public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 1005147787: // currencyPair
this.currencyPair_Renamed = (CurrencyPair)newValue;
break;
case 394230283: // fixingCalendar
this.fixingCalendar_Renamed = (HolidayCalendarId)newValue;
break;
case 873743726: // fixingDateOffset
this.fixingDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case 1574797394: // maturityDateOffset
this.maturityDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 1302781851: // spreadLeg
this.spreadLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case -778843179: // flatLeg
this.flatLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)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(ImmutableIborIborSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.spreadLeg_Renamed = beanToCopy.SpreadLeg;
this.flatLeg_Renamed = beanToCopy.FlatLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 100346066: // index
this.index_Renamed = (PriceIndex)newValue;
break;
case 106898: // lag
this.lag_Renamed = (Period)newValue;
break;
case -1409010088: // indexCalculationMethod
this.indexCalculationMethod_Renamed = (PriceIndexCalculationMethod)newValue;
break;
case -159410813: // notionalExchange
this.notionalExchange_Renamed = (bool?)newValue.Value;
break;
case -716438393: // paymentDateOffset
this.paymentDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case 896049114: // accrualBusinessDayAdjustment
this.accrualBusinessDayAdjustment_Renamed = (BusinessDayAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
private static IborIndex parseIborIndex(CsvRow row)
{
string name = row.getValue(NAME_FIELD);
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
bool active = bool.Parse(row.getValue(ACTIVE_FIELD));
DayCount dayCount = DayCount.of(row.getValue(DAY_COUNT_FIELD));
HolidayCalendarId fixingCal = HolidayCalendarId.of(row.getValue(FIXING_CALENDAR_FIELD));
int offsetDays = int.Parse(row.getValue(OFFSET_DAYS_FIELD));
HolidayCalendarId offsetCal = HolidayCalendarId.of(row.getValue(OFFSET_CALENDAR_FIELD));
HolidayCalendarId effectiveCal = HolidayCalendarId.of(row.getValue(EFFECTIVE_DATE_CALENDAR_FIELD));
Tenor tenor = Tenor.parse(row.getValue(TENOR_FIELD));
LocalTime time = LocalTime.parse(row.getValue(FIXING_TIME_FIELD), TIME_FORMAT);
ZoneId zoneId = ZoneId.of(row.getValue(FIXING_ZONE_FIELD));
DayCount fixedLegDayCount = DayCount.of(row.getValue(FIXED_LEG_DAY_COUNT));
// interpret CSV
DaysAdjustment fixingOffset = DaysAdjustment.ofBusinessDays(-offsetDays, offsetCal, BusinessDayAdjustment.of(PRECEDING, fixingCal)).normalized();
DaysAdjustment effectiveOffset = DaysAdjustment.ofBusinessDays(offsetDays, offsetCal, BusinessDayAdjustment.of(FOLLOWING, effectiveCal)).normalized();
// convention can be two different things
PeriodAdditionConvention periodAdditionConvention = PeriodAdditionConvention.extendedEnum().find(row.getField(TENOR_CONVENTION_FIELD)).orElse(PeriodAdditionConventions.NONE);
BusinessDayConvention tenorBusinessConvention = BusinessDayConvention.extendedEnum().find(row.getField(TENOR_CONVENTION_FIELD)).orElse(isEndOfMonth(periodAdditionConvention) ? MODIFIED_FOLLOWING : FOLLOWING);
BusinessDayAdjustment adj = BusinessDayAdjustment.of(tenorBusinessConvention, effectiveCal);
TenorAdjustment tenorAdjustment = TenorAdjustment.of(tenor, periodAdditionConvention, adj);
// build result
return(ImmutableIborIndex.builder().name(name).currency(currency).active(active).dayCount(dayCount).fixingCalendar(fixingCal).fixingDateOffset(fixingOffset).effectiveDateOffset(effectiveOffset).maturityDateOffset(tenorAdjustment).fixingTime(time).fixingZone(zoneId).defaultFixedLegDayCount(fixedLegDayCount).build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case -518800962: // observableId
this.observableId_Renamed = (ObservableId)newValue;
break;
case 110246592: // tenor
this.tenor_Renamed = (Tenor)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case -1065319863: // businessDayAdjustment
this.businessDayAdjustment_Renamed = (BusinessDayAdjustment)newValue;
break;
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)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(ImmutableOvernightIborSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.overnightLeg_Renamed = beanToCopy.OvernightLeg;
this.iborLeg_Renamed = beanToCopy.IborLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
private static DaysAdjustment expiryDateOffset(DaysAdjustment spotDateOffset)
{
ArgChecker.isTrue(spotDateOffset.Adjustment.Equals(BusinessDayAdjustment.NONE), "BusinessDayAdjustment in spotDateOffset must be NONE if expiryDateOffset is created from spotDateOffset");
DaysAdjustment adj = spotDateOffset.toBuilder().days(-spotDateOffset.Days).build();
return(adj);
}
public virtual void test_volatilities()
{
BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification @base = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).strikeInterpolator(DOUBLE_QUADRATIC).build();
LocalDate date = LocalDate.of(2017, 9, 25);
ZonedDateTime dateTime = date.atStartOfDay().atZone(ZoneId.of("Europe/London"));
DoubleArray parameters = DoubleArray.of(0.19, 0.15, 0.13, 0.14, 0.14, 0.11, 0.09, 0.09, 0.11, 0.09, 0.07, 0.07);
BlackFxOptionSurfaceVolatilities computed = @base.volatilities(dateTime, parameters, REF_DATA);
DaysAdjustment expOffset = DaysAdjustment.ofBusinessDays(-2, NY_LO);
double[] expiries = new double[STRIKES.Count * TENORS.Count];
double[] strikes = new double[STRIKES.Count * TENORS.Count];
ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
for (int i = 0; i < TENORS.Count; ++i)
{
double expiry = ACT_365F.relativeYearFraction(date, expOffset.adjust(BDA.adjust(SPOT_OFFSET.adjust(date, REF_DATA).plus(TENORS[i]), REF_DATA), REF_DATA));
for (int j = 0; j < STRIKES.Count; ++j)
{
paramMetadata.add(FxVolatilitySurfaceYearFractionParameterMetadata.of(expiry, SimpleStrike.of(STRIKES[j]), GBP_USD));
expiries[STRIKES.Count * i + j] = expiry;
strikes[STRIKES.Count * i + j] = STRIKES[j];
}
}
InterpolatedNodalSurface surface = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F).withParameterMetadata(paramMetadata.build()), DoubleArray.ofUnsafe(expiries), DoubleArray.ofUnsafe(strikes), parameters, GridSurfaceInterpolator.of(PCHIP, DOUBLE_QUADRATIC));
BlackFxOptionSurfaceVolatilities expected = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, dateTime, surface);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Converts an FpML 'RelativeDateOffset' to a {@code DaysAdjustment}.
/// </summary>
/// <param name="baseEl"> the FpML adjustable date element </param>
/// <returns> the days adjustment </returns>
/// <exception cref="RuntimeException"> if unable to parse </exception>
public DaysAdjustment parseRelativeDateOffsetDays(XmlElement baseEl)
{
// FpML content: ('periodMultiplier', 'period', 'dayType?',
// 'businessDayConvention', 'BusinessCentersOrReference.model?'
// 'dateRelativeTo', 'adjustedDate')
// The 'dateRelativeTo' element is not used here
// The 'adjustedDate' element is ignored
Period period = parsePeriod(baseEl);
if (period.toTotalMonths() != 0)
{
throw new FpmlParseException("Expected days-based period but found " + period);
}
Optional <XmlElement> dayTypeEl = baseEl.findChild("dayType");
bool calendarDays = period.Zero || (dayTypeEl.Present && dayTypeEl.get().Content.Equals("Calendar"));
BusinessDayConvention fixingBdc = convertBusinessDayConvention(baseEl.getChild("businessDayConvention").Content);
HolidayCalendarId calendar = parseBusinessCenters(baseEl);
if (calendarDays)
{
return(DaysAdjustment.ofCalendarDays(period.Days, BusinessDayAdjustment.of(fixingBdc, calendar)));
}
else
{
return(DaysAdjustment.ofBusinessDays(period.Days, calendar));
}
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1574023291: // securityId
this.securityId_Renamed = (SecurityId)newValue;
break;
case 1585636160: // notional
this.notional_Renamed = (Payment)newValue;
break;
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case -1895216418: // yieldConvention
this.yieldConvention_Renamed = (BillYieldConvention)newValue;
break;
case 866287159: // legalEntityId
this.legalEntityId_Renamed = (LegalEntityId)newValue;
break;
case 135924714: // settlementDateOffset
this.settlementDateOffset_Renamed = (DaysAdjustment)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(ImmutableFixedOvernightSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.fixedLeg_Renamed = beanToCopy.FixedLeg;
this.floatingLeg_Renamed = beanToCopy.FloatingLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableFxSwapConvention beanToCopy)
{
this.currencyPair_Renamed = beanToCopy.CurrencyPair;
this.name_Renamed = beanToCopy.name;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
this.businessDayAdjustment_Renamed = beanToCopy.businessDayAdjustment;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case -391537158: // fixedLeg
this.fixedLeg_Renamed = (FixedRateSwapLegConvention)newValue;
break;
case -1177101272: // floatingLeg
this.floatingLeg_Renamed = (OvernightRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 1774606250: // overnightLeg
this.overnightLeg_Renamed = (OvernightRateSwapLegConvention)newValue;
break;
case 1610246066: // iborLeg
this.iborLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1005147787: // currencyPair
this.currencyPair_Renamed = (CurrencyPair)newValue;
break;
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case -1065319863: // businessDayAdjustment
this.businessDayAdjustment_Renamed = (BusinessDayAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 100346066: // index
this.index_Renamed = (FxIndex)newValue;
break;
case 727652476: // referenceCurrency
this.referenceCurrency_Renamed = (Currency)newValue;
break;
case 232554996: // fixingRelativeTo
this.fixingRelativeTo_Renamed = (FxResetFixingRelativeTo)newValue;
break;
case 873743726: // fixingDateOffset
this.fixingDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case -931164883: // initialNotionalValue
this.initialNotionalValue_Renamed = (double?)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(ImmutableFxIndex beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.currencyPair_Renamed = beanToCopy.CurrencyPair;
this.fixingCalendar_Renamed = beanToCopy.FixingCalendar;
this.fixingDateOffset_Renamed = beanToCopy.FixingDateOffset;
this.maturityDateOffset_Renamed = beanToCopy.MaturityDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableThreeLegBasisSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.spreadLeg_Renamed = beanToCopy.SpreadLeg;
this.spreadFloatingLeg_Renamed = beanToCopy.SpreadFloatingLeg;
this.flatFloatingLeg_Renamed = beanToCopy.FlatFloatingLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(FxResetCalculation beanToCopy)
{
this.index_Renamed = beanToCopy.Index;
this.referenceCurrency_Renamed = beanToCopy.ReferenceCurrency;
this.fixingRelativeTo_Renamed = beanToCopy.FixingRelativeTo;
this.fixingDateOffset_Renamed = beanToCopy.FixingDateOffset;
this.initialNotionalValue_Renamed = beanToCopy.initialNotionalValue;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableTermDepositConvention beanToCopy)
{
this.currency_Renamed = beanToCopy.Currency;
this.name_Renamed = beanToCopy.Name;
this.businessDayAdjustment_Renamed = beanToCopy.BusinessDayAdjustment;
this.dayCount_Renamed = beanToCopy.DayCount;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(InflationRateSwapLegConvention beanToCopy)
{
this.index_Renamed = beanToCopy.Index;
this.lag_Renamed = beanToCopy.Lag;
this.indexCalculationMethod_Renamed = beanToCopy.IndexCalculationMethod;
this.notionalExchange_Renamed = beanToCopy.NotionalExchange;
this.paymentDateOffset_Renamed = beanToCopy.paymentDateOffset;
this.accrualBusinessDayAdjustment_Renamed = beanToCopy.accrualBusinessDayAdjustment;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(DepositIsdaCreditCurveNode beanToCopy)
{
this.label_Renamed = beanToCopy.Label;
this.observableId_Renamed = beanToCopy.ObservableId;
this.tenor_Renamed = beanToCopy.Tenor;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
this.businessDayAdjustment_Renamed = beanToCopy.BusinessDayAdjustment;
this.dayCount_Renamed = beanToCopy.DayCount;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(BillSecurity beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.notional_Renamed = beanToCopy.Notional;
this.dayCount_Renamed = beanToCopy.DayCount;
this.yieldConvention_Renamed = beanToCopy.YieldConvention;
this.legalEntityId_Renamed = beanToCopy.LegalEntityId;
this.settlementDateOffset_Renamed = beanToCopy.SettlementDateOffset;
}
private ImmutableFxSwapConvention(CurrencyPair currencyPair, string name, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment)
{
JodaBeanUtils.notNull(currencyPair, "currencyPair");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.currencyPair = currencyPair;
this.name = name;
this.spotDateOffset = spotDateOffset;
this.businessDayAdjustment = businessDayAdjustment;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
protected internal Builder(ResolvedBill beanToCopy)
{
this.securityId_Renamed = beanToCopy.SecurityId;
this.notional_Renamed = beanToCopy.Notional;
this.dayCount_Renamed = beanToCopy.DayCount;
this.yieldConvention_Renamed = beanToCopy.YieldConvention;
this.legalEntityId_Renamed = beanToCopy.LegalEntityId;
this.settlementDateOffset_Renamed = beanToCopy.SettlementDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableIborFixingDepositConvention beanToCopy)
{
this.index_Renamed = beanToCopy.Index;
this.name_Renamed = beanToCopy.name;
this.currency_Renamed = beanToCopy.currency;
this.dayCount_Renamed = beanToCopy.dayCount;
this.spotDateOffset_Renamed = beanToCopy.spotDateOffset;
this.businessDayAdjustment_Renamed = beanToCopy.businessDayAdjustment;
this.fixingDateOffset_Renamed = beanToCopy.fixingDateOffset;
}
private ImmutableIborFixingDepositConvention(IborIndex index, string name, Currency currency, DayCount dayCount, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, DaysAdjustment fixingDateOffset)
{
JodaBeanUtils.notNull(index, "index");
this.index = index;
this.name = name;
this.currency = currency;
this.dayCount = dayCount;
this.spotDateOffset = spotDateOffset;
this.businessDayAdjustment = businessDayAdjustment;
this.fixingDateOffset = fixingDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(IborCapFloorLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.paymentDateOffset_Renamed = beanToCopy.PaymentDateOffset;
this.currency_Renamed = beanToCopy.Currency;
this.notional_Renamed = beanToCopy.Notional;
this.calculation_Renamed = beanToCopy.Calculation;
this.capSchedule_Renamed = beanToCopy.capSchedule;
this.floorSchedule_Renamed = beanToCopy.floorSchedule;
}
private ImmutableIborIborSwapConvention(string name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(spreadLeg, "spreadLeg");
JodaBeanUtils.notNull(flatLeg, "flatLeg");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.name = name;
this.spreadLeg = spreadLeg;
this.flatLeg = flatLeg;
this.spotDateOffset = spotDateOffset;
validate();
}
