//------------------------------------------------------------------------- // overnight rate calculation private static RateCalculation parseOvernightRateCalculation(CsvRow row, string leg, OvernightIndex overnightIndex, OvernightAccrualMethod accrualMethod) { OvernightRateCalculation.Builder builder = OvernightRateCalculation.builder(); // basics builder.index(overnightIndex); builder.accrualMethod(findValue(row, leg, ACCRUAL_METHOD_FIELD).map(s => OvernightAccrualMethod.of(s)).orElse(accrualMethod)); // optionals findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).ifPresent(v => builder.dayCount(v)); findValue(row, leg, RATE_CUT_OFF_DAYS_FIELD).map(s => Convert.ToInt32(s)).ifPresent(v => builder.rateCutOffDays(v)); findValue(row, leg, NEGATIVE_RATE_METHOD_FIELD).map(s => NegativeRateMethod.of(s)).ifPresent(v => builder.negativeRateMethod(v)); findValue(row, leg, GEARING_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.gearing(ValueSchedule.of(v))); findValue(row, leg, SPREAD_FIELD).map(s => LoaderUtils.parseDoublePercent(s)).ifPresent(v => builder.spread(ValueSchedule.of(v))); return(builder.build()); }
// Create a compounding fixed vs fed funds swap private static Trade createCompoundingFixedVsFedFundsSwap() { NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000); SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 5)).endDate(LocalDate.of(2014, 4, 7)).frequency(Frequency.TERM).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.00123, DayCounts.ACT_360)).build(); SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 5)).endDate(LocalDate.of(2014, 4, 7)).frequency(Frequency.TERM).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(OvernightRateCalculation.of(OvernightIndices.USD_FED_FUND)).build(); return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "11")).addAttribute(AttributeType.DESCRIPTION, "Compounding fixed vs fed funds").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 2, 5)).build()).build()); }
// Create a compounding fed funds vs libor 3m swap private static Trade createCompoundingFedFundsVsLibor3mSwap() { NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000); SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build(); SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(OvernightRateCalculation.builder().index(OvernightIndices.USD_FED_FUND).accrualMethod(OvernightAccrualMethod.AVERAGED).build()).build(); return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "12")).addAttribute(AttributeType.DESCRIPTION, "Compounding fed funds vs libor 3m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build()); }
// Converts an FpML 'FloatingRateCalculation' to a {@code RateCalculation}. private RateCalculation parseFloat(XmlElement legEl, XmlElement calcEl, XmlElement floatingEl, PeriodicSchedule accrualSchedule, FpmlDocument document) { // supported elements: // 'calculationPeriodAmount/calculation/floatingRateCalculation' // 'calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateIndex' // 'calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor?' // 'calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateMultiplierSchedule?' // 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule*' // 'calculationPeriodAmount/calculation/floatingRateCalculation/initialRate?' (Ibor only) // 'calculationPeriodAmount/calculation/floatingRateCalculation/averagingMethod?' // 'calculationPeriodAmount/calculation/floatingRateCalculation/negativeInterestRateTreatment?' // 'calculationPeriodAmount/calculation/dayCountFraction' // 'resetDates/resetRelativeTo' // 'resetDates/fixingDates' // 'resetDates/rateCutOffDaysOffset' (OIS only) // 'resetDates/resetFrequency' // 'resetDates/resetDatesAdjustments' // 'stubCalculationPeriodAmount/initalStub' (Ibor only, Overnight must match index) // 'stubCalculationPeriodAmount/finalStub' (Ibor only, Overnight must match index) // ignored elements: // 'calculationPeriodAmount/calculation/floatingRateCalculation/finalRateRounding?' // 'calculationPeriodAmount/calculation/discounting?' // 'resetDates/calculationPeriodDatesReference' // rejected elements: // 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule/type?' // 'calculationPeriodAmount/calculation/floatingRateCalculation/rateTreatment?' // 'calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule?' // 'calculationPeriodAmount/calculation/floatingRateCalculation/floorRateSchedule?' // 'resetDates/initialFixingDate' document.validateNotPresent(floatingEl, "rateTreatment"); document.validateNotPresent(floatingEl, "capRateSchedule"); document.validateNotPresent(floatingEl, "floorRateSchedule"); Index index = document.parseIndex(floatingEl); if (index is IborIndex) { IborRateCalculation.Builder iborRateBuilder = IborRateCalculation.builder(); // day count iborRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction"))); // index iborRateBuilder.index((IborIndex)document.parseIndex(floatingEl)); // gearing floatingEl.findChild("floatingRateMultiplierSchedule").ifPresent(el => { iborRateBuilder.gearing(parseSchedule(el, document)); }); // spread if (floatingEl.getChildren("spreadSchedule").size() > 1) { throw new FpmlParseException("Only one 'spreadSchedule' is supported"); } floatingEl.findChild("spreadSchedule").ifPresent(el => { document.validateNotPresent(el, "type"); iborRateBuilder.spread(parseSchedule(el, document)); }); // initial fixed rate floatingEl.findChild("initialRate").ifPresent(el => { iborRateBuilder.firstRegularRate(document.parseDecimal(el)); }); // negative rates floatingEl.findChild("negativeInterestRateTreatment").ifPresent(el => { iborRateBuilder.negativeRateMethod(parseNegativeInterestRateTreatment(el)); }); // resets legEl.findChild("resetDates").ifPresent(resetDatesEl => { document.validateNotPresent(resetDatesEl, "initialFixingDate"); document.validateNotPresent(resetDatesEl, "rateCutOffDaysOffset"); resetDatesEl.findChild("resetRelativeTo").ifPresent(el => { iborRateBuilder.fixingRelativeTo(parseResetRelativeTo(el)); }); iborRateBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(resetDatesEl.getChild("fixingDates"))); Frequency resetFreq = document.parseFrequency(resetDatesEl.getChild("resetFrequency")); if (!accrualSchedule.Frequency.Equals(resetFreq)) { ResetSchedule.Builder resetScheduleBuilder = ResetSchedule.builder(); resetScheduleBuilder.resetFrequency(resetFreq); floatingEl.findChild("averagingMethod").ifPresent(el => { resetScheduleBuilder.resetMethod(parseAveragingMethod(el)); }); resetScheduleBuilder.businessDayAdjustment(document.parseBusinessDayAdjustments(resetDatesEl.getChild("resetDatesAdjustments"))); iborRateBuilder.resetPeriods(resetScheduleBuilder.build()); } }); // stubs legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl => { stubsEl.findChild("initialStub").ifPresent(el => { iborRateBuilder.initialStub(parseStubCalculation(el, document)); }); stubsEl.findChild("finalStub").ifPresent(el => { iborRateBuilder.finalStub(parseStubCalculation(el, document)); }); }); return(iborRateBuilder.build()); } else if (index is OvernightIndex) { OvernightRateCalculation.Builder overnightRateBuilder = OvernightRateCalculation.builder(); document.validateNotPresent(floatingEl, "initialRate"); // TODO: should support this in the model // stubs legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl => { stubsEl.findChild("initialStub").ifPresent(el => { checkStubForOvernightIndex(el, document, (OvernightIndex)index); }); stubsEl.findChild("finalStub").ifPresent(el => { checkStubForOvernightIndex(el, document, (OvernightIndex)index); }); }); // day count overnightRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction"))); // index overnightRateBuilder.index((OvernightIndex)document.parseIndex(floatingEl)); // accrual method FloatingRateName idx = FloatingRateName.of(floatingEl.getChild("floatingRateIndex").Content); if (idx.Type == FloatingRateType.OVERNIGHT_COMPOUNDED) { overnightRateBuilder.accrualMethod(OvernightAccrualMethod.COMPOUNDED); } // gearing floatingEl.findChild("floatingRateMultiplierSchedule").ifPresent(el => { overnightRateBuilder.gearing(parseSchedule(el, document)); }); // spread if (floatingEl.getChildren("spreadSchedule").size() > 1) { throw new FpmlParseException("Only one 'spreadSchedule' is supported"); } floatingEl.findChild("spreadSchedule").ifPresent(el => { document.validateNotPresent(el, "type"); overnightRateBuilder.spread(parseSchedule(el, document)); }); // negative rates floatingEl.findChild("negativeInterestRateTreatment").ifPresent(el => { overnightRateBuilder.negativeRateMethod(parseNegativeInterestRateTreatment(el)); }); // rate cut off legEl.findChild("resetDates").ifPresent(resetDatesEl => { document.validateNotPresent(resetDatesEl, "initialFixingDate"); resetDatesEl.findChild("rateCutOffDaysOffset").ifPresent(el => { Period cutOff = document.parsePeriod(el); if (cutOff.toTotalMonths() != 0) { throw new FpmlParseException("Invalid 'rateCutOffDaysOffset' value, expected days-based period: " + cutOff); } overnightRateBuilder.rateCutOffDays(-cutOff.Days); }); }); return(overnightRateBuilder.build()); } else { throw new FpmlParseException("Invalid 'floatingRateIndex' type, not Ibor or Overnight"); } }
public virtual void test_toLeg_withSpread() { OvernightRateSwapLegConvention @base = OvernightRateSwapLegConvention.builder().index(GBP_SONIA).accrualMethod(AVERAGED).build(); LocalDate startDate = LocalDate.of(2015, 5, 5); LocalDate endDate = LocalDate.of(2020, 5, 5); RateCalculationSwapLeg test = @base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d); RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().frequency(TERM).startDate(startDate).endDate(endDate).businessDayAdjustment(BDA_MOD_FOLLOW).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)).calculation(OvernightRateCalculation.builder().index(GBP_SONIA).accrualMethod(AVERAGED).spread(ValueSchedule.of(0.25d)).build()).build(); assertEquals(test, expected); }
//------------------------------------------------------------------------- public virtual void test_toLeg() { OvernightRateSwapLegConvention @base = OvernightRateSwapLegConvention.of(GBP_SONIA, TERM, 2); LocalDate startDate = LocalDate.of(2015, 5, 5); LocalDate endDate = LocalDate.of(2020, 5, 5); RateCalculationSwapLeg test = @base.toLeg(startDate, endDate, PAY, NOTIONAL_2M); RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().frequency(TERM).startDate(startDate).endDate(endDate).businessDayAdjustment(BDA_MOD_FOLLOW).stubConvention(StubConvention.SMART_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBP_SONIA.FixingCalendar)).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)).calculation(OvernightRateCalculation.of(GBP_SONIA)).build(); assertEquals(test, expected); }
//------------------------------------------------------------------------- public virtual void test_OnAASpreadVsLibor3MSwap() { SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build(); SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(OvernightRateCalculation.builder().dayCount(ACT_360).index(USD_FED_FUND).accrualMethod(OvernightAccrualMethod.AVERAGED).rateCutOffDays(0).spread(ValueSchedule.of(0.0025)).build()).build(); ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 1, 15)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA); DiscountingSwapTradePricer pricer = swapPricer(); CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD); assertEquals(pv.Amount, -160663.8362, TOLERANCE_PV); }
//------------------------------------------------------------------------- public virtual void test_CompoundingOisFixed2mVsFedFund12mSwapWithFixing() { SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 17)).endDate(LocalDate.of(2014, 3, 17)).frequency(TERM).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, CalendarUSD.NYC)).build()).notionalSchedule(NOTIONAL).calculation(FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.of(0.00123)).build()).build(); SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 17)).endDate(LocalDate.of(2014, 3, 17)).frequency(TERM).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, CalendarUSD.NYC)).build()).notionalSchedule(NOTIONAL).calculation(OvernightRateCalculation.builder().dayCount(ACT_360).index(USD_FED_FUND).build()).build(); ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 1, 15)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA); DiscountingSwapTradePricer pricer = swapPricer(); CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD); assertEquals(pv.Amount, -7352.973875972721, TOLERANCE_PV); }