/// <summary>
/// Creates metadata for a surface providing a SABR expiry-tenor parameter.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="zType"> the z-value type, which must be one of the four SABR values </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata sabrParameterByExpiryTenor(SurfaceName name, DayCount dayCount, ValueType zType)
{
if (!zType.Equals(ValueType.SABR_ALPHA) && !zType.Equals(ValueType.SABR_BETA) && !zType.Equals(ValueType.SABR_RHO) && !zType.Equals(ValueType.SABR_NU))
{
throw new System.ArgumentException("SABR z-value type must be SabrAlpha, SabrBeta, SabrRho or SabrNu");
}
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(zType).dayCount(dayCount).build());
}
private HullWhiteOneFactorPiecewiseConstantParametersProvider(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, ZonedDateTime valuationDateTime)
{
JodaBeanUtils.notNull(parameters, "parameters");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(valuationDateTime, "valuationDateTime");
this.parameters = parameters;
this.dayCount = dayCount;
this.valuationDateTime = valuationDateTime;
}
public virtual void test_brlCdi()
{
OvernightIndex test = OvernightIndex.of("BRL-CDI");
assertEquals(test.Name, "BRL-CDI");
assertEquals(test.Currency, BRL);
assertEquals(test.Active, true);
assertEquals(test.FixingCalendar, BRBD);
assertEquals(test.PublicationDateOffset, 1);
assertEquals(test.EffectiveDateOffset, 0);
assertEquals(test.DayCount, DayCount.ofBus252(BRBD));
assertEquals(test.ToString(), "BRL-CDI");
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 458736106: // parameters
this.parameters = (HullWhiteOneFactorPiecewiseConstantParameters) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case -949589828: // valuationDateTime
this.valuationDateTime = (ZonedDateTime) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
// explain PV for an accrual period, ignoring compounding
private void explainPresentValue(RateAccrualPeriod accrualPeriod, DayCount dayCount, Currency currency, double notional, RatesProvider provider, ExplainMapBuilder builder)
{
double rawRate = rateComputationFn.explainRate(accrualPeriod.RateComputation, accrualPeriod.StartDate, accrualPeriod.EndDate, provider, builder);
double payOffRate = rawRate * accrualPeriod.Gearing + accrualPeriod.Spread;
double ua = unitNotionalAccrual(accrualPeriod, accrualPeriod.Spread, provider);
// Note that the forecast value is not published since this is potentially misleading when
// compounding is being applied, and when it isn't then it's the same as the forecast
// value of the payment period.
builder.put(ExplainKey.ENTRY_TYPE, "AccrualPeriod");
builder.put(ExplainKey.START_DATE, accrualPeriod.StartDate);
builder.put(ExplainKey.UNADJUSTED_START_DATE, accrualPeriod.UnadjustedStartDate);
builder.put(ExplainKey.END_DATE, accrualPeriod.EndDate);
builder.put(ExplainKey.UNADJUSTED_END_DATE, accrualPeriod.UnadjustedEndDate);
builder.put(ExplainKey.ACCRUAL_YEAR_FRACTION, accrualPeriod.YearFraction);
builder.put(ExplainKey.ACCRUAL_DAYS, dayCount.days(accrualPeriod.StartDate, accrualPeriod.EndDate));
builder.put(ExplainKey.DAYS, (int)DAYS.between(accrualPeriod.StartDate, accrualPeriod.EndDate));
builder.put(ExplainKey.GEARING, accrualPeriod.Gearing);
builder.put(ExplainKey.SPREAD, accrualPeriod.Spread);
builder.put(ExplainKey.PAY_OFF_RATE, accrualPeriod.NegativeRateMethod.adjust(payOffRate));
builder.put(ExplainKey.UNIT_AMOUNT, ua);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing a SABR expiry-tenor parameter.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="zType"> the z-value type, which must be one of the four SABR values </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata sabrParameterByExpiryTenor(string name, DayCount dayCount, ValueType zType)
{
return(sabrParameterByExpiryTenor(SurfaceName.of(name), dayCount, zType));
}
/// <summary>
/// Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent simple moneyness.
/// The z-values represent Normal volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="moneynessType"> the moneyness type, prices or rates </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness(SurfaceName name, DayCount dayCount, MoneynessType moneynessType)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.SIMPLE_MONEYNESS).zValueType(ValueType.NORMAL_VOLATILITY).dayCount(dayCount).addInfo(SurfaceInfoType.MONEYNESS_TYPE, moneynessType).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent simple moneyness.
/// The z-values represent Normal volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="moneynessType"> the moneyness type, prices or rates </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness(string name, DayCount dayCount, MoneynessType moneynessType)
{
return(normalVolatilityByExpirySimpleMoneyness(SurfaceName.of(name), dayCount, moneynessType));
}
/// <summary>
/// Creates metadata for a surface providing Normal expiry-tenor volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
/// The z-values represent Normal volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpiryTenor(SurfaceName name, DayCount dayCount)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.NORMAL_VOLATILITY).dayCount(dayCount).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing Normal expiry-tenor volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
/// The z-values represent Normal volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpiryTenor(string name, DayCount dayCount)
{
return(normalVolatilityByExpiryTenor(SurfaceName.of(name), dayCount));
}
/// <summary>
/// Creates metadata for a surface providing Black expiry-log moneyness volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent log-moneyness
/// The z-values represent Black volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata blackVolatilityByExpiryLogMoneyness(SurfaceName name, DayCount dayCount)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.LOG_MONEYNESS).zValueType(ValueType.BLACK_VOLATILITY).dayCount(dayCount).build());
}
// parses the CDS
internal Trade parseCds(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement cdsEl = tradeEl.getChild("creditDefaultSwap");
XmlElement generalTermsEl = cdsEl.getChild("generalTerms");
XmlElement feeLegEl = cdsEl.getChild("feeLeg");
document.validateNotPresent(generalTermsEl, "basketReferenceInformation");
document.validateNotPresent(feeLegEl, "singlePayment");
BuySell buySell = document.parseBuyerSeller(generalTermsEl, tradeInfoBuilder);
// effective and termination date are optional in FpML but mandatory for Strata
AdjustableDate effectiveDate = document.parseAdjustableDate(generalTermsEl.getChild("effectiveDate"));
AdjustableDate terminationDate = document.parseAdjustableDate(generalTermsEl.getChild("scheduledTerminationDate"));
BusinessDayAdjustment bda = generalTermsEl.findChild("dateAdjustments").map(el => document.parseBusinessDayAdjustments(el)).orElse(BusinessDayAdjustment.NONE);
PeriodicSchedule.Builder scheduleBuilder = PeriodicSchedule.builder().startDate(effectiveDate.Unadjusted).startDateBusinessDayAdjustment(effectiveDate.Adjustment).endDate(terminationDate.Unadjusted).endDateBusinessDayAdjustment(terminationDate.Adjustment).businessDayAdjustment(bda);
// an upfront fee
Optional <XmlElement> initialPaymentOptEl = feeLegEl.findChild("initialPayment");
AdjustablePayment upfrontFee = null;
if (initialPaymentOptEl.Present)
{
XmlElement initialPaymentEl = initialPaymentOptEl.get();
PayReceive payRec = document.parsePayerReceiver(initialPaymentEl, tradeInfoBuilder);
CurrencyAmount amount = document.parseCurrencyAmount(initialPaymentEl.getChild("paymentAmount"));
LocalDate date = initialPaymentEl.findChild("adjustablePaymentDate").map(el => document.parseDate(el)).orElse(effectiveDate.Unadjusted);
AdjustableDate adjDate = AdjustableDate.of(date, bda);
upfrontFee = payRec.Pay ? AdjustablePayment.ofPay(amount, adjDate) : AdjustablePayment.ofReceive(amount, adjDate);
}
// we require a periodicPayment and fixedAmountCalculation
XmlElement periodicPaymentEl = feeLegEl.getChild("periodicPayment");
scheduleBuilder.frequency(periodicPaymentEl.findChild("paymentFrequency").map(el => document.parseFrequency(el)).orElse(Frequency.P3M));
periodicPaymentEl.findChild("firstPaymentDate").ifPresent(el => scheduleBuilder.firstRegularStartDate(document.parseDate(el)));
periodicPaymentEl.findChild("firstPeriodStartDate").ifPresent(el => scheduleBuilder.overrideStartDate(AdjustableDate.of(document.parseDate(el))));
periodicPaymentEl.findChild("lastRegularPaymentDate").ifPresent(el => scheduleBuilder.lastRegularEndDate(document.parseDate(el)));
scheduleBuilder.rollConvention(periodicPaymentEl.findChild("rollConvention").map(el => document.convertRollConvention(el.Content)).orElse(null));
XmlElement fixedAmountCalcEl = periodicPaymentEl.getChild("fixedAmountCalculation");
double fixedRate = document.parseDecimal(fixedAmountCalcEl.getChild("fixedRate"));
DayCount dayCount = fixedAmountCalcEl.findChild("dayCountFraction").map(el => document.parseDayCountFraction(el)).orElse(DayCounts.ACT_360);
// handle a single protectionTerms element
XmlElement protectionTermEl = cdsEl.getChild("protectionTerms");
CurrencyAmount notional = document.parseCurrencyAmount(protectionTermEl.getChild("calculationAmount"));
// single name CDS
Optional <XmlElement> singleOptEl = generalTermsEl.findChild("referenceInformation");
if (singleOptEl.Present)
{
// we require a single entityId
XmlElement referenceEntityEl = singleOptEl.get().getChild("referenceEntity");
XmlElement entityIdEl = referenceEntityEl.getChild("entityId");
string scheme = entityIdEl.findAttribute("entityIdScheme").orElse("http://www.fpml.org/coding-scheme/external/entity-id-RED-1-0");
string value = entityIdEl.Content;
StandardId entityId = StandardId.of(scheme, value);
Cds cds = Cds.builder().buySell(buySell).legalEntityId(entityId).currency(notional.Currency).notional(notional.Amount).paymentSchedule(scheduleBuilder.build()).fixedRate(fixedRate).dayCount(dayCount).build();
return(CdsTrade.builder().info(tradeInfoBuilder.build()).product(cds).upfrontFee(upfrontFee).build());
}
// CDS index
Optional <XmlElement> indexOptEl = generalTermsEl.findChild("indexReferenceInformation");
if (indexOptEl.Present)
{
string indexName = indexOptEl.get().getChild("indexName").Content;
CdsIndex cdsIndex = CdsIndex.builder().buySell(buySell).cdsIndexId(StandardId.of("CDX-Name", indexName)).currency(notional.Currency).notional(notional.Amount).paymentSchedule(scheduleBuilder.build()).fixedRate(fixedRate).dayCount(dayCount).build();
return(CdsIndexTrade.builder().info(tradeInfoBuilder.build()).product(cdsIndex).upfrontFee(upfrontFee).build());
}
// unknown type
throw new FpmlParseException("FpML CDS must be single name or index");
}
/// <summary>
/// Creates metadata for a surface providing Black expiry-strike volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent strike
/// The z-values represent Black volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata blackVolatilityByExpiryStrike(SurfaceName name, DayCount dayCount)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.STRIKE).zValueType(ValueType.BLACK_VOLATILITY).dayCount(dayCount).build());
}
// 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>
/// Obtains an instance from Hull-White model parameters and the date, time and zone for which it is valid.
/// </summary>
/// <param name="parameters"> the Hull-White model parameters </param>
/// <param name="dayCount"> the day count applicable to the model </param>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="valuationTime"> the valuation time </param>
/// <param name="valuationZone"> the valuation time zone </param>
/// <returns> the provider </returns>
public static HullWhiteOneFactorPiecewiseConstantParametersProvider of(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, LocalDate valuationDate, LocalTime valuationTime, ZoneId valuationZone)
{
return of(parameters, dayCount, valuationDate.atTime(valuationTime).atZone(valuationZone));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from Hull-White model parameters and the date-time for which it is valid.
/// </summary>
/// <param name="parameters"> the Hull-White model parameters </param>
/// <param name="dayCount"> the day count applicable to the model </param>
/// <param name="valuationDateTime"> the valuation date-time </param>
/// <returns> the provider </returns>
public static HullWhiteOneFactorPiecewiseConstantParametersProvider of(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, ZonedDateTime valuationDateTime)
{
return new HullWhiteOneFactorPiecewiseConstantParametersProvider(parameters, dayCount, valuationDateTime);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "dayCount") public void test_day_count(FixedIborSwapConvention convention, com.opengamma.strata.basics.date.DayCount dayCount)
public virtual void test_day_count(FixedIborSwapConvention convention, DayCount dayCount)
{
assertEquals(convention.FixedLeg.DayCount, dayCount);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing Black expiry-strike volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent strike
/// The z-values represent Black volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata blackVolatilityByExpiryStrike(string name, DayCount dayCount)
{
return(blackVolatilityByExpiryStrike(SurfaceName.of(name), dayCount));
}
//-------------------------------------------------------------------------
// build conventions
private static OvernightIborSwapConvention makeConvention(string name, OvernightIndex onIndex, IborIndex iborIndex, DayCount dayCount, Frequency frequency, int paymentLag, int cutOffDays, OvernightAccrualMethod accrual)
{
HolidayCalendarId calendarOn = onIndex.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendarOn);
return(ImmutableOvernightIborSwapConvention.of(name, OvernightRateSwapLegConvention.builder().index(onIndex).accrualMethod(accrual).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).rateCutOffDays(cutOffDays).build(), IborRateSwapLegConvention.of(iborIndex)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "dayCount") public void test_day_count(OvernightIborSwapConvention convention, com.opengamma.strata.basics.date.DayCount dayCount)
public virtual void test_day_count(OvernightIborSwapConvention convention, DayCount dayCount)
{
assertEquals(convention.OvernightLeg.DayCount, dayCount);
assertEquals(convention.IborLeg.DayCount, dayCount);
}
//-------------------------------------------------------------------------
// build conventions
private static FixedOvernightSwapConvention makeConvention(string name, OvernightIndex index, DayCount dayCount, Frequency frequency, int paymentLag, int spotLag)
{
HolidayCalendarId calendar = index.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendar);
DaysAdjustment spotDateOffset = DaysAdjustment.ofBusinessDays(spotLag, calendar);
return(ImmutableFixedOvernightSwapConvention.of(name, FixedRateSwapLegConvention.builder().currency(index.Currency).dayCount(dayCount).accrualFrequency(frequency).accrualBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, calendar)).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), OvernightRateSwapLegConvention.builder().index(index).accrualMethod(COMPOUNDED).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), spotDateOffset));
}
