// parse full definition
private static FxSwapTrade parseFull(CsvRow row, TradeInfo info)
{
FxSingle nearFx = FxSingleTradeCsvLoader.parseFxSingle(row, "");
FxSingle farFx = FxSingleTradeCsvLoader.parseFxSingle(row, "Far ");
return(FxSwapTrade.of(info, FxSwap.of(nearFx, farFx)));
}
public virtual void test_currentCash_onPaymentDate()
{
LocalDate paymentDate = RFRA.PaymentDate;
double publishedRate = 0.025;
ResolvedFraTrade trade = FraTrade.builder().info(TradeInfo.builder().tradeDate(paymentDate).build()).product(FRA).build().resolve(REF_DATA);
ImmutableRatesProvider ratesProvider = RatesProviderDataSets.multiGbp(paymentDate).toBuilder().timeSeries(GBP_LIBOR_3M, LocalDateDoubleTimeSeries.of(paymentDate, publishedRate)).build();
assertEquals(PRICER_TRADE.currentCash(trade, ratesProvider), CurrencyAmount.of(FRA.Currency, (publishedRate - FRA.FixedRate) / (1d + publishedRate * RFRA.YearFraction) * RFRA.YearFraction * RFRA.Notional));
}
// parses a SecurityTrade from the CSV row
private static SecurityTrade parseSecurityTrade(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
string securityIdScheme = row.findValue(SECURITY_ID_SCHEME_FIELD).orElse(DEFAULT_SECURITY_SCHEME);
string securityIdValue = row.getValue(SECURITY_ID_FIELD);
SecurityId securityId = SecurityId.of(securityIdScheme, securityIdValue);
double price = LoaderUtils.parseDouble(row.getValue(PRICE_FIELD));
double quantity = parseTradeQuantity(row);
return(SecurityTrade.of(info, securityId, quantity, price));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedTradeParameterMetadata test1 = ResolvedTradeParameterMetadata.of(TRADE, "Label");
coverImmutableBean(test1);
ResolvedTrade trade = ResolvedBulletPaymentTrade.of(TradeInfo.empty(), BulletPayment.builder().date(AdjustableDate.of(LocalDate.of(2017, 3, 3))).value(CurrencyAmount.of(Currency.USD, 100d)).payReceive(PayReceive.PAY).build().resolve(REF_DATA));
ResolvedTradeParameterMetadata test2 = ResolvedTradeParameterMetadata.builder().trade(trade).label("Label2").build();
coverBeanEquals(test1, test2);
}
// parses the trade
private static FxSingleTrade parseRow(CsvRow row, TradeInfo info)
{
if (row.findValue(CONVENTION_FIELD).Present || row.findValue(BUY_SELL_FIELD).Present)
{
return(parseConvention(row, info));
}
else
{
return(parseFull(row, info));
}
}
// convention-based
// ideally we'd use the trade date plus "period to start" to get the spot/payment date
// but we don't have all the data and it gets complicated in places like TRY, RUB and AED
private static FxSingleTrade parseConvention(CsvRow row, TradeInfo info)
{
CurrencyPair pair = CurrencyPair.parse(row.getValue(CONVENTION_FIELD));
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fxRate = LoaderUtils.parseDouble(row.getValue(FX_RATE_FIELD));
LocalDate paymentDate = LoaderUtils.parseDate(row.getValue(PAYMENT_DATE_FIELD));
Optional <BusinessDayAdjustment> paymentAdj = parsePaymentDateAdjustment(row);
CurrencyAmount amount = CurrencyAmount.of(currency, buySell.normalize(notional));
FxSingle fx = paymentAdj.map(adj => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate, adj)).orElseGet(() => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate));
return(FxSingleTrade.of(info, fx));
}
// parses a trade from the CSV row
internal static SecurityQuantityTrade parseTrade(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
SecurityTrade trade = parseSecurityTrade(row, info, resolver);
SecurityTrade @base = resolver.completeTrade(row, trade);
double?tickSizeOpt = row.findValue(TICK_SIZE).map(str => LoaderUtils.parseDouble(str));
Optional <Currency> currencyOpt = row.findValue(CURRENCY).map(str => Currency.of(str));
double?tickValueOpt = row.findValue(TICK_VALUE).map(str => LoaderUtils.parseDouble(str));
double contractSize = row.findValue(CONTRACT_SIZE).map(str => LoaderUtils.parseDouble(str)).orElse(1d);
if (tickSizeOpt.HasValue && currencyOpt.Present && tickValueOpt.HasValue)
{
SecurityPriceInfo priceInfo = SecurityPriceInfo.of(tickSizeOpt.Value, CurrencyAmount.of(currencyOpt.get(), tickValueOpt.Value), contractSize);
GenericSecurity sec = GenericSecurity.of(SecurityInfo.of(@base.SecurityId, priceInfo));
return(GenericSecurityTrade.of(@base.Info, sec, @base.Quantity, @base.Price));
}
return(@base);
}
/// <summary>
/// Parses the data from a CSV row.
/// </summary>
/// <param name="row"> the CSV row object </param>
/// <param name="info"> the trade info object </param>
/// <param name="resolver"> the resolver used to parse additional information. This is not currently used in this method. </param>
/// <returns> the parsed trade, as an instance of <seealso cref="FxSingleTrade"/> </returns>
internal static FxSingleTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
FxSingleTrade trade = parseRow(row, info);
return(resolver.completeTrade(row, trade));
}
// parse full definition
private static FxSingleTrade parseFull(CsvRow row, TradeInfo info)
{
FxSingle fx = parseFxSingle(row, "");
return(FxSingleTrade.of(info, fx));
}
static SpreadSensitivityCalculatorTest()
{
double flatRate = 0.05;
double t = 20.0;
YIELD_CURVE = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
ImmutableMarketDataBuilder dataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
dataBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketData = dataBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
CREDIT_CURVE = BUILDER.calibrate(definition, marketData, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)CREDIT_CURVE.SurvivalProbabilities).Curve;
NodalCurve curveWithFactor = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CREDIT_CURVE_INDEX = LegalEntitySurvivalProbabilities.of(INDEX_ID, IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, curveWithFactor));
}
// parse the row to a trade
private static TermDepositTrade parseRow(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = LoaderUtils.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional <TermDepositConvention> conventionOpt = row.findValue(CONVENTION_FIELD).map(s => TermDepositConvention.of(s));
Optional <Period> tenorOpt = row.findValue(TENOR_FIELD).map(s => LoaderUtils.parseTenor(s).Period);
Optional <LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <Currency> currencyOpt = row.findValue(CURRENCY_FIELD).map(s => Currency.parse(s));
Optional <DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional <HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s => HolidayCalendarId.of(s));
// use convention if available
if (conventionOpt.Present)
{
if (currencyOpt.Present || dayCountOpt.Present)
{
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. When '" + CONVENTION_FIELD + "' is present these fields must not be present: " + ImmutableList.of(CURRENCY_FIELD, DAY_COUNT_FIELD));
}
TermDepositConvention convention = conventionOpt.get();
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (tenorOpt.Present)
{
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(TENOR_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
TermDepositTrade trade = convention.toTrade(info, startDate, endDate, buySell, notional, fixedRate);
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
// relative dates
if (tenorOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, TENOR_FIELD, TRADE_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.TradeDate.get();
Period periodToStart = tenorOpt.get();
TermDepositTrade trade = convention.createTrade(tradeDate, periodToStart, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
}
else if (startDateOpt.Present && endDateOpt.Present && currencyOpt.Present && dayCountOpt.Present)
{
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
Currency currency = currencyOpt.get();
DayCount dayCount = dayCountOpt.get();
TermDeposit.Builder builder = TermDeposit.builder().buySell(buySell).currency(currency).notional(notional).startDate(startDate).endDate(endDate).dayCount(dayCount).rate(fixedRate);
TermDepositTrade trade = TermDepositTrade.of(info, builder.build());
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
// no match
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. These fields are mandatory:" + ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) + " and one of these combinations is mandatory: " + ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " or " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, CURRENCY_FIELD, DAY_COUNT_FIELD));
}
/// <summary>
/// Parses from the CSV row.
/// </summary>
/// <param name="row"> the CSV row </param>
/// <param name="info"> the trade info </param>
/// <param name="resolver"> the resolver used to parse additional information </param>
/// <returns> the parsed trade </returns>
internal static TermDepositTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
TermDepositTrade trade = parseRow(row, info, resolver);
return(resolver.completeTrade(row, trade));
}
static CreditDataSet()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
double flatRate = 0.05;
double t = 20.0;
IsdaCreditDiscountFactors yieldCurve = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
DISCOUNT_CURVE = yieldCurve.Curve;
RecoveryRates recoveryRate = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION_DATE, RECOVERY_RATE);
// create the curve nodes and input market quotes
ImmutableMarketDataBuilder marketQuoteBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
marketQuoteBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketQuotes = marketQuoteBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, recoveryRate)).discountCurves(ImmutableMap.of(USD, yieldCurve)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
// calibrate
LegalEntitySurvivalProbabilities calibrated = BUILDER.calibrate(definition, marketQuotes, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)calibrated.SurvivalProbabilities).Curve;
CDS_CREDIT_CURVE = underlyingCurve;
INDEX_CREDIT_CURVE = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CDS_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("CDS recovery rate", ACT_365F), RECOVERY_RATE);
INDEX_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("Index recovery rate", ACT_365F), RECOVERY_RATE);
}
// parse the row to a trade
private static FraTrade parseRow(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = LoaderUtils.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional <FraConvention> conventionOpt = row.findValue(CONVENTION_FIELD).map(s => FraConvention.of(s));
Optional <Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s => LoaderUtils.parsePeriod(s));
Optional <LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <IborIndex> indexOpt = row.findValue(INDEX_FIELD).map(s => IborIndex.of(s));
Optional <IborIndex> interpolatedOpt = row.findValue(INTERPOLATED_INDEX_FIELD).map(s => IborIndex.of(s));
Optional <DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional <HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s => HolidayCalendarId.of(s));
// not parsing paymentDate, fixingDateOffset, discounting
// use convention if available
if (conventionOpt.Present)
{
if (indexOpt.Present || interpolatedOpt.Present || dayCountOpt.Present)
{
throw new System.ArgumentException("Fra trade had invalid combination of fields. When '" + CONVENTION_FIELD + "' is present these fields must not be present: " + ImmutableList.of(INDEX_FIELD, INTERPOLATED_INDEX_FIELD, DAY_COUNT_FIELD));
}
FraConvention convention = conventionOpt.get();
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (periodToStartOpt.Present)
{
throw new System.ArgumentException("Fra trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
// NOTE: payment date assumed to be the start date
FraTrade trade = convention.toTrade(info, startDate, endDate, startDate, buySell, notional, fixedRate);
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
// relative dates
if (periodToStartOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Fra trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_FIELD, TRADE_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.TradeDate.get();
Period periodToStart = periodToStartOpt.get();
FraTrade trade = convention.createTrade(tradeDate, periodToStart, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
}
else if (startDateOpt.Present && endDateOpt.Present && indexOpt.Present)
{
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
IborIndex index = indexOpt.get();
Fra.Builder builder = Fra.builder().buySell(buySell).notional(notional).startDate(startDate).endDate(endDate).fixedRate(fixedRate).index(index);
interpolatedOpt.ifPresent(interpolated => builder.indexInterpolated(interpolated));
dayCountOpt.ifPresent(dayCount => builder.dayCount(dayCount));
return(adjustTrade(FraTrade.of(info, builder.build()), dateCnv, dateCalOpt));
}
// no match
throw new System.ArgumentException("Fra trade had invalid combination of fields. These fields are mandatory:" + ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) + " and one of these combinations is mandatory: " + ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, PERIOD_TO_START_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " or " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, INDEX_FIELD));
}