// creates an observation
private FxIndexObservation create(LocalDate fixingDate, HolidayCalendar fixingCal, DateAdjuster maturityAdjuster)
{
LocalDate fixingBusinessDay = fixingCal.nextOrSame(fixingDate);
LocalDate maturityDate = maturityAdjuster.adjust(fixingBusinessDay);
return(new FxIndexObservation(this, fixingDate, maturityDate));
}
//-------------------------------------------------------------------------
public LocalDate calculateMaturityFromFixing(LocalDate fixingDate, ReferenceData refData)
{
// handle case where the input date is not a valid fixing date
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
LocalDate fixingBusinessDay = fixingCal.nextOrSame(fixingDate);
// find the maturity date using the offset and calendar in DaysAdjustment
return(maturityDateOffset.adjust(fixingBusinessDay, refData));
}
public LocalDate calculateMaturityFromEffective(LocalDate effectiveDate, ReferenceData refData)
{
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return(fixingCal.shift(fixingCal.nextOrSame(effectiveDate), 1));
}
public LocalDate calculateEffectiveFromFixing(LocalDate fixingDate, ReferenceData refData)
{
HolidayCalendar fixingCal = fixingCalendar.resolve(refData);
return(fixingCal.shift(fixingCal.nextOrSame(fixingDate), effectiveDateOffset));
}