//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableValidator private void validate()
private void validate()
{
ArgChecker.inOrderOrEqual(deliveryDate, underlyingSwap.StartDate, "deliveryDate", "startDate");
ArgChecker.isFalse(underlyingSwap.CrossCurrency, "underlying swap must not be cross currency");
foreach (ResolvedSwapLeg swapLeg in underlyingSwap.Legs)
{
if (swapLeg.Type.Equals(SwapLegType.FIXED))
{
ArgChecker.isTrue(swapLeg.PayReceive.Receive, "underlying must be receiver swap");
}
foreach (SwapPaymentEvent @event in swapLeg.PaymentEvents)
{
ArgChecker.isTrue(@event is NotionalExchange, "PaymentEvent must be NotionalExchange");
NotionalExchange notioanlEvent = (NotionalExchange)@event;
ArgChecker.isTrue(Math.Abs(notioanlEvent.PaymentAmount.Amount) == 1d, "notional of underlying swap must be unity");
}
foreach (SwapPaymentPeriod period in swapLeg.PaymentPeriods)
{
ArgChecker.isTrue(period is NotionalPaymentPeriod, "PaymentPeriod must be NotionalPaymentPeriod");
NotionalPaymentPeriod notioanlPeriod = (NotionalPaymentPeriod)period;
ArgChecker.isTrue(Math.Abs(notioanlPeriod.NotionalAmount.Amount) == 1d, "notional of underlying swap must be unity");
}
}
ArgChecker.inOrderOrEqual(lastTradeDate, deliveryDate, "lastTradeDate", "deliveryDate");
}
// create notional exchange events when no FxReset
private static ImmutableList <SwapPaymentEvent> createStandardEvents(IList <NotionalPaymentPeriod> payPeriods, LocalDate initialExchangePaymentDate, bool initialExchange, bool intermediateExchange, bool finalExchange)
{
NotionalPaymentPeriod firstPeriod = payPeriods[0];
ImmutableList.Builder <SwapPaymentEvent> events = ImmutableList.builder();
if (initialExchange)
{
events.add(NotionalExchange.of(firstPeriod.NotionalAmount.negated(), initialExchangePaymentDate));
}
if (intermediateExchange)
{
for (int i = 0; i < payPeriods.Count - 1; i++)
{
NotionalPaymentPeriod period1 = payPeriods[i];
NotionalPaymentPeriod period2 = payPeriods[i + 1];
if (period1.NotionalAmount.Amount != period2.NotionalAmount.Amount)
{
events.add(NotionalExchange.of(period1.NotionalAmount.minus(period2.NotionalAmount), period1.PaymentDate));
}
}
}
if (finalExchange)
{
NotionalPaymentPeriod lastPeriod = payPeriods[payPeriods.Count - 1];
events.add(NotionalExchange.of(lastPeriod.NotionalAmount, lastPeriod.PaymentDate));
}
return(events.build());
}
// find the notional
private CurrencyAmount buildLegNotional(ResolvedSwapLeg leg)
{
// check for NotionalPaymentPeriod
SwapPaymentPeriod firstPaymentPeriod = leg.PaymentPeriods.get(0);
if (firstPaymentPeriod is NotionalPaymentPeriod)
{
NotionalPaymentPeriod pp = (NotionalPaymentPeriod)firstPaymentPeriod;
return(pp.NotionalAmount.positive());
}
return(NOT_FOUND);
}
// create notional exchange events when FxReset specified
private static ImmutableList <SwapPaymentEvent> createFxResetEvents(IList <NotionalPaymentPeriod> payPeriods, LocalDate initialExchangeDate, bool initialExchange, bool intermediateExchange, bool finalExchange)
{
ImmutableList.Builder <SwapPaymentEvent> events = ImmutableList.builder();
for (int i = 0; i < payPeriods.Count; i++)
{
NotionalPaymentPeriod period = payPeriods[i];
LocalDate startPaymentDate = (i == 0 ? initialExchangeDate : payPeriods[i - 1].PaymentDate);
bool includeStartPayment = i == 0 ? initialExchange : intermediateExchange;
bool includeEndPayment = i == payPeriods.Count - 1 ? finalExchange : intermediateExchange;
if (period.FxResetObservation.Present)
{
FxIndexObservation observation = period.FxResetObservation.get();
// notional out at start of period
if (includeStartPayment)
{
events.add(FxResetNotionalExchange.of(period.NotionalAmount.negated(), startPaymentDate, observation));
}
// notional in at end of period
if (includeEndPayment)
{
events.add(FxResetNotionalExchange.of(period.NotionalAmount, period.PaymentDate, observation));
}
}
else
{
// handle weird swap where only some periods have FX reset
// notional out at start of period
if (includeStartPayment)
{
events.add(NotionalExchange.of(CurrencyAmount.of(period.Currency, -period.NotionalAmount.Amount), startPaymentDate));
}
// notional in at end of period
if (includeEndPayment)
{
events.add(NotionalExchange.of(CurrencyAmount.of(period.Currency, period.NotionalAmount.Amount), period.PaymentDate));
}
}
}
return(events.build());
}
