public virtual void test_createCap()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition @base = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, STEP_UPPER, FLAT, FLAT, SabrVolatilityFormula.hagan());
LocalDate startDate = LocalDate.of(2012, 4, 20);
LocalDate endDate = LocalDate.of(2017, 4, 20);
double strike = 0.01;
IborCapFloorLeg expected = IborCapFloorLeg.builder().calculation(IborRateCalculation.of(USD_LIBOR_3M)).capSchedule(ValueSchedule.of(strike)).currency(USD_LIBOR_3M.Currency).notional(ValueSchedule.ALWAYS_1).paymentDateOffset(DaysAdjustment.NONE).paymentSchedule(PeriodicSchedule.of(startDate, endDate, Frequency.of(USD_LIBOR_3M.Tenor.Period), BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, USD_LIBOR_3M.FixingCalendar), StubConvention.NONE, RollConventions.NONE)).payReceive(PayReceive.RECEIVE).build();
IborCapFloorLeg computed = @base.createCap(startDate, endDate, strike);
assertEquals(computed, expected);
}
/// <summary>
/// Creates an Ibor cap/floor leg.
/// <para>
/// The Ibor index should be {@code EUR_EURIBOR_3M} or {@code EUR_EURIBOR_6M} to match the availability of the curve
/// data in <seealso cref="IborCapletFloorletDataSet"/>.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the start date </param>
/// <param name="endDate"> the end date </param>
/// <param name="strikeSchedule"> the strike </param>
/// <param name="notionalSchedule"> the notional </param>
/// <param name="putCall"> cap or floor </param>
/// <param name="payRec"> pay or receive </param>
/// <returns> the instance </returns>
public static IborCapFloorLeg createCapFloorLegUnresolved(IborIndex index, LocalDate startDate, LocalDate endDate, ValueSchedule strikeSchedule, ValueSchedule notionalSchedule, PutCall putCall, PayReceive payRec)
{
Frequency frequency = Frequency.of(index.Tenor.Period);
PeriodicSchedule paySchedule = PeriodicSchedule.of(startDate, endDate, frequency, BUSINESS_ADJ, StubConvention.NONE, RollConventions.NONE);
IborRateCalculation rateCalculation = IborRateCalculation.of(index);
if (putCall.Call)
{
return(IborCapFloorLeg.builder().calculation(rateCalculation).capSchedule(strikeSchedule).notional(notionalSchedule).paymentSchedule(paySchedule).payReceive(payRec).build());
}
return(IborCapFloorLeg.builder().calculation(rateCalculation).floorSchedule(strikeSchedule).notional(notionalSchedule).paymentSchedule(paySchedule).payReceive(payRec).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an Ibor cap/floor leg.
/// <para>
/// The Ibor index should be {@code EUR_EURIBOR_3M} or {@code EUR_EURIBOR_6M} to match the availability of the curve
/// data in <seealso cref="IborCapletFloorletDataSet"/>.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the start date </param>
/// <param name="endDate"> the end date </param>
/// <param name="strikeSchedule"> the strike </param>
/// <param name="notionalSchedule"> the notional </param>
/// <param name="putCall"> cap or floor </param>
/// <param name="payRec"> pay or receive </param>
/// <returns> the instance </returns>
public static ResolvedIborCapFloorLeg createCapFloorLeg(IborIndex index, LocalDate startDate, LocalDate endDate, ValueSchedule strikeSchedule, ValueSchedule notionalSchedule, PutCall putCall, PayReceive payRec)
{
IborCapFloorLeg leg = createCapFloorLegUnresolved(index, startDate, endDate, strikeSchedule, notionalSchedule, putCall, payRec);
return(leg.resolve(REF_DATA));
}
