public virtual void test_expand_distinctValues()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d, ValueStep.of(1, ValueAdjustment.ofReplace(0.020d)), ValueStep.of(2, ValueAdjustment.ofReplace(0.015d)))).build();
SchedulePeriod period1 = SchedulePeriod.of(date(2014, 1, 6), date(2014, 2, 5), date(2014, 1, 5), date(2014, 2, 5));
SchedulePeriod period2 = SchedulePeriod.of(date(2014, 1, 5), date(2014, 2, 5), date(2014, 2, 5), date(2014, 3, 5));
SchedulePeriod period3 = SchedulePeriod.of(date(2014, 3, 5), date(2014, 4, 7), date(2014, 3, 5), date(2014, 4, 5));
Schedule schedule = Schedule.builder().periods(period1, period2, period3).frequency(Frequency.P1M).rollConvention(RollConventions.DAY_5).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(period1).yearFraction(period1.yearFraction(ACT_365F, schedule)).rateComputation(FixedRateComputation.of(0.025d)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(period2).yearFraction(period2.yearFraction(ACT_365F, schedule)).rateComputation(FixedRateComputation.of(0.020d)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(period3).yearFraction(period3.yearFraction(ACT_365F, schedule)).rateComputation(FixedRateComputation.of(0.015d)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_initialStubAndResetPeriods_weighted_firstFixed()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstRegularRate(0.028d).initialStub(IborRateStubCalculation.ofFixedRate(0.030d)).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_02_05, DATE_04_07, DATE_02_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_360, schedule)).rateComputation(FixedRateComputation.of(0.030d)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06, 0.028d), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_360, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}
public virtual void test_expand_simpleInitialStub()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_resetPeriods_weighted_firstFixingDateOffset()
{
// only the fixing date of the first reset period is changed, everything else stays the same
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstFixingDateOffset(MINUS_ONE_DAY).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
IborIndexObservation obs1 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_01_03, REF_DATA);
IborIndexObservation obs2 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_02_03, REF_DATA);
IborIndexObservation obs3 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_03_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings1 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs1, DATE_01_06, DATE_02_05), IborAveragedFixing.ofDaysInResetPeriod(obs2, DATE_02_05, DATE_03_05), IborAveragedFixing.ofDaysInResetPeriod(obs3, DATE_03_05, DATE_04_07));
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings1)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}
//-------------------------------------------------------------------------
public virtual void test_expand_simple()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_365F).index(GBP_SONIA).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_01_06, DATE_02_05, 0, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_02_05, DATE_03_05, 0, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_03_05, DATE_04_07, 0, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
