//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(PRODUCT);
CdsIndex other = CdsIndex.builder().buySell(SELL).cdsIndexId(StandardId.of("OG", "AA-INDEX")).legalEntityIds(ImmutableList.of(StandardId.of("OG", "ABC1"), StandardId.of("OG", "ABC2"))).currency(JPY).notional(1d).paymentSchedule(PeriodicSchedule.of(LocalDate.of(2014, 1, 4), LocalDate.of(2020, 11, 20), P6M, BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, JPTO), StubConvention.SHORT_FINAL, RollConventions.NONE)).fixedRate(0.01).dayCount(ACT_365F).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).settlementDateOffset(DaysAdjustment.NONE).stepinDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(PRODUCT, other);
}
private CdsIndexTrade(TradeInfo info, CdsIndex product, AdjustablePayment upfrontFee)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.upfrontFee = upfrontFee;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CdsIndexTrade test1 = sut();
coverImmutableBean(test1);
CdsIndex product = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, 1.e9, START_DATE, END_DATE, P6M, SAT_SUN, 0.067);
CdsIndexTrade test2 = CdsIndexTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsIndexTrade test1 = ResolvedCdsIndexTrade.builder().product(PRODUCT).upfrontFee(UPFRONT).info(TRADE_INFO).build();
coverImmutableBean(test1);
ResolvedCdsIndex product = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, 1.e9, START_DATE, END_DATE, P6M, SAT_SUN, 0.067).resolve(REF_DATA);
ResolvedCdsIndexTrade test2 = ResolvedCdsIndexTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(CdsIndexTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
CdsIndex product = trade.Product;
StandardId legalEntityId = product.CdsIndexId;
Currency currency = product.Currency;
// use lookup to build requirements
CreditRatesMarketDataLookup lookup = parameters.getParameter(typeof(CreditRatesMarketDataLookup));
return(lookup.requirements(legalEntityId, currency));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (TradeInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (CdsIndex)newValue;
break;
case 963468344: // upfrontFee
this.upfrontFee_Renamed = (AdjustablePayment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_of()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
PeriodicSchedule expected = PeriodicSchedule.builder().startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(bussAdj).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(P3M).rollConvention(RollConventions.NONE).stubConvention(SMART_INITIAL).build();
assertEquals(PRODUCT.PaymentSchedule, expected);
assertEquals(PRODUCT.BuySell, BUY);
assertEquals(PRODUCT.Currency, USD);
assertEquals(PRODUCT.DayCount, ACT_360);
assertEquals(PRODUCT.FixedRate, COUPON);
assertEquals(PRODUCT.CdsIndexId, INDEX_ID);
assertEquals(PRODUCT.LegalEntityIds, LEGAL_ENTITIES);
assertEquals(PRODUCT.Notional, NOTIONAL);
assertEquals(PRODUCT.PaymentOnDefault, ACCRUED_PREMIUM);
assertEquals(PRODUCT.ProtectionStart, BEGINNING);
assertEquals(PRODUCT.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(PRODUCT.StepinDateOffset, STEPIN_DAY_ADJ);
CdsIndex test = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, START_DATE, END_DATE, P3M, SAT_SUN, COUPON);
assertEquals(test, PRODUCT);
}
public virtual void test_builder()
{
LocalDate startDate = LocalDate.of(2014, 12, 20);
LocalDate endDate = LocalDate.of(2020, 10, 20);
PeriodicSchedule sch = PeriodicSchedule.of(startDate, endDate, P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, RollConventions.NONE);
CdsIndex test = CdsIndex.builder().paymentSchedule(sch).buySell(SELL).currency(JPY).dayCount(ACT_365F).fixedRate(COUPON).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).notional(NOTIONAL).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test.PaymentSchedule, sch);
assertEquals(test.BuySell, SELL);
assertEquals(test.Currency, JPY);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.CdsIndexId, INDEX_ID);
assertEquals(test.LegalEntityIds, LEGAL_ENTITIES);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentOnDefault, PaymentOnDefault.NONE);
assertEquals(test.ProtectionStart, ProtectionStartOfDay.NONE);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.StepinDateOffset, STEPIN_DAY_ADJ);
assertEquals(test.CrossCurrency, false);
assertEquals(test.allPaymentCurrencies(), ImmutableSet.of(JPY));
assertEquals(test.allCurrencies(), ImmutableSet.of(JPY));
}
/// <summary>
/// Sets the CDS index product that was agreed when the trade occurred.
/// <para>
/// The product captures the contracted financial details of the trade.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(CdsIndex product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(CdsIndexTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.upfrontFee_Renamed = beanToCopy.upfrontFee;
}
/// <summary>
/// Creates a trade representing the CDS index at the node.
/// <para>
/// This uses the observed market data to build the CDS index trade that the node represents.
/// The resulting trade is not resolved.
/// The notional of the trade is taken from the 'quantity' variable.
/// The quantity is signed and will affect whether the trade is Buy or Sell.
/// The valuation date is defined by the market data.
///
/// </para>
/// </summary>
/// <param name="quantity"> the quantity or notional of the trade </param>
/// <param name="marketData"> the market data required to build a trade for the instrument, including the valuation date </param>
/// <param name="refData"> the reference data, used to resolve the trade dates </param>
/// <returns> a trade representing the instrument at the node </returns>
public CdsIndexCalibrationTrade trade(double quantity, MarketData marketData, ReferenceData refData)
{
BuySell buySell = quantity > 0 ? BuySell.BUY : BuySell.SELL;
LocalDate valuationDate = marketData.ValuationDate;
double quoteValue = marketData.getValue(observableId);
CdsQuote quote = CdsQuote.of(quoteConvention, quoteValue);
double notional = Math.Abs(quantity);
CdsTrade cdsTrade = null;
if (quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD))
{
cdsTrade = template.createTrade(cdsIndexId, valuationDate, buySell, notional, quoteValue, refData);
}
else
{
double coupon = FixedRate.Value; // always success
cdsTrade = template.createTrade(cdsIndexId, valuationDate, buySell, notional, coupon, refData);
}
Cds cdsProduct = cdsTrade.Product;
CdsIndexTrade cdsIndex = CdsIndexTrade.builder().info(cdsTrade.Info).product(CdsIndex.builder().buySell(cdsProduct.BuySell).currency(cdsProduct.Currency).notional(cdsProduct.Notional).cdsIndexId(cdsIndexId).legalEntityIds(legalEntityIds).dayCount(cdsProduct.DayCount).paymentSchedule(cdsProduct.PaymentSchedule).fixedRate(cdsProduct.FixedRate).paymentOnDefault(cdsProduct.PaymentOnDefault).protectionStart(cdsProduct.ProtectionStart).settlementDateOffset(cdsProduct.SettlementDateOffset).stepinDateOffset(cdsProduct.StepinDateOffset).build()).build();
return(CdsIndexCalibrationTrade.of(cdsIndex, quote));
}
