public virtual void test_rate_IborRateComputation()
{
RateComputationFn <IborRateComputation> mockIbor = mock(typeof(RateComputationFn));
IborRateComputation ro = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
when(mockIbor.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(0.0123d);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(mockIbor, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
FixedRateComputation @fixed = FixedRateComputation.of(0.0123d);
IborRateComputation ibor = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
IborInterpolatedRateComputation iborInt = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
IborAveragedRateComputation iborAvg = IborAveragedRateComputation.of(ImmutableList.of(IborAveragedFixing.of(ibor.Observation)));
OvernightCompoundedRateComputation onCpd = OvernightCompoundedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
OvernightAveragedRateComputation onAvg = OvernightAveragedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
OvernightAveragedDailyRateComputation onAvgDly = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);
InflationMonthlyRateComputation inflationMonthly = InflationMonthlyRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH);
InflationInterpolatedRateComputation inflationInterp = InflationInterpolatedRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH, 0.3);
InflationEndMonthRateComputation inflationEndMonth = InflationEndMonthRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH);
InflationEndInterpolatedRateComputation inflationEndInterp = InflationEndInterpolatedRateComputation.of(US_CPI_U, 1234d, ACCRUAL_END_MONTH, 0.3);
RateComputation mock = mock(typeof(RateComputation));
ignoreThrows(() => test.rateSensitivity(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ExplainMapBuilder explain = ExplainMap.builder();
ignoreThrows(() => test.explainRate(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates the {@code RateComputation} for the stub.
/// </summary>
/// <param name="fixingDate"> the fixing date </param>
/// <param name="defaultIndex"> the default index to use if the stub has no rules </param>
/// <param name="refData"> the reference data </param>
/// <returns> the rate observation </returns>
internal RateComputation createRateComputation(LocalDate fixingDate, IborIndex defaultIndex, ReferenceData refData)
{
if (Interpolated)
{
return(IborInterpolatedRateComputation.of(index, indexInterpolated, fixingDate, refData));
}
else if (FloatingRate)
{
return(IborRateComputation.of(index, fixingDate, refData));
}
else if (FixedRate)
{
return(FixedRateComputation.of(fixedRate.Value));
}
else if (KnownAmount)
{
return(KnownAmountRateComputation.of(knownAmount));
}
else
{
return(IborRateComputation.of(defaultIndex, fixingDate, refData));
}
}
//-------------------------------------------------------------------------
public ResolvedIborCapFloorLeg resolve(ReferenceData refData)
{
Schedule adjustedSchedule = paymentSchedule.createSchedule(refData);
DoubleArray cap = CapSchedule.Present ? capSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray floor = FloorSchedule.Present ? floorSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray notionals = notional.resolveValues(adjustedSchedule);
DateAdjuster fixingDateAdjuster = calculation.FixingDateOffset.resolve(refData);
DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData);
System.Func <LocalDate, IborIndexObservation> obsFn = calculation.Index.resolve(refData);
ImmutableList.Builder <IborCapletFloorletPeriod> periodsBuild = ImmutableList.builder();
for (int i = 0; i < adjustedSchedule.size(); i++)
{
SchedulePeriod period = adjustedSchedule.getPeriod(i);
LocalDate paymentDate = paymentDateAdjuster.adjust(period.EndDate);
LocalDate fixingDate = fixingDateAdjuster.adjust((calculation.FixingRelativeTo.Equals(FixingRelativeTo.PERIOD_START)) ? period.StartDate : period.EndDate);
double signedNotional = payReceive.normalize(notionals.get(i));
periodsBuild.add(IborCapletFloorletPeriod.builder().unadjustedStartDate(period.UnadjustedStartDate).unadjustedEndDate(period.UnadjustedEndDate).startDate(period.StartDate).endDate(period.EndDate).iborRate(IborRateComputation.of(obsFn(fixingDate))).paymentDate(paymentDate).notional(signedNotional).currency(currency).yearFraction(period.yearFraction(calculation.DayCount, adjustedSchedule)).caplet(cap != null ? cap.get(i) : null).floorlet(floor != null ? floor.get(i) : null).build());
}
return(ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periodsBuild.build()).payReceive(payReceive).build());
}
//-------------------------------------------------------------------------
public ResolvedIborFuture resolve(ReferenceData refData)
{
IborRateComputation iborRate = IborRateComputation.of(index, lastTradeDate, refData);
return(new ResolvedIborFuture(securityId, currency, notional, accrualFactor, iborRate, rounding));
}
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);
}