public virtual void test_createTrade_withFee() { TenorCdsTemplate base1 = TenorCdsTemplate.of(TENOR_10Y, CONV1); TenorCdsTemplate base2 = TenorCdsTemplate.of(AccrualStart.NEXT_DAY, TENOR_2Y, CONV2); LocalDate tradeDate = LocalDate.of(2015, 5, 5); AdjustablePayment payment1 = AdjustablePayment.of(EUR, NOTIONAL_2M, CONV1.SettlementDateOffset.adjust(tradeDate, REF_DATA)); AdjustablePayment payment2 = AdjustablePayment.of(USD, NOTIONAL_2M, CONV2.SettlementDateOffset.adjust(tradeDate, REF_DATA)); LocalDate startDate1 = date(2015, 3, 20); LocalDate endDate1 = date(2025, 6, 20); LocalDate startDate2 = date(2015, 5, 6); LocalDate endDate2 = date(2017, 6, 20); CdsTrade test1 = base1.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment1, REF_DATA); CdsTrade test2 = base2.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment2, REF_DATA); Cds expected1 = Cds.of(BUY, LEGAL_ENTITY, CONV1.Currency, NOTIONAL_2M, startDate1, endDate1, Frequency.P3M, CONV1.SettlementDateOffset.Calendar, 0.05d); PeriodicSchedule sch1 = expected1.PaymentSchedule; expected1 = expected1.toBuilder().paymentSchedule(sch1.toBuilder().startDateBusinessDayAdjustment(sch1.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build(); Cds expected2 = Cds.of(BUY, LEGAL_ENTITY, CONV2.Currency, NOTIONAL_2M, startDate2, endDate2, Frequency.P3M, CONV2.SettlementDateOffset.Calendar, 0.05d); PeriodicSchedule sch2 = expected2.PaymentSchedule; expected2 = expected2.toBuilder().paymentSchedule(sch2.toBuilder().startDateBusinessDayAdjustment(sch2.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build(); assertEquals(test1.Info.TradeDate, tradeDate); assertEquals(test1.UpfrontFee, payment1); assertEquals(test1.Product, expected1); assertEquals(test2.Info.TradeDate, tradeDate); assertEquals(test2.UpfrontFee, payment2); assertEquals(test2.Product, expected2); }
private AdjustablePayment parsePremium(XmlElement swaptionEl, FpmlDocument document, TradeInfoBuilder tradeInfoBuilder) { XmlElement premiumEl = swaptionEl.getChild("premium"); PayReceive payReceive = document.parsePayerReceiver(premiumEl, tradeInfoBuilder); XmlElement paymentAmountEl = premiumEl.getChild("paymentAmount"); CurrencyAmount ccyAmount = document.parseCurrencyAmount(paymentAmountEl); ccyAmount = payReceive.Pay ? ccyAmount.negated() : ccyAmount; AdjustableDate paymentDate = premiumEl.findChild("paymentDate").map(el => document.parseAdjustableDate(el)).get(); return(AdjustablePayment.of(ccyAmount, paymentDate)); }
public virtual void test_createTrade_withFee() { DatesCdsTemplate @base = DatesCdsTemplate.of(START, END, CONV1); LocalDate tradeDate = LocalDate.of(2015, 5, 5); AdjustablePayment payment = AdjustablePayment.of(EUR, NOTIONAL_2M, CONV1.SettlementDateOffset.adjust(tradeDate, REF_DATA)); CdsTrade test = @base.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment, REF_DATA); Cds expected = Cds.of(BUY, LEGAL_ENTITY, CONV1.Currency, NOTIONAL_2M, START, END, Frequency.P3M, CONV1.SettlementDateOffset.Calendar, 0.05d); PeriodicSchedule sch1 = expected.PaymentSchedule; expected = expected.toBuilder().paymentSchedule(sch1.toBuilder().startDateBusinessDayAdjustment(sch1.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build(); assertEquals(test.Info.TradeDate, tradeDate); assertEquals(test.UpfrontFee, payment); assertEquals(test.Product, expected); }
//------------------------------------------------------------------------- public virtual void test_toTrade() { LocalDate tradeDate = LocalDate.of(2015, 12, 21); // 19, 20 weekend LocalDate startDate = LocalDate.of(2015, 12, 20); LocalDate endDate = LocalDate.of(2020, 12, 20); LocalDate settlementDate = LocalDate.of(2015, 12, 24); TradeInfo info = TradeInfo.builder().tradeDate(tradeDate).settlementDate(settlementDate).build(); Tenor tenor = Tenor.TENOR_5Y; ImmutableCdsConvention @base = ImmutableCdsConvention.of(NAME, GBP, ACT_360, P3M, BUSI_ADJ_STD, SETTLE_DAY_ADJ_STD); Cds product = Cds.builder().legalEntityId(LEGAL_ENTITY).paymentSchedule(PeriodicSchedule.builder().startDate(startDate).endDate(endDate).frequency(P3M).businessDayAdjustment(BUSI_ADJ_STD).startDateBusinessDayAdjustment(BUSI_ADJ_STD).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).stubConvention(StubConvention.SMART_INITIAL).rollConvention(RollConventions.DAY_20).build()).buySell(BUY).currency(GBP).dayCount(ACT_360).notional(NOTIONAL).fixedRate(COUPON).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(STEPIN_DAY_ADJ).settlementDateOffset(SETTLE_DAY_ADJ_STD).build(); CdsTrade expected = CdsTrade.builder().info(info).product(product).build(); CdsTrade test1 = @base.createTrade(LEGAL_ENTITY, tradeDate, tenor, BUY, NOTIONAL, COUPON, REF_DATA); assertEquals(test1, expected); CdsTrade test2 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, tenor, BUY, NOTIONAL, COUPON, REF_DATA); assertEquals(test2, expected); CdsTrade test3 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, endDate, BUY, NOTIONAL, COUPON, REF_DATA); assertEquals(test3, expected); CdsTrade test4 = @base.toTrade(LEGAL_ENTITY, info, startDate, endDate, BUY, NOTIONAL, COUPON); assertEquals(test4, expected); AdjustablePayment upfront = AdjustablePayment.of(CurrencyAmount.of(GBP, 0.1 * NOTIONAL), settlementDate); CdsTrade expectedWithUf = CdsTrade.builder().info(info).product(product).upfrontFee(upfront).build(); CdsTrade test5 = @base.createTrade(LEGAL_ENTITY, tradeDate, tenor, BUY, NOTIONAL, COUPON, upfront, REF_DATA); assertEquals(test5, expectedWithUf); CdsTrade test6 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, tenor, BUY, NOTIONAL, COUPON, upfront, REF_DATA); assertEquals(test6, expectedWithUf); CdsTrade test7 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, endDate, BUY, NOTIONAL, COUPON, upfront, REF_DATA); assertEquals(test7, expectedWithUf); CdsTrade test8 = @base.toTrade(LEGAL_ENTITY, info, startDate, endDate, BUY, NOTIONAL, COUPON, upfront); assertEquals(test8, expectedWithUf); }
public virtual void test_positive_notional() { assertThrows(() => Bill.builder().dayCount(DAY_COUNT).legalEntityId(LEGAL_ENTITY).notional(AdjustablePayment.of(CurrencyAmount.of(CCY, -10), MATURITY_DATE_ADJ)).securityId(SECURITY_ID).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build()); }
//------------------------------------------------------------------------- public virtual void coverage() { BillSecurity test1 = BillSecurity.builder().dayCount(DAY_COUNT).info(INFO).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build(); coverImmutableBean(test1); BillSecurity test2 = BillSecurity.builder().dayCount(DayCounts.ACT_365F).info(SecurityInfo.of(SecurityId.of("OG-Test", "ID2"), PRICE_INFO)).legalEntityId(LegalEntityId.of("OG-Ticker", "LE2")).notional(AdjustablePayment.of(CurrencyAmount.of(CCY, 10), MATURITY_DATE_ADJ)).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, EUTA, BUSINESS_ADJUST)).yieldConvention(BillYieldConvention.INTEREST_AT_MATURITY).build(); coverBeanEquals(test1, test2); }
internal static FxVanillaOptionTrade sut2() { AdjustablePayment premium = AdjustablePayment.of(CurrencyAmount.of(EUR, NOTIONAL * 0.01), date(2014, 11, 13)); return(FxVanillaOptionTrade.builder().product(PRODUCT2).premium(premium).build()); }
internal static SwaptionTrade sut2() { return(SwaptionTrade.builder().premium(AdjustablePayment.of(CurrencyAmount.of(Currency.USD, -3050000d), LocalDate.of(2014, 3, 17))).product(SwaptionTest.sut2()).build()); }
//------------------------------------------------------------------------- public virtual void coverage() { FxSingleBarrierOptionTrade test1 = sut(); FxSingleBarrierOptionTrade test2 = FxSingleBarrierOptionTrade.builder().product(FxSingleBarrierOption.of(VANILLA_OPTION, BARRIER)).premium(AdjustablePayment.of(CurrencyAmount.of(EUR, NOTIONAL * 0.01), date(2014, 11, 13))).build(); coverImmutableBean(test1); coverBeanEquals(test1, test2); }