public virtual void test_resolve_beforeStart_threeDays()
{
FxResetCalculation @base = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_THREE_DAYS).build();
Optional <FxReset> test = @base.resolve(REF_DATA).apply(0, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertEquals(test, FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, date(2014, 3, 26), REF_DATA), GBP));
}
public virtual void test_resolve_beforeEnd_weekend()
{
FxResetCalculation @base = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).fixingRelativeTo(FxResetFixingRelativeTo.PERIOD_END).build();
Optional <FxReset> test = @base.resolve(REF_DATA).apply(0, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertEquals(test, FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, date(2014, 6, 26), REF_DATA), GBP));
}
public virtual void test_createSchedule_finalStubFullMerge()
{
PaymentSchedule test = PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build();
Schedule schedule = test.createSchedule(ACCRUAL_SCHEDULE_FINAL_STUB, REF_DATA);
Schedule expected = Schedule.builder().periods(SchedulePeriod.of(DATE_01_06, DATE_03_05, DATE_01_05, DATE_03_05), ACCRUAL3STUB).frequency(P2M).rollConvention(DAY_5).build();
assertEquals(schedule, expected);
}
public virtual void test_createSchedule_firstDate_validInitialStub()
{
PaymentSchedule test = PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).firstRegularStartDate(DATE_02_05).build();
Schedule schedule = test.createSchedule(ACCRUAL_SCHEDULE, REF_DATA);
Schedule expected = Schedule.builder().periods(SchedulePeriod.of(DATE_01_06, DATE_02_05, DATE_01_05, DATE_02_05), SchedulePeriod.of(DATE_02_05, DATE_04_07, DATE_02_05, DATE_04_05)).frequency(P2M).rollConvention(DAY_5).build();
assertEquals(schedule, expected);
}
public virtual void test_createSchedule_lastDate_finalAccrualStub()
{
PaymentSchedule test = PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).lastRegularEndDate(DATE_03_05).build();
Schedule schedule = test.createSchedule(ACCRUAL_SCHEDULE_FINAL_STUB_4PERIODS, REF_DATA);
Schedule expected = Schedule.builder().periods(SchedulePeriod.of(DATE_01_06, DATE_03_05, DATE_01_05, DATE_03_05), SchedulePeriod.of(DATE_03_05, DATE_04_30, DATE_03_05, DATE_04_30)).frequency(P2M).rollConvention(DAY_5).build();
assertEquals(schedule, expected);
}
public virtual void test_createSchedule_initialStubPartMergeBackwards()
{
PaymentSchedule test = PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build();
Schedule schedule = test.createSchedule(ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA);
Schedule expected = Schedule.builder().periods(ACCRUAL1STUB, SchedulePeriod.of(DATE_02_05, DATE_03_05, DATE_02_05, DATE_03_05), SchedulePeriod.of(DATE_03_05, DATE_05_06, DATE_03_05, DATE_05_05)).frequency(P2M).rollConvention(DAY_5).build();
assertEquals(schedule, expected);
}
//-------------------------------------------------------------------------
public virtual void selectDate()
{
LocalDate date1 = date(2014, 3, 27);
LocalDate date2 = date(2014, 6, 27);
SchedulePeriod period = SchedulePeriod.of(date1, date2);
assertEquals(FixingRelativeTo.PERIOD_START.selectBaseDate(period), date1);
assertEquals(FixingRelativeTo.PERIOD_END.selectBaseDate(period), date2);
}
public virtual void test_collectIndices_fxReset()
{
SchedulePeriod sched = SchedulePeriod.of(DATE_2014_03_30, DATE_2014_09_30);
KnownAmountNotionalSwapPaymentPeriod test = KnownAmountNotionalSwapPaymentPeriod.of(PAYMENT_2014_10_03, sched, USD_P50000, FX_RESET);
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of(FX_RESET.Index));
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
ResetSchedule test = ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build();
SchedulePeriod accrualPeriod = SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
Schedule schedule = test.createSchedule(DAY_5, REF_DATA).apply(accrualPeriod);
Schedule expected = Schedule.builder().periods(SchedulePeriod.of(DATE_01_06, DATE_02_05, DATE_01_05, DATE_02_05), SchedulePeriod.of(DATE_02_05, DATE_03_05, DATE_02_05, DATE_03_05), SchedulePeriod.of(DATE_03_05, DATE_04_07, DATE_03_05, DATE_04_05)).frequency(P1M).rollConvention(DAY_5).build();
assertEquals(schedule, expected);
}
public virtual void test_resolve_initial_notional_override()
{
FxResetCalculation @base = FxResetCalculation.builder().index(EUR_GBP_ECB).referenceCurrency(GBP).fixingDateOffset(MINUS_TWO_DAYS).initialNotionalValue(100000d).build();
Optional <FxReset> fxResetFirstPeriod = @base.resolve(REF_DATA).apply(0, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertFalse(fxResetFirstPeriod.Present);
Optional <FxReset> fxResetSecondPeriod = @base.resolve(REF_DATA).apply(1, SchedulePeriod.of(DATE_2014_03_31, DATE_2014_06_30));
assertTrue(fxResetSecondPeriod.Present);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
SchedulePeriod sched = SchedulePeriod.of(DATE_2014_03_30, DATE_2014_09_30);
KnownAmountSwapPaymentPeriod test = KnownAmountSwapPaymentPeriod.of(PAYMENT_2014_10_03, sched);
assertEquals(test.Payment, PAYMENT_2014_10_03);
assertEquals(test.StartDate, DATE_2014_03_30);
assertEquals(test.UnadjustedStartDate, DATE_2014_03_30);
assertEquals(test.EndDate, DATE_2014_09_30);
assertEquals(test.UnadjustedEndDate, DATE_2014_09_30);
assertEquals(test.PaymentDate, DATE_2014_10_03);
assertEquals(test.Currency, GBP);
}
public virtual void test_expand_distinctValues()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d, ValueStep.of(1, ValueAdjustment.ofReplace(0.020d)), ValueStep.of(2, ValueAdjustment.ofReplace(0.015d)))).build();
SchedulePeriod period1 = SchedulePeriod.of(date(2014, 1, 6), date(2014, 2, 5), date(2014, 1, 5), date(2014, 2, 5));
SchedulePeriod period2 = SchedulePeriod.of(date(2014, 1, 5), date(2014, 2, 5), date(2014, 2, 5), date(2014, 3, 5));
SchedulePeriod period3 = SchedulePeriod.of(date(2014, 3, 5), date(2014, 4, 7), date(2014, 3, 5), date(2014, 4, 5));
Schedule schedule = Schedule.builder().periods(period1, period2, period3).frequency(Frequency.P1M).rollConvention(RollConventions.DAY_5).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(period1).yearFraction(period1.yearFraction(ACT_365F, schedule)).rateComputation(FixedRateComputation.of(0.025d)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(period2).yearFraction(period2.yearFraction(ACT_365F, schedule)).rateComputation(FixedRateComputation.of(0.020d)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(period3).yearFraction(period3.yearFraction(ACT_365F, schedule)).rateComputation(FixedRateComputation.of(0.015d)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_builder_schedulePeriod()
{
SchedulePeriod schedulePeriod = SchedulePeriod.of(DATE_2014_03_31, DATE_2014_07_01, DATE_2014_03_30, DATE_2014_06_30);
RateAccrualPeriod test = RateAccrualPeriod.builder(schedulePeriod).yearFraction(0.25d).rateComputation(GBP_LIBOR_3M_2014_03_28).build();
assertEquals(test.StartDate, DATE_2014_03_31);
assertEquals(test.EndDate, DATE_2014_07_01);
assertEquals(test.UnadjustedStartDate, DATE_2014_03_30);
assertEquals(test.UnadjustedEndDate, DATE_2014_06_30);
assertEquals(test.YearFraction, 0.25d, 0d);
assertEquals(test.RateComputation, GBP_LIBOR_3M_2014_03_28);
assertEquals(test.Gearing, 1d, 0d);
assertEquals(test.Spread, 0d, 0d);
assertEquals(test.NegativeRateMethod, ALLOW_NEGATIVE);
}
public virtual void test_of_fxReset()
{
SchedulePeriod sched = SchedulePeriod.of(DATE_2014_03_30, DATE_2014_09_30);
KnownAmountNotionalSwapPaymentPeriod test = KnownAmountNotionalSwapPaymentPeriod.of(PAYMENT_2014_10_03, sched, USD_P50000, FX_RESET);
assertEquals(test.Payment, PAYMENT_2014_10_03);
assertEquals(test.StartDate, DATE_2014_03_30);
assertEquals(test.UnadjustedStartDate, DATE_2014_03_30);
assertEquals(test.EndDate, DATE_2014_09_30);
assertEquals(test.UnadjustedEndDate, DATE_2014_09_30);
assertEquals(test.PaymentDate, DATE_2014_10_03);
assertEquals(test.Currency, GBP);
assertEquals(test.NotionalAmount, USD_P50000);
assertEquals(test.FxResetObservation, FX_RESET);
}
public virtual void test_expand_initialStubAndResetPeriods_weighted_firstFixed()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstRegularRate(0.028d).initialStub(IborRateStubCalculation.ofFixedRate(0.030d)).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_02_05, DATE_04_07, DATE_02_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_360, schedule)).rateComputation(FixedRateComputation.of(0.030d)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06, 0.028d), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_360, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}
public virtual void test_findNotionalKnownAmount()
{
Payment payment = Payment.of(GBP, 1000, LocalDate.of(2011, 3, 8));
SchedulePeriod schedulePeriod = SchedulePeriod.of(LocalDate.of(2010, 3, 8), LocalDate.of(2011, 3, 8));
KnownAmountSwapPaymentPeriod paymentPeriod = KnownAmountSwapPaymentPeriod.of(payment, schedulePeriod);
ResolvedSwapLeg test = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(paymentPeriod).build();
// Date is before the start date
assertEquals(test.findNotional(RPP1.StartDate.minusMonths(1)), null);
// Date is on the start date
assertEquals(test.findNotional(RPP1.StartDate), null);
// Date is after the start date
assertEquals(test.findNotional(RPP1.StartDate.plusDays(1)), null);
// Date is before the end date
assertEquals(test.findNotional(RPP2.EndDate.minusDays(1)), null);
// Date is on the end date
assertEquals(test.findNotional(RPP2.EndDate), null);
// Date is after the end date
assertEquals(test.findNotional(RPP2.EndDate.plusMonths(1)), null);
}
public virtual void test_expand_resetPeriods_weighted_firstFixingDateOffset()
{
// only the fixing date of the first reset period is changed, everything else stays the same
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstFixingDateOffset(MINUS_ONE_DAY).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
IborIndexObservation obs1 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_01_03, REF_DATA);
IborIndexObservation obs2 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_02_03, REF_DATA);
IborIndexObservation obs3 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_03_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings1 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs1, DATE_01_06, DATE_02_05), IborAveragedFixing.ofDaysInResetPeriod(obs2, DATE_02_05, DATE_03_05), IborAveragedFixing.ofDaysInResetPeriod(obs3, DATE_03_05, DATE_04_07));
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings1)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}