//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
// 5Y USD 2mm Rec USD-LIBOR-6M Cap 1% / Pay Premium : 21Jan17-21Jan22
StringBuilder buf = new StringBuilder(96);
IborCapFloorLeg mainLeg = product.CapFloorLeg;
buf.Append(SummarizerUtils.datePeriod(mainLeg.StartDate.Unadjusted, mainLeg.EndDate.Unadjusted));
buf.Append(' ');
buf.Append(SummarizerUtils.amount(mainLeg.Currency, mainLeg.Notional.InitialValue));
buf.Append(' ');
if (mainLeg.PayReceive.Receive)
{
buf.Append("Rec ");
summarizeMainLeg(mainLeg, buf);
buf.Append(Premium.Present ? " / Pay Premium" : (product.PayLeg.Present ? " / Pay Periodic" : ""));
}
else
{
buf.Append(Premium.Present ? "Rec Premium / Pay " : (product.PayLeg.Present ? "Rec Periodic / Pay " : ""));
summarizeMainLeg(mainLeg, buf);
}
buf.Append(" : ");
buf.Append(SummarizerUtils.dateRange(mainLeg.StartDate.Unadjusted, mainLeg.EndDate.Unadjusted));
return(SummarizerUtils.summary(this, ProductType.IBOR_CAP_FLOOR, buf.ToString(), mainLeg.Currency));
}
private IborCapFloor(IborCapFloorLeg capFloorLeg, SwapLeg payLeg)
{
JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg");
this.capFloorLeg = capFloorLeg;
this.payLeg = payLeg;
validate();
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapFloorLeg test1 = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
coverImmutableBean(test1);
IborCapFloorLeg test2 = IborCapFloorLeg.builder().calculation(IborRateCalculation.of(GBP_LIBOR_6M)).capSchedule(CAP).notional(ValueSchedule.of(1000)).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(PeriodicSchedule.builder().startDate(START).endDate(END).frequency(Frequency.P6M).businessDayAdjustment(BUSS_ADJ).build()).payReceive(PAY).build();
coverBeanEquals(test1, test2);
}
public virtual void test_builder_fail()
{
// cap and floor present
assertThrowsIllegalArg(() => IborCapFloorLeg.builder().calculation(RATE_CALCULATION).capSchedule(CAP).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build());
// cap and floor missing
assertThrowsIllegalArg(() => IborCapFloorLeg.builder().calculation(RATE_CALCULATION).notional(NOTIONAL).paymentSchedule(PeriodicSchedule.builder().startDate(START).endDate(END).frequency(FREQUENCY).businessDayAdjustment(BUSS_ADJ).build()).payReceive(RECEIVE).build());
// stub type
assertThrowsIllegalArg(() => IborCapFloorLeg.builder().calculation(RATE_CALCULATION).capSchedule(CAP).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(PeriodicSchedule.builder().startDate(START).endDate(END).frequency(FREQUENCY).businessDayAdjustment(BUSS_ADJ).stubConvention(StubConvention.SHORT_FINAL).build()).payReceive(PAY).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapFloor test1 = IborCapFloor.of(CAPFLOOR_LEG);
coverImmutableBean(test1);
IborCapFloorLeg capFloor = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
IborCapFloor test2 = IborCapFloor.of(capFloor, PAY_LEG);
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapFloorTrade test1 = sut();
coverImmutableBean(test1);
IborCapFloor product = IborCapFloor.of(IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build());
IborCapFloorTrade test2 = IborCapFloorTrade.builder().product(product).build();
coverBeanEquals(test1, test2);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
IborCapFloorLeg other = (IborCapFloorLeg)obj;
return(JodaBeanUtils.equal(payReceive, other.payReceive) && JodaBeanUtils.equal(paymentSchedule, other.paymentSchedule) && JodaBeanUtils.equal(paymentDateOffset, other.paymentDateOffset) && JodaBeanUtils.equal(currency, other.currency) && JodaBeanUtils.equal(notional, other.notional) && JodaBeanUtils.equal(calculation, other.calculation) && JodaBeanUtils.equal(capSchedule, other.capSchedule) && JodaBeanUtils.equal(floorSchedule, other.floorSchedule));
}
return(false);
}
// summarize the main leg
private void summarizeMainLeg(IborCapFloorLeg mainLeg, StringBuilder buf)
{
buf.Append(mainLeg.Index);
buf.Append(' ');
if (mainLeg.CapSchedule.Present)
{
buf.Append("Cap ");
buf.Append(SummarizerUtils.percent(mainLeg.CapSchedule.get().InitialValue));
}
if (mainLeg.FloorSchedule.Present)
{
buf.Append("Floor ");
buf.Append(SummarizerUtils.percent(mainLeg.FloorSchedule.get().InitialValue));
}
}
public virtual void test_builder_min()
{
IborCapFloorLeg test = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
assertEquals(test.Calculation, RATE_CALCULATION);
assertEquals(test.CapSchedule.Present, false);
assertEquals(test.FloorSchedule.get(), FLOOR);
assertEquals(test.Currency, EUR);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentDateOffset, DaysAdjustment.NONE);
assertEquals(test.PaymentSchedule, SCHEDULE);
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.StartDate, AdjustableDate.of(START, BUSS_ADJ));
assertEquals(test.EndDate, AdjustableDate.of(END, BUSS_ADJ));
}
public virtual void test_builder_full()
{
IborCapFloorLeg test = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).capSchedule(CAP).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build();
assertEquals(test.Calculation, RATE_CALCULATION);
assertEquals(test.CapSchedule.get(), CAP);
assertEquals(test.FloorSchedule.Present, false);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentDateOffset, PAYMENT_OFFSET);
assertEquals(test.PaymentSchedule, SCHEDULE);
assertEquals(test.PayReceive, PAY);
assertEquals(test.StartDate, AdjustableDate.of(START, BUSS_ADJ));
assertEquals(test.EndDate, AdjustableDate.of(END, BUSS_ADJ));
assertEquals(test.Index, EUR_EURIBOR_3M);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 2124672084: // capFloorLeg
this.capFloorLeg = (IborCapFloorLeg)newValue;
break;
case -995239866: // payLeg
this.payLeg = (SwapLeg)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_resolve_floor()
{
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
LocalDate fixingDate = RATE_CALCULATION.FixingDateOffset.adjust(start, REF_DATA);
periods[i] = IborCapletFloorletPeriod.builder().floorlet(STRIKES[i]).currency(GBP).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(-NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, fixingDate, REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(PAY).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
public virtual void test_resolve_cap()
{
IborRateCalculation rateCalc = IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingRelativeTo(FixingRelativeTo.PERIOD_END).fixingDateOffset(EUR_EURIBOR_3M.FixingDateOffset).build();
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(rateCalc).capSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
periods[i] = IborCapletFloorletPeriod.builder().caplet(CAP.InitialValue).currency(EUR).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, rateCalc.FixingDateOffset.adjust(end, REF_DATA), REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(RECEIVE).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
/// <summary>
/// Obtains an instance from a cap/floor leg and a pay leg.
/// </summary>
/// <param name="capFloorLeg"> the cap/floor leg </param>
/// <param name="payLeg"> the pay leg </param>
/// <returns> the cap/floor </returns>
public static IborCapFloor of(IborCapFloorLeg capFloorLeg, SwapLeg payLeg)
{
return(new IborCapFloor(capFloorLeg, payLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from a cap/floor leg with no pay leg.
/// <para>
/// The pay leg is absent in the resulting cap/floor.
///
/// </para>
/// </summary>
/// <param name="capFloorLeg"> the cap/floor leg </param>
/// <returns> the cap/floor </returns>
public static IborCapFloor of(IborCapFloorLeg capFloorLeg)
{
return(new IborCapFloor(capFloorLeg, null));
}
public virtual void test_serialization()
{
IborCapFloorLeg test = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
assertSerialization(test);
}
