public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (FixedInflationSwapTemplate)newValue;
break;
case -938107365: // rateId
this.rateId_Renamed = (ObservableId)newValue;
break;
case 291232890: // additionalSpread
this.additionalSpread_Renamed = (double?)newValue.Value;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case 3076014: // date
this.date_Renamed = (CurveNodeDate)newValue;
break;
case -263699392: // dateOrder
this.dateOrder_Renamed = (CurveNodeDateOrder)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
FixedInflationSwapCurveNode test2 = FixedInflationSwapCurveNode.of(FixedInflationSwapTemplate.of(TENOR_10Y, FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(FixedInflationSwapCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.rateId_Renamed = beanToCopy.RateId;
this.additionalSpread_Renamed = beanToCopy.AdditionalSpread;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
private FixedInflationSwapCurveNode(FixedInflationSwapTemplate template, ObservableId rateId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(rateId, "rateId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.rateId = rateId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
private static CurveNode curveFixedInflationCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
Matcher matcher = SIMPLE_YM_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (!matcher.matches())
{
throw new System.ArgumentException(Messages.format("Invalid time format for Fixed-Inflation swap: {}", timeStr));
}
Period periodToEnd = Period.parse("P" + matcher.group(1));
FixedInflationSwapConvention convention = FixedInflationSwapConvention.of(conventionStr);
FixedInflationSwapTemplate template = FixedInflationSwapTemplate.of(Tenor.of(periodToEnd), convention);
return(FixedInflationSwapCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
static CalibrationInflationUsdTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[CPI_CURVE_NAME] = usdLibor3Set;
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
for (int i = 0; i < CPI_NB_NODES; i++)
{
CPI_NODES[i] = FixedInflationSwapCurveNode.builder().template(FixedInflationSwapTemplate.of(Tenor.of(CPI_TENORS[i]), FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI)).rateId(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i]))).date(CurveNodeDate.LAST_FIXING).build();
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < CPI_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i])), CPI_MARKET_QUOTES[i]);
}
builder.addTimeSeries(IndexQuoteId.of(US_CPI_U), TS_USD_CPI);
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupCpi = new List <CurveNode[]>();
groupCpi.Add(CPI_NODES);
CURVES_NODES.Add(groupCpi);
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the template for the swap associated with this node. </summary>
/// <param name="template"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder template(FixedInflationSwapTemplate template)
{
JodaBeanUtils.notNull(template, "template");
this.template_Renamed = template;
return(this);
}
/// <summary>
/// Returns a curve node for a Fixed-Inflation swap using the specified instrument template,
/// rate key, spread and label.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <param name="label"> the label to use for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static FixedInflationSwapCurveNode of(FixedInflationSwapTemplate template, ObservableId rateId, double additionalSpread, string label)
{
return(new FixedInflationSwapCurveNode(template, rateId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT));
}
/// <summary>
/// Returns a curve node for a Fixed-Inflation swap using the specified instrument template, rate key and spread.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static FixedInflationSwapCurveNode of(FixedInflationSwapTemplate template, ObservableId rateId, double additionalSpread)
{
return(builder().template(template).rateId(rateId).additionalSpread(additionalSpread).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns a curve node for a Fixed-Inflation swap using the specified instrument template and rate key.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template used for building the instrument for the node </param>
/// <param name="rateId"> the identifier of the market rate used when building the instrument for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static FixedInflationSwapCurveNode of(FixedInflationSwapTemplate template, ObservableId rateId)
{
return(of(template, rateId, 0d));
}
