index(GBP_LIBOR_3M).spread(ValueSchedule.of(0.25d)).build()).build();
assertEquals(test, expected);
}
private ImmutableIborIborSwapConvention(string name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(spreadLeg, "spreadLeg");
JodaBeanUtils.notNull(flatLeg, "flatLeg");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.name = name;
this.spreadLeg = spreadLeg;
this.flatLeg = flatLeg;
this.spotDateOffset = spotDateOffset;
validate();
}
private ImmutableOvernightIborSwapConvention(string name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg, DaysAdjustment spotDateOffset)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(overnightLeg, "overnightLeg");
JodaBeanUtils.notNull(iborLeg, "iborLeg");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.name = name;
this.overnightLeg = overnightLeg;
this.iborLeg = iborLeg;
this.spotDateOffset = spotDateOffset;
validate();
}
public virtual void test_builder()
{
IborRateSwapLegConvention test = IborRateSwapLegConvention.builder().index(GBP_LIBOR_3M).build();
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.Currency, GBP);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.AccrualFrequency, P3M);
assertEquals(test.AccrualBusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.StartDateBusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.EndDateBusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.StubConvention, StubConvention.SMART_INITIAL);
assertEquals(test.RollConvention, RollConventions.EOM);
assertEquals(test.FixingRelativeTo, PERIOD_START);
assertEquals(test.FixingDateOffset, GBP_LIBOR_3M.FixingDateOffset);
assertEquals(test.PaymentFrequency, P3M);
assertEquals(test.PaymentDateOffset, DaysAdjustment.NONE);
assertEquals(test.CompoundingMethod, CompoundingMethod.NONE);
assertEquals(test.NotionalExchange, false);
}
public virtual void test_builderAllSpecified()
{
IborRateSwapLegConvention test = IborRateSwapLegConvention.builder().index(GBP_LIBOR_3M).currency(USD).dayCount(ACT_360).accrualFrequency(P6M).accrualBusinessDayAdjustment(BDA_FOLLOW).startDateBusinessDayAdjustment(BDA_FOLLOW).endDateBusinessDayAdjustment(BDA_FOLLOW).stubConvention(LONG_INITIAL).rollConvention(RollConventions.DAY_1).fixingRelativeTo(PERIOD_END).fixingDateOffset(MINUS_FIVE_DAYS).paymentFrequency(P6M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(CompoundingMethod.FLAT).notionalExchange(true).build();
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.Currency, USD);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.AccrualFrequency, P6M);
assertEquals(test.AccrualBusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.StartDateBusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.EndDateBusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.StubConvention, StubConvention.LONG_INITIAL);
assertEquals(test.RollConvention, RollConventions.DAY_1);
assertEquals(test.FixingRelativeTo, PERIOD_END);
assertEquals(test.FixingDateOffset, MINUS_FIVE_DAYS);
assertEquals(test.PaymentFrequency, P6M);
assertEquals(test.PaymentDateOffset, PLUS_TWO_DAYS);
assertEquals(test.CompoundingMethod, CompoundingMethod.FLAT);
assertEquals(test.NotionalExchange, true);
}
public virtual void test_serialization()
{
IborRateSwapLegConvention test = IborRateSwapLegConvention.builder().index(GBP_LIBOR_3M).build();
assertSerialization(test);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// The spot date offset is set to be the effective date offset of the index of the spread floating leg.
/// </para>
/// <para>
/// The spread is represented by {@code FixedRateSwapLegConvention} and to be applied to {@code floatingSpreadLeg}.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="spreadLeg"> the market convention for the spread leg added to one of the floating leg </param>
/// <param name="spreadFloatingLeg"> the market convention for the spread floating leg </param>
/// <param name="flatFloatingLeg"> the market convention for the flat floating leg </param>
/// <returns> the convention </returns>
public static ImmutableThreeLegBasisSwapConvention of(string name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg)
{
return(of(name, spreadLeg, spreadFloatingLeg, flatFloatingLeg, spreadFloatingLeg.Index.EffectiveDateOffset));
}
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="overnightLeg"> the market convention for the overnight leg </param>
/// <param name="iborLeg"> the market convention for the ibor leg </param>
/// <param name="spotDateOffset"> the offset of the spot value date from the trade date </param>
/// <returns> the convention </returns>
public static ImmutableOvernightIborSwapConvention of(string name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg, DaysAdjustment spotDateOffset)
{
return(new ImmutableOvernightIborSwapConvention(name, overnightLeg, iborLeg, spotDateOffset));
}
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// </para>
/// <para>
/// The spread is represented by {@code FixedRateSwapLegConvention} and to be applied to {@code floatingSpreadLeg}.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="spreadLeg"> the market convention for the spread leg added to one of the floating leg </param>
/// <param name="spreadFloatingLeg"> the market convention for the spread floating leg </param>
/// <param name="flatFloatingLeg"> the market convention for the flat floating leg </param>
/// <param name="spotDateOffset"> the offset of the spot value date from the trade date </param>
/// <returns> the convention </returns>
public static ImmutableThreeLegBasisSwapConvention of(string name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg, DaysAdjustment spotDateOffset)
{
return(new ImmutableThreeLegBasisSwapConvention(name, spreadLeg, spreadFloatingLeg, flatFloatingLeg, spotDateOffset));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// The spot date offset is set to be the effective date offset of the index of the spread leg.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="spreadLeg"> the market convention for the leg that the spread is added to </param>
/// <param name="flatLeg"> the market convention for the other leg, known as the flat leg </param>
/// <returns> the convention </returns>
public static ImmutableIborIborSwapConvention of(string name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg)
{
return(of(name, spreadLeg, flatLeg, spreadLeg.Index.EffectiveDateOffset));
}
/// <summary>
/// Sets the market convention of the floating leg that does not have the spread applied. </summary>
/// <param name="flatLeg"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder flatLeg(IborRateSwapLegConvention flatLeg)
{
JodaBeanUtils.notNull(flatLeg, "flatLeg");
this.flatLeg_Renamed = flatLeg;
return(this);
}
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="spreadLeg"> the market convention for the leg that the spread is added to </param>
/// <param name="flatLeg"> the market convention for the other leg, known as the flat leg </param>
/// <param name="spotDateOffset"> the offset of the spot value date from the trade date </param>
/// <returns> the convention </returns>
public static ImmutableIborIborSwapConvention of(string name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset)
{
return(new ImmutableIborIborSwapConvention(name, spreadLeg, flatLeg, spotDateOffset));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// The spot date offset is set to be the effective date offset of the index.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="fixedLeg"> the market convention for the fixed leg </param>
/// <param name="floatingLeg"> the market convention for the floating leg </param>
/// <returns> the convention </returns>
public static ImmutableFixedIborSwapConvention of(string name, FixedRateSwapLegConvention fixedLeg, IborRateSwapLegConvention floatingLeg)
{
return(of(name, fixedLeg, floatingLeg, floatingLeg.Index.EffectiveDateOffset));
}
/// <summary>
/// Sets the market convention of the floating leg. </summary>
/// <param name="iborLeg"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder iborLeg(IborRateSwapLegConvention iborLeg)
{
JodaBeanUtils.notNull(iborLeg, "iborLeg");
this.iborLeg_Renamed = iborLeg;
return(this);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// The spot date offset is set to be the effective date offset of the Ibor index.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="overnightLeg"> the market convention for the overnight leg </param>
/// <param name="iborLeg"> the market convention for the ibor leg </param>
/// <returns> the convention </returns>
public static ImmutableOvernightIborSwapConvention of(string name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg)
{
return(new ImmutableOvernightIborSwapConvention(name, overnightLeg, iborLeg, iborLeg.Index.EffectiveDateOffset));
}
/// <summary>
/// Sets the market convention of the floating leg that has the spread applied.
/// <para>
/// The spread is the market price of the instrument.
/// It is added to the observed interest rate.
/// </para>
/// </summary>
/// <param name="spreadLeg"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder spreadLeg(IborRateSwapLegConvention spreadLeg)
{
JodaBeanUtils.notNull(spreadLeg, "spreadLeg");
this.spreadLeg_Renamed = spreadLeg;
return(this);
}
//-------------------------------------------------------------------------
// 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)));
}
//-------------------------------------------------------------------------
public virtual void test_builder_notEnoughData()
{
assertThrowsIllegalArg(() => IborRateSwapLegConvention.builder().build());
}
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="fixedLeg"> the market convention for the fixed leg </param>
/// <param name="floatingLeg"> the market convention for the floating leg </param>
/// <param name="spotDateOffset"> the offset of the spot value date from the trade date </param>
/// <returns> the convention </returns>
public static ImmutableFixedIborSwapConvention of(string name, FixedRateSwapLegConvention fixedLeg, IborRateSwapLegConvention floatingLeg, DaysAdjustment spotDateOffset)
{
return(new ImmutableFixedIborSwapConvention(name, fixedLeg, floatingLeg, spotDateOffset));
}
