public virtual void test_inflation_fixed()
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, GBLO);
PeriodicSchedule accrualSchedule = PeriodicSchedule.builder().startDate(DATE_14_06_09).endDate(DATE_19_06_09).frequency(P12M).businessDayAdjustment(bda).build();
PaymentSchedule paymentSchedule = PaymentSchedule.builder().paymentFrequency(Frequency.ofYears(5)).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).compoundingMethod(STRAIGHT).build();
FixedRateCalculation rateCalc = FixedRateCalculation.builder().rate(ValueSchedule.of(0.05)).dayCount(ONE_ONE).build();
NotionalSchedule notionalSchedule = NotionalSchedule.of(GBP, 1000d);
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(rateCalc).build();
assertEquals(test.StartDate, AdjustableDate.of(DATE_14_06_09, bda));
assertEquals(test.EndDate, AdjustableDate.of(DATE_19_06_09, bda));
assertEquals(test.Currency, GBP);
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.AccrualSchedule, accrualSchedule);
assertEquals(test.PaymentSchedule, paymentSchedule);
assertEquals(test.NotionalSchedule, notionalSchedule);
assertEquals(test.Calculation, rateCalc);
RateAccrualPeriod rap0 = RateAccrualPeriod.builder().startDate(bda.adjust(DATE_14_06_09, REF_DATA)).endDate(bda.adjust(DATE_14_06_09.plusYears(1), REF_DATA)).unadjustedStartDate(DATE_14_06_09).unadjustedEndDate(DATE_14_06_09.plusYears(1)).yearFraction(1.0).rateComputation(FixedRateComputation.of(0.05)).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder().startDate(bda.adjust(DATE_14_06_09.plusYears(1), REF_DATA)).endDate(bda.adjust(DATE_14_06_09.plusYears(2), REF_DATA)).unadjustedStartDate(DATE_14_06_09.plusYears(1)).unadjustedEndDate(DATE_14_06_09.plusYears(2)).yearFraction(1.0).rateComputation(FixedRateComputation.of(0.05)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder().startDate(bda.adjust(DATE_14_06_09.plusYears(2), REF_DATA)).endDate(bda.adjust(DATE_14_06_09.plusYears(3), REF_DATA)).unadjustedStartDate(DATE_14_06_09.plusYears(2)).unadjustedEndDate(DATE_14_06_09.plusYears(3)).yearFraction(1.0).rateComputation(FixedRateComputation.of(0.05)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder().startDate(bda.adjust(DATE_14_06_09.plusYears(3), REF_DATA)).endDate(bda.adjust(DATE_14_06_09.plusYears(4), REF_DATA)).unadjustedStartDate(DATE_14_06_09.plusYears(3)).unadjustedEndDate(DATE_14_06_09.plusYears(4)).yearFraction(1.0).rateComputation(FixedRateComputation.of(0.05)).build();
RateAccrualPeriod rap4 = RateAccrualPeriod.builder().startDate(bda.adjust(DATE_14_06_09.plusYears(4), REF_DATA)).endDate(bda.adjust(DATE_19_06_09, REF_DATA)).unadjustedStartDate(DATE_14_06_09.plusYears(4)).unadjustedEndDate(DATE_19_06_09).yearFraction(1.0).rateComputation(FixedRateComputation.of(0.05)).build();
RatePaymentPeriod rpp = RatePaymentPeriod.builder().paymentDate(DaysAdjustment.ofBusinessDays(2, GBLO).adjust(bda.adjust(DATE_19_06_09, REF_DATA), REF_DATA)).accrualPeriods(rap0, rap1, rap2, rap3, rap4).compoundingMethod(STRAIGHT).dayCount(ONE_ONE).currency(GBP).notional(1000d).build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().paymentPeriods(rpp).payReceive(RECEIVE).type(SwapLegType.FIXED).build();
ResolvedSwapLeg testExpand = test.resolve(REF_DATA);
assertEquals(testExpand, expected);
}
//-------------------------------------------------------------------------
public virtual void test_collectIndices()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build();
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of());
}
public virtual void test_builder()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).initialStub(FixedRateStubCalculation.ofFixedRate(0.1d)).finalStub(FixedRateStubCalculation.ofFixedRate(0.2d)).build();
assertEquals(test.Rate, ValueSchedule.of(0.025d));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.InitialStub, FixedRateStubCalculation.ofFixedRate(0.1d));
assertEquals(test.FinalStub, FixedRateStubCalculation.ofFixedRate(0.2d));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build();
coverImmutableBean(test);
FixedRateCalculation test2 = FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.of(0.030d)).build();
coverBeanEquals(test, test2);
}
public virtual void test_of()
{
FixedRateCalculation test = FixedRateCalculation.of(0.025d, ACT_365F);
assertEquals(test.Type, SwapLegType.FIXED);
assertEquals(test.Rate, ValueSchedule.of(0.025d));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.InitialStub, null);
assertEquals(test.FinalStub, null);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FixedRateCalculation other = (FixedRateCalculation)obj;
return(JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(rate, other.rate) && JodaBeanUtils.equal(initialStub, other.initialStub) && JodaBeanUtils.equal(finalStub, other.finalStub));
}
return(false);
}
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_builder()
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, GBLO);
PeriodicSchedule accrualSchedule = PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(bda).build();
PaymentSchedule paymentSchedule = PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build();
FixedRateCalculation rateCalc = FixedRateCalculation.builder().dayCount(DayCounts.ACT_365F).rate(ValueSchedule.of(0.025d)).build();
NotionalSchedule notionalSchedule = NotionalSchedule.of(GBP, 1000d);
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(rateCalc).build();
assertEquals(test.StartDate, AdjustableDate.of(DATE_01_05, bda));
assertEquals(test.EndDate, AdjustableDate.of(DATE_04_05, bda));
assertEquals(test.Currency, GBP);
assertEquals(test.PayReceive, PAY);
assertEquals(test.AccrualSchedule, accrualSchedule);
assertEquals(test.PaymentSchedule, paymentSchedule);
assertEquals(test.NotionalSchedule, notionalSchedule);
assertEquals(test.Calculation, rateCalc);
}
// a summary of the leg
private string legSummary(SwapLeg leg)
{
if (leg is RateCalculationSwapLeg)
{
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg)leg;
RateCalculation calculation = rcLeg.Calculation;
if (calculation is FixedRateCalculation)
{
FixedRateCalculation calc = (FixedRateCalculation)calculation;
string vary = calc.Rate.Steps.Count > 0 || calc.Rate.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.percent(calc.Rate.InitialValue) + vary);
}
if (calculation is IborRateCalculation)
{
IborRateCalculation calc = (IborRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + gearing + spread);
}
if (calculation is OvernightRateCalculation)
{
OvernightRateCalculation calc = (OvernightRateCalculation)calculation;
string avg = calc.AccrualMethod == OvernightAccrualMethod.AVERAGED ? " avg" : "";
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + avg + gearing + spread);
}
if (calculation is InflationRateCalculation)
{
InflationRateCalculation calc = (InflationRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
return(calc.Index.Name + gearing);
}
}
if (leg is KnownAmountSwapLeg)
{
KnownAmountSwapLeg kaLeg = (KnownAmountSwapLeg)leg;
string vary = kaLeg.Amount.Steps.Count > 0 || kaLeg.Amount.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.amount(kaLeg.Currency, kaLeg.Amount.InitialValue) + vary);
}
ImmutableSet <Index> allIndices = leg.allIndices();
return(allIndices.Empty ? "Fixed" : allIndices.ToString());
}
public virtual void test_summarize_irs_weird()
{
PeriodicSchedule accrual = PeriodicSchedule.of(date(2018, 2, 12), date(2020, 2, 12), Frequency.P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, false);
PaymentSchedule payment = PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build();
NotionalSchedule notional = NotionalSchedule.of(GBP, ValueSchedule.builder().initialValue(1_000_000).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(-50_000))).build());
RateCalculationSwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.builder().initialValue(0.0012).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(0.0001))).build()).build()).build();
RateCalculationSwapLeg recLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(IborIndices.GBP_LIBOR_3M).gearing(ValueSchedule.of(1.1)).spread(ValueSchedule.of(0.002)).build()).build();
Swap test = Swap.of(payLeg, recLeg);
assertEquals(test.summaryDescription(), "2Y GBP 1mm variable Rec GBP-LIBOR-3M * 1.1 + 0.2% / Pay 0.12% variable : 12Feb18-12Feb20");
}
public virtual void test_resolve_unadjustedAccrualAdjustedPayment()
{
Swap test = Swap.builder().legs(RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(date(2016, 1, 3)).endDate(date(2016, 5, 3)).frequency(Frequency.P1M).businessDayAdjustment(BusinessDayAdjustment.NONE).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, SAT_SUN)).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, SAT_SUN)).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL)).calculation(FixedRateCalculation.of(RATE, ACT_360)).build()).build();
RatePaymentPeriod pp1 = RatePaymentPeriod.builder().paymentDate(date(2016, 2, 5)).accrualPeriods(RateAccrualPeriod.builder().startDate(date(2016, 1, 3)).unadjustedStartDate(date(2016, 1, 3)).endDate(date(2016, 2, 3)).unadjustedEndDate(date(2016, 2, 3)).yearFraction(ACT_360.yearFraction(date(2016, 1, 3), date(2016, 2, 3))).rateComputation(FixedRateComputation.of(RATE)).build()).dayCount(ACT_360).currency(GBP).notional(NOTIONAL).build();
RatePaymentPeriod pp2 = RatePaymentPeriod.builder().paymentDate(date(2016, 3, 7)).accrualPeriods(RateAccrualPeriod.builder().startDate(date(2016, 2, 3)).unadjustedStartDate(date(2016, 2, 3)).endDate(date(2016, 3, 3)).unadjustedEndDate(date(2016, 3, 3)).yearFraction(ACT_360.yearFraction(date(2016, 2, 3), date(2016, 3, 3))).rateComputation(FixedRateComputation.of(RATE)).build()).dayCount(ACT_360).currency(GBP).notional(NOTIONAL).build();
RatePaymentPeriod pp3 = RatePaymentPeriod.builder().paymentDate(date(2016, 4, 6)).accrualPeriods(RateAccrualPeriod.builder().startDate(date(2016, 3, 3)).unadjustedStartDate(date(2016, 3, 3)).endDate(date(2016, 4, 3)).unadjustedEndDate(date(2016, 4, 3)).yearFraction(ACT_360.yearFraction(date(2016, 3, 3), date(2016, 4, 3))).rateComputation(FixedRateComputation.of(RATE)).build()).dayCount(ACT_360).currency(GBP).notional(NOTIONAL).build();
RatePaymentPeriod pp4 = RatePaymentPeriod.builder().paymentDate(date(2016, 5, 5)).accrualPeriods(RateAccrualPeriod.builder().startDate(date(2016, 4, 3)).unadjustedStartDate(date(2016, 4, 3)).endDate(date(2016, 5, 3)).unadjustedEndDate(date(2016, 5, 3)).yearFraction(ACT_360.yearFraction(date(2016, 4, 3), date(2016, 5, 3))).rateComputation(FixedRateComputation.of(RATE)).build()).dayCount(ACT_360).currency(GBP).notional(NOTIONAL).build();
ResolvedSwap expected = ResolvedSwap.builder().legs(ResolvedSwapLeg.builder().paymentPeriods(pp1, pp2, pp3, pp4).payReceive(RECEIVE).type(FIXED).build()).build();
assertEqualsBean(test.resolve(REF_DATA), expected);
}
//-------------------------------------------------------------------------
public virtual void test_resolve_oneAccrualPerPayment_fxReset()
{
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d)).fxReset(FxResetCalculation.builder().referenceCurrency(EUR).index(EUR_GBP_ECB).fixingDateOffset(MINUS_TWO_DAYS).build()).initialExchange(true).intermediateExchange(true).finalExchange(true).build()).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_02_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).yearFraction(ACT_365F.yearFraction(DATE_01_06, DATE_02_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA), EUR)).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA), EUR)).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_04_09).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_07)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA), EUR)).build();
FxResetNotionalExchange ne1a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_01_06, FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA));
FxResetNotionalExchange ne1b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_02_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA));
FxResetNotionalExchange ne2a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_02_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA));
FxResetNotionalExchange ne2b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_03_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA));
FxResetNotionalExchange ne3a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_03_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA));
FxResetNotionalExchange ne3b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_04_09, FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA));
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).paymentEvents(ne1a, ne1b, ne2a, ne2b, ne3a, ne3b).build());
}
public virtual void test_resolve_threeAccrualsPerPayment()
{
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(STRAIGHT).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_04_09).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).yearFraction(ACT_365F.yearFraction(DATE_01_06, DATE_02_05)).rateComputation(FixedRateComputation.of(0.025d)).build(), RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(FixedRateComputation.of(0.025d)).build(), RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_07)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).compoundingMethod(STRAIGHT).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
coverImmutableBean(test);
RateCalculationSwapLeg test2 = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_02_05).endDate(DATE_03_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_THREE_DAYS).build()).notionalSchedule(NotionalSchedule.of(GBP, 2000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.of(0.025d)).build()).build();
coverBeanEquals(test, test2);
}
public virtual void test_serialization()
{
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(DayCounts.ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
assertSerialization(test);
}
public virtual void test_serialization()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build();
assertSerialization(test);
}
public virtual void test_resolve_knownAmountStub()
{
// test case
CurrencyAmount knownAmount = CurrencyAmount.of(GBP, 150d);
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_02_03).endDate(DATE_04_03).firstRegularStartDate(DATE_02_05).lastRegularEndDate(DATE_03_05).frequency(P1M).stubConvention(StubConvention.BOTH).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).initialStub(FixedRateStubCalculation.ofKnownAmount(knownAmount)).finalStub(FixedRateStubCalculation.ofFixedRate(0.1d)).build()).build();
// expected
KnownAmountNotionalSwapPaymentPeriod pp1 = KnownAmountNotionalSwapPaymentPeriod.builder().payment(Payment.of(knownAmount, DATE_02_07)).startDate(DATE_02_03).endDate(DATE_02_05).unadjustedStartDate(DATE_02_03).notionalAmount(CurrencyAmount.of(GBP, -1000d)).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_04_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_03).unadjustedEndDate(DATE_04_03).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_03)).rateComputation(FixedRateComputation.of(0.1d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(pp1, rpp2, rpp3).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a rate calculation for the specified day count and rate.
/// <para>
/// The rate specified here does not vary during the life of the swap.
/// If this method provides insufficient control, use the <seealso cref="#builder() builder"/>.
///
/// </para>
/// </summary>
/// <param name="rate"> the rate </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the calculation </returns>
public static FixedRateCalculation of(double rate, DayCount dayCount)
{
return(FixedRateCalculation.builder().dayCount(dayCount).rate(ValueSchedule.of(rate)).build());
}
