//-------------------------------------------------------------------------
public TermDepositTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double rate)
{
Optional <LocalDate> tradeDate = tradeInfo.TradeDate;
if (tradeDate.Present)
{
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
return(TermDepositTrade.builder().info(tradeInfo).product(TermDeposit.builder().buySell(buySell).currency(currency).notional(notional).startDate(startDate).endDate(endDate).businessDayAdjustment(businessDayAdjustment).rate(rate).dayCount(dayCount).build()).build());
}
public virtual void test_trade()
{
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
TermDepositTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit depositExpected = TermDeposit.builder().buySell(BuySell.BUY).currency(EUR).dayCount(ACT_360).startDate(startDateExpected).endDate(endDateExpected).notional(1.0d).businessDayAdjustment(BDA_MOD_FOLLOW).rate(rate + SPREAD).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build();
assertEquals(trade.Product, depositExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
public virtual void test_createTrade()
{
TermDepositTemplate template = TermDepositTemplate.of(DEPOSIT_PERIOD, CONVENTION);
LocalDate tradeDate = LocalDate.of(2015, 1, 23);
BuySell buy = BuySell.BUY;
double notional = 2_000_000d;
double rate = 0.0125;
TermDepositTrade trade = template.createTrade(tradeDate, buy, notional, rate, REF_DATA);
TradeInfo tradeInfoExpected = TradeInfo.of(tradeDate);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit productExpected = TermDeposit.builder().buySell(buy).currency(EUR).notional(notional).businessDayAdjustment(BDA_MOD_FOLLOW).startDate(startDateExpected).endDate(endDateExpected).rate(rate).dayCount(ACT_360).build();
assertEquals(trade.Info, tradeInfoExpected);
assertEquals(trade.Product, productExpected);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade()
{
TermDepositConvention convention = ImmutableTermDepositConvention.builder().name("EUR-Dep").businessDayAdjustment(BDA_MOD_FOLLOW).currency(EUR).dayCount(ACT_360).spotDateOffset(PLUS_TWO_DAYS).build();
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
Period period3M = Period.ofMonths(3);
BuySell buy = BuySell.BUY;
double notional = 2_000_000d;
double rate = 0.0125;
TermDepositTrade trade = convention.createTrade(tradeDate, period3M, buy, notional, rate, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(period3M);
TermDeposit termDepositExpected = TermDeposit.builder().buySell(buy).currency(EUR).notional(notional).startDate(startDateExpected).endDate(endDateExpected).businessDayAdjustment(BDA_MOD_FOLLOW).rate(rate).dayCount(ACT_360).build();
TradeInfo tradeInfoExpected = TradeInfo.of(tradeDate);
assertEquals(trade.Product, termDepositExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
//-----------------------------------------------------------------------
// create a TermDeposit trade
private static Trade createTrade1()
{
TermDeposit td = TermDeposit.builder().buySell(BuySell.BUY).startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2014, 12, 12)).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, HolidayCalendarIds.GBLO)).currency(Currency.USD).notional(10_000_000).dayCount(DayCounts.THIRTY_360_ISDA).rate(0.003).build();
return(TermDepositTrade.builder().product(td).info(TradeInfo.builder().id(StandardId.of("example", "1")).addAttribute(AttributeType.DESCRIPTION, "Deposit 10M at 3%").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 12, 16)).build()).build());
}
