private Cms(CmsLeg cmsLeg, SwapLeg payLeg)
{
JodaBeanUtils.notNull(cmsLeg, "cmsLeg");
this.cmsLeg = cmsLeg;
this.payLeg = payLeg;
validate();
}
//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
// 5Y USD 2mm Rec USD-LIBOR-1100-1Y Cap 1% / Pay Premium : 21Jan17-21Jan22
StringBuilder buf = new StringBuilder(96);
CmsLeg mainLeg = product.CmsLeg;
buf.Append(SummarizerUtils.datePeriod(mainLeg.StartDate.Unadjusted, mainLeg.EndDate.Unadjusted));
buf.Append(' ');
buf.Append(SummarizerUtils.amount(mainLeg.Currency, mainLeg.Notional.InitialValue));
buf.Append(' ');
if (mainLeg.PayReceive.Receive)
{
buf.Append("Rec ");
summarizeMainLeg(mainLeg, buf);
buf.Append(Premium.Present ? " / Pay Premium" : (product.PayLeg.Present ? " / Pay Periodic" : ""));
}
else
{
buf.Append(Premium.Present ? "Rec Premium / Pay " : (product.PayLeg.Present ? "Rec Periodic / Pay " : ""));
summarizeMainLeg(mainLeg, buf);
}
buf.Append(" : ");
buf.Append(SummarizerUtils.dateRange(mainLeg.StartDate.Unadjusted, mainLeg.EndDate.Unadjusted));
return(SummarizerUtils.summary(this, ProductType.CMS, buf.ToString(), mainLeg.Currency));
}
public virtual void test_builder_fail()
{
// index is null
assertThrowsIllegalArg(() => CmsLeg.builder().capSchedule(CAP).notional(NOTIONAL).payReceive(RECEIVE).paymentSchedule(SCHEDULE_EUR).build());
// floorSchedule and capSchedule are present
assertThrowsIllegalArg(() => CmsLeg.builder().capSchedule(CAP).floorSchedule(FLOOR).index(INDEX).notional(NOTIONAL).payReceive(RECEIVE).paymentSchedule(SCHEDULE_EUR).build());
// stub is on
assertThrowsIllegalArg(() => CmsLeg.builder().index(INDEX).notional(NOTIONAL).payReceive(RECEIVE).paymentSchedule(PeriodicSchedule.of(START, END, FREQUENCY, BUSS_ADJ_EUR, StubConvention.SHORT_INITIAL, RollConventions.NONE)).build());
}
public virtual void test_resolve()
{
CmsLeg baseFloor = CmsLeg.builder().floorSchedule(FLOOR).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).build();
ResolvedCmsLeg resolvedFloor = baseFloor.resolve(REF_DATA);
LocalDate end1 = LocalDate.of(2016, 10, 21);
LocalDate fixing1 = EUR_EURIBOR_6M.calculateFixingFromEffective(START, REF_DATA);
LocalDate fixing2 = EUR_EURIBOR_6M.calculateFixingFromEffective(end1, REF_DATA);
LocalDate fixing3 = EUR_EURIBOR_6M.calculateFixingFromEffective(END, REF_DATA);
LocalDate endDate = SCHEDULE_EUR.calculatedEndDate().adjusted(REF_DATA);
CmsPeriod period1 = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.InitialValue).notional(-NOTIONAL.InitialValue).index(INDEX).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing1).paymentDate(end1).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing1)).build();
CmsPeriod period2 = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.Steps[0].Value.ModifyingValue).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing2).paymentDate(endDate).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
assertEquals(resolvedFloor.Currency, EUR);
assertEquals(resolvedFloor.StartDate, baseFloor.StartDate.adjusted(REF_DATA));
assertEquals(resolvedFloor.EndDate, baseFloor.EndDate.adjusted(REF_DATA));
assertEquals(resolvedFloor.Index, INDEX);
assertEquals(resolvedFloor.PayReceive, PAY);
assertEquals(resolvedFloor.CmsPeriods.size(), 2);
assertEquals(resolvedFloor.CmsPeriods.get(0), period1);
assertEquals(resolvedFloor.CmsPeriods.get(1), period2);
CmsLeg baseFloorEnd = CmsLeg.builder().floorSchedule(FLOOR).fixingRelativeTo(FixingRelativeTo.PERIOD_END).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).build();
ResolvedCmsLeg resolvedFloorEnd = baseFloorEnd.resolve(REF_DATA);
CmsPeriod period1End = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.InitialValue).notional(-NOTIONAL.InitialValue).index(INDEX).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing2).paymentDate(end1).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
CmsPeriod period2End = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.Steps[0].Value.ModifyingValue).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing3).paymentDate(endDate).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing3)).build();
assertEquals(resolvedFloorEnd.Currency, EUR);
assertEquals(resolvedFloorEnd.StartDate, baseFloor.StartDate.adjusted(REF_DATA));
assertEquals(resolvedFloorEnd.EndDate, baseFloor.EndDate.adjusted(REF_DATA));
assertEquals(resolvedFloorEnd.Index, INDEX);
assertEquals(resolvedFloorEnd.PayReceive, PAY);
assertEquals(resolvedFloorEnd.CmsPeriods.size(), 2);
assertEquals(resolvedFloorEnd.CmsPeriods.get(0), period1End);
assertEquals(resolvedFloorEnd.CmsPeriods.get(1), period2End);
CmsLeg baseCap = CmsLeg.builder().index(INDEX).capSchedule(CAP).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).paymentDateOffset(PAYMENT_OFFSET).build();
ResolvedCmsLeg resolvedCap = baseCap.resolve(REF_DATA);
CmsPeriod periodCap1 = CmsPeriod.builder().currency(EUR).notional(-NOTIONAL.InitialValue).index(INDEX).caplet(CAP.InitialValue).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing1).paymentDate(PAYMENT_OFFSET.adjust(end1, REF_DATA)).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing1)).build();
CmsPeriod periodCap2 = CmsPeriod.builder().currency(EUR).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).caplet(CAP.InitialValue).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing2).paymentDate(PAYMENT_OFFSET.adjust(endDate, REF_DATA)).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
assertEquals(resolvedCap.Currency, EUR);
assertEquals(resolvedCap.StartDate, baseCap.StartDate.adjusted(REF_DATA));
assertEquals(resolvedCap.EndDate, baseCap.EndDate.adjusted(REF_DATA));
assertEquals(resolvedCap.Index, INDEX);
assertEquals(resolvedCap.PayReceive, PAY);
assertEquals(resolvedCap.CmsPeriods.size(), 2);
assertEquals(resolvedCap.CmsPeriods.get(0), periodCap1);
assertEquals(resolvedCap.CmsPeriods.get(1), periodCap2);
}
// summarize the main leg
private void summarizeMainLeg(CmsLeg mainLeg, StringBuilder buf)
{
buf.Append(mainLeg.Index);
buf.Append(' ');
if (mainLeg.CapSchedule.Present)
{
buf.Append("Cap ");
buf.Append(SummarizerUtils.percent(mainLeg.CapSchedule.get().InitialValue));
}
if (mainLeg.FloorSchedule.Present)
{
buf.Append("Floor ");
buf.Append(SummarizerUtils.percent(mainLeg.FloorSchedule.get().InitialValue));
}
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1356515323: // cmsLeg
this.cmsLeg = (CmsLeg)newValue;
break;
case -995239866: // payLeg
this.payLeg = (SwapLeg)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_builder_full()
{
CmsLeg test = CmsLeg.builder().currency(GBP).dayCount(ACT_365_ACTUAL).fixingRelativeTo(FixingRelativeTo.PERIOD_END).fixingDateOffset(FIXING_OFFSET).paymentDateOffset(PAYMENT_OFFSET).floorSchedule(FLOOR).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE).build();
assertEquals(test.PayReceive, PAY);
assertFalse(test.CapSchedule.Present);
assertEquals(test.FloorSchedule.get(), FLOOR);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.DayCount, ACT_365_ACTUAL);
assertEquals(test.StartDate, AdjustableDate.of(START, SCHEDULE.BusinessDayAdjustment));
assertEquals(test.EndDate, SCHEDULE.calculatedEndDate());
assertEquals(test.Index, INDEX);
assertEquals(test.PaymentSchedule, SCHEDULE);
assertEquals(test.FixingRelativeTo, FixingRelativeTo.PERIOD_END);
assertEquals(test.FixingDateOffset, FIXING_OFFSET);
assertEquals(test.PaymentDateOffset, PAYMENT_OFFSET);
}
public virtual void test_builder_min_coupon()
{
CmsLeg test = CmsLeg.builder().index(INDEX).notional(NOTIONAL).payReceive(RECEIVE).paymentSchedule(SCHEDULE_EUR).build();
assertEquals(test.PayReceive, RECEIVE);
assertFalse(test.CapSchedule.Present);
assertFalse(test.FloorSchedule.Present);
assertEquals(test.Currency, EUR_EURIBOR_6M.Currency);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.DayCount, EUR_EURIBOR_6M.DayCount);
assertEquals(test.StartDate, AdjustableDate.of(START, SCHEDULE_EUR.BusinessDayAdjustment));
assertEquals(test.EndDate, SCHEDULE_EUR.calculatedEndDate());
assertEquals(test.Index, INDEX);
assertEquals(test.PaymentSchedule, SCHEDULE_EUR);
assertEquals(test.FixingRelativeTo, FixingRelativeTo.PERIOD_START);
assertEquals(test.FixingDateOffset, EUR_EURIBOR_6M.FixingDateOffset);
assertEquals(test.PaymentDateOffset, DaysAdjustment.NONE);
}
/// <summary>
/// Obtains an instance from a CMS leg and a pay leg.
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="payLeg"> the pay leg </param>
/// <returns> the CMS </returns>
public static Cms of(CmsLeg cmsLeg, SwapLeg payLeg)
{
return(new Cms(cmsLeg, payLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from a CMS leg with no pay leg.
/// <para>
/// The pay leg is absent in the resulting CMS.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <returns> the CMS </returns>
public static Cms of(CmsLeg cmsLeg)
{
return(new Cms(cmsLeg, null));
}
internal static CmsLeg sutFloor()
{
return(CmsLeg.builder().floorSchedule(FLOOR).index(SwapIndices.USD_LIBOR_1100_10Y).notional(ValueSchedule.of(1.e6)).payReceive(PAY).paymentSchedule(SCHEDULE).fixingRelativeTo(FixingRelativeTo.PERIOD_END).fixingDateOffset(FIXING_OFFSET).paymentDateOffset(FIXING_OFFSET).dayCount(ACT_365_ACTUAL).build());
}
//-------------------------------------------------------------------------
internal static CmsLeg sutCap()
{
return(CmsLeg.builder().capSchedule(CAP).index(INDEX).notional(NOTIONAL).payReceive(RECEIVE).paymentSchedule(SCHEDULE_EUR).build());
}
internal static Cms sutFloor()
{
return(Cms.of(CmsLeg.builder().floorSchedule(STRIKE).index(INDEX).notional(NOTIONAL).payReceive(RECEIVE).paymentSchedule(SCHEDULE_EUR).build()));
}
