/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableFixedOvernightSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.fixedLeg_Renamed = beanToCopy.FixedLeg;
this.floatingLeg_Renamed = beanToCopy.FloatingLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case -391537158: // fixedLeg
this.fixedLeg_Renamed = (FixedRateSwapLegConvention)newValue;
break;
case -1177101272: // floatingLeg
this.floatingLeg_Renamed = (OvernightRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name_Renamed = (string)newValue;
break;
case 1302781851: // spreadLeg
this.spreadLeg_Renamed = (FixedRateSwapLegConvention)newValue;
break;
case -1969210187: // spreadFloatingLeg
this.spreadFloatingLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 274878191: // flatFloatingLeg
this.flatFloatingLeg_Renamed = (IborRateSwapLegConvention)newValue;
break;
case 746995843: // spotDateOffset
this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
// 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));
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ImmutableThreeLegBasisSwapConvention beanToCopy)
{
this.name_Renamed = beanToCopy.Name;
this.spreadLeg_Renamed = beanToCopy.SpreadLeg;
this.spreadFloatingLeg_Renamed = beanToCopy.SpreadFloatingLeg;
this.flatFloatingLeg_Renamed = beanToCopy.FlatFloatingLeg;
this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedRateSwapLegConvention test = FixedRateSwapLegConvention.of(GBP, ACT_365F, P3M, BDA_MOD_FOLLOW);
coverImmutableBean(test);
FixedRateSwapLegConvention test2 = FixedRateSwapLegConvention.builder().currency(USD).dayCount(ACT_360).accrualFrequency(P6M).accrualBusinessDayAdjustment(BDA_FOLLOW).startDateBusinessDayAdjustment(BDA_FOLLOW).endDateBusinessDayAdjustment(BDA_FOLLOW).stubConvention(LONG_INITIAL).rollConvention(RollConventions.EOM).paymentFrequency(P6M).paymentDateOffset(PLUS_TWO_DAYS).build();
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_toLeg()
{
FixedRateSwapLegConvention @base = FixedRateSwapLegConvention.of(GBP, ACT_365F, P3M, BDA_MOD_FOLLOW);
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = @base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().frequency(P3M).startDate(startDate).endDate(endDate).businessDayAdjustment(BDA_MOD_FOLLOW).stubConvention(StubConvention.SMART_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)).calculation(FixedRateCalculation.of(0.25d, ACT_365F)).build();
assertEquals(test, expected);
}
private ImmutableFixedOvernightSwapConvention(string name, FixedRateSwapLegConvention fixedLeg, OvernightRateSwapLegConvention floatingLeg, DaysAdjustment spotDateOffset)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(fixedLeg, "fixedLeg");
JodaBeanUtils.notNull(floatingLeg, "floatingLeg");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.name = name;
this.fixedLeg = fixedLeg;
this.floatingLeg = floatingLeg;
this.spotDateOffset = spotDateOffset;
validate();
}
private ImmutableThreeLegBasisSwapConvention(string name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg, DaysAdjustment spotDateOffset)
{
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(spreadLeg, "spreadLeg");
JodaBeanUtils.notNull(spreadFloatingLeg, "spreadFloatingLeg");
JodaBeanUtils.notNull(flatFloatingLeg, "flatFloatingLeg");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
this.name = name;
this.spreadLeg = spreadLeg;
this.spreadFloatingLeg = spreadFloatingLeg;
this.flatFloatingLeg = flatFloatingLeg;
this.spotDateOffset = spotDateOffset;
validate();
}
public virtual void test_builder()
{
FixedRateSwapLegConvention test = FixedRateSwapLegConvention.builder().currency(GBP).dayCount(ACT_365F).accrualFrequency(P3M).accrualBusinessDayAdjustment(BDA_MOD_FOLLOW).build();
assertEquals(test.Currency, GBP);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.AccrualFrequency, P3M);
assertEquals(test.AccrualBusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.StartDateBusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.EndDateBusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.StubConvention, StubConvention.SMART_INITIAL);
assertEquals(test.RollConvention, RollConventions.EOM);
assertEquals(test.PaymentFrequency, P3M);
assertEquals(test.PaymentDateOffset, DaysAdjustment.NONE);
assertEquals(test.CompoundingMethod, CompoundingMethod.NONE);
}
public virtual void test_builderAllSpecified()
{
FixedRateSwapLegConvention test = FixedRateSwapLegConvention.builder().currency(USD).dayCount(ACT_360).accrualFrequency(P6M).accrualBusinessDayAdjustment(BDA_FOLLOW).startDateBusinessDayAdjustment(BDA_FOLLOW).endDateBusinessDayAdjustment(BDA_FOLLOW).stubConvention(LONG_INITIAL).rollConvention(RollConventions.DAY_1).paymentFrequency(P6M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(CompoundingMethod.FLAT).build();
assertEquals(test.Currency, USD);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.AccrualFrequency, P6M);
assertEquals(test.AccrualBusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.StartDateBusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.EndDateBusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.StubConvention, StubConvention.LONG_INITIAL);
assertEquals(test.RollConvention, RollConventions.DAY_1);
assertEquals(test.PaymentFrequency, P6M);
assertEquals(test.PaymentDateOffset, PLUS_TWO_DAYS);
assertEquals(test.CompoundingMethod, CompoundingMethod.FLAT);
}
public virtual void test_serialization()
{
FixedRateSwapLegConvention test = FixedRateSwapLegConvention.of(GBP, ACT_365F, P3M, BDA_MOD_FOLLOW);
assertSerialization(test);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="fixedLeg"> the market convention for the fixed leg </param>
/// <param name="floatingLeg"> the market convention for the floating leg </param>
/// <param name="spotDateOffset"> the offset of the spot value date from the trade date </param>
/// <returns> the convention </returns>
public static ImmutableFixedOvernightSwapConvention of(string name, FixedRateSwapLegConvention fixedLeg, OvernightRateSwapLegConvention floatingLeg, DaysAdjustment spotDateOffset)
{
return(new ImmutableFixedOvernightSwapConvention(name, fixedLeg, floatingLeg, spotDateOffset));
}
/// <summary>
/// Sets the market convention of the fixed leg. </summary>
/// <param name="fixedLeg"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder fixedLeg(FixedRateSwapLegConvention fixedLeg)
{
JodaBeanUtils.notNull(fixedLeg, "fixedLeg");
this.fixedLeg_Renamed = fixedLeg;
return(this);
}
//-------------------------------------------------------------------------
public virtual void test_builder_notEnoughData()
{
assertThrowsIllegalArg(() => FixedRateSwapLegConvention.builder().build());
}
/// <summary>
/// Sets the market convention of the fixed leg for the spread.
/// <para>
/// This is to be applied to {@code floatingSpreadLeg}.
/// </para>
/// </summary>
/// <param name="spreadLeg"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder spreadLeg(FixedRateSwapLegConvention spreadLeg)
{
JodaBeanUtils.notNull(spreadLeg, "spreadLeg");
this.spreadLeg_Renamed = spreadLeg;
return(this);
}
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// </para>
/// <para>
/// The spread is represented by {@code FixedRateSwapLegConvention} and to be applied to {@code floatingSpreadLeg}.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="spreadLeg"> the market convention for the spread leg added to one of the floating leg </param>
/// <param name="spreadFloatingLeg"> the market convention for the spread floating leg </param>
/// <param name="flatFloatingLeg"> the market convention for the flat floating leg </param>
/// <param name="spotDateOffset"> the offset of the spot value date from the trade date </param>
/// <returns> the convention </returns>
public static ImmutableThreeLegBasisSwapConvention of(string name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg, DaysAdjustment spotDateOffset)
{
return(new ImmutableThreeLegBasisSwapConvention(name, spreadLeg, spreadFloatingLeg, flatFloatingLeg, spotDateOffset));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// The spot date offset is set to be the effective date offset of the index of the spread floating leg.
/// </para>
/// <para>
/// The spread is represented by {@code FixedRateSwapLegConvention} and to be applied to {@code floatingSpreadLeg}.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="spreadLeg"> the market convention for the spread leg added to one of the floating leg </param>
/// <param name="spreadFloatingLeg"> the market convention for the spread floating leg </param>
/// <param name="flatFloatingLeg"> the market convention for the flat floating leg </param>
/// <returns> the convention </returns>
public static ImmutableThreeLegBasisSwapConvention of(string name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg)
{
return(of(name, spreadLeg, spreadFloatingLeg, flatFloatingLeg, spreadFloatingLeg.Index.EffectiveDateOffset));
}
// Create a zero-coupon fixed leg convention
private static FixedRateSwapLegConvention fixedLegZcConvention(Currency ccy, HolidayCalendarId cal)
{
return(FixedRateSwapLegConvention.builder().paymentFrequency(Frequency.TERM).accrualFrequency(Frequency.P12M).accrualBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)).startDateBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)).endDateBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)).compoundingMethod(CompoundingMethod.STRAIGHT).dayCount(ONE_ONE).currency(ccy).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a convention based on the specified name and leg conventions.
/// <para>
/// The two leg conventions must be in the same currency.
/// The spot date offset is set to be the effective date offset of the index.
///
/// </para>
/// </summary>
/// <param name="name"> the unique name of the convention </param>
/// <param name="fixedLeg"> the market convention for the fixed leg </param>
/// <param name="floatingLeg"> the market convention for the floating leg </param>
/// <returns> the convention </returns>
public static ImmutableFixedIborSwapConvention of(string name, FixedRateSwapLegConvention fixedLeg, IborRateSwapLegConvention floatingLeg)
{
return(of(name, fixedLeg, floatingLeg, floatingLeg.Index.EffectiveDateOffset));
}
