public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PortfolioItemInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedBill)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case 73828649: // settlement
this.settlement_Renamed = (Payment)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(ResolvedBillTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.settlement_Renamed = beanToCopy.settlement;
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="info"> the value of the property, not null </param>
/// <param name="product"> the value of the property, not null </param>
/// <param name="quantity"> the value of the property </param>
/// <param name="settlement"> the value of the property </param>
internal ResolvedBillTrade(PortfolioItemInfo info, ResolvedBill product, double quantity, Payment settlement)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.settlement = settlement;
}
public ResolvedBillTrade resolve(ReferenceData refData)
{
ResolvedBill resolvedProduct = product.resolve(refData);
CurrencyAmount settleAmount = product.Notional.Value.multipliedBy(-price * quantity);
LocalDate settlementDate = calculateSettlementDate(refData);
Payment settlement = Payment.of(settleAmount, settlementDate);
return(ResolvedBillTrade.builder().info(info).product(resolvedProduct).quantity(quantity).settlement(settlement).build());
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
ResolvedBill resolved = US_BILL.resolve(REF_DATA);
assertEquals(resolved.DayCount, DAY_COUNT);
assertEquals(resolved.LegalEntityId, LEGAL_ENTITY);
assertEquals(resolved.Notional, NOTIONAL.resolve(REF_DATA));
assertEquals(resolved.SecurityId, SECURITY_ID);
assertEquals(resolved.SettlementDateOffset, SETTLE);
assertEquals(resolved.YieldConvention, YIELD_CONVENTION);
}
public virtual void yield_from_price_intatmat()
{
ResolvedBill bill = BillTest.US_BILL.toBuilder().yieldConvention(BillYieldConvention.INTEREST_AT_MATURITY).build().resolve(REF_DATA);
double price = 0.99;
LocalDate settlementDate = LocalDate.of(2018, 8, 17);
double af = bill.DayCount.relativeYearFraction(settlementDate, bill.Notional.Date);
double yieldExpected = (1.0d / price - 1.0d) / af;
double yieldComputed = bill.yieldFromPrice(price, settlementDate);
assertEquals(yieldExpected, yieldComputed, TOLERANCE_PRICE);
}
public virtual void price_from_yield_intatmat()
{
ResolvedBill bill = BillTest.US_BILL.toBuilder().yieldConvention(BillYieldConvention.INTEREST_AT_MATURITY).build().resolve(REF_DATA);
double yield = 0.01;
LocalDate settlementDate = LocalDate.of(2018, 8, 17);
double af = bill.DayCount.relativeYearFraction(settlementDate, bill.Notional.Date);
double priceExpected = 1.0d / (1 + yield * af);
double priceComputed = bill.priceFromYield(yield, settlementDate);
assertEquals(priceExpected, priceComputed, TOLERANCE_PRICE);
}
public virtual void yield_from_price_discount()
{
ResolvedBill bill = sut();
double price = 0.99;
LocalDate settlementDate = LocalDate.of(2018, 8, 17);
double af = bill.DayCount.relativeYearFraction(settlementDate, bill.Notional.Date);
double yieldExpected = (1.0d - price) / af;
double yieldComputed = bill.yieldFromPrice(price, settlementDate);
assertEquals(yieldExpected, yieldComputed, TOLERANCE_PRICE);
}
//-------------------------------------------------------------------------
public virtual void price_from_yield_discount()
{
ResolvedBill bill = sut();
double yield = 0.01;
LocalDate settlementDate = LocalDate.of(2018, 8, 17);
double af = bill.DayCount.relativeYearFraction(settlementDate, bill.Notional.Date);
double priceExpected = 1.0d - yield * af;
double priceComputed = bill.priceFromYield(yield, settlementDate);
assertEquals(priceExpected, priceComputed, TOLERANCE_PRICE);
}
//-------------------------------------------------------------------------
public virtual void test_getters()
{
ResolvedBill test = sut();
assertEquals(test.SecurityId, BillTest.US_BILL.SecurityId);
assertEquals(test.Currency, BillTest.US_BILL.Currency);
assertEquals(test.Notional, BillTest.US_BILL.Notional.resolve(REF_DATA));
assertEquals(test.DayCount, BillTest.US_BILL.DayCount);
assertEquals(test.YieldConvention, BillTest.US_BILL.YieldConvention);
assertEquals(test.LegalEntityId, BillTest.US_BILL.LegalEntityId);
assertEquals(test.SettlementDateOffset, BillTest.US_BILL.SettlementDateOffset);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ResolvedBill other = (ResolvedBill)obj;
return(JodaBeanUtils.equal(securityId, other.securityId) && JodaBeanUtils.equal(notional, other.notional) && JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(yieldConvention, other.yieldConvention) && JodaBeanUtils.equal(legalEntityId, other.legalEntityId) && JodaBeanUtils.equal(settlementDateOffset, other.settlementDateOffset));
}
return(false);
}
public ResolvedBillTrade resolve(ReferenceData refData)
{
ResolvedBill resolved = product.resolve(refData);
return(new ResolvedBillTrade(info, resolved, Quantity, null));
}
/// <summary>
/// Sets the resolved bill product.
/// <para>
/// The product captures the contracted financial details of the trade.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(ResolvedBill product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
