public virtual void test_trade()
{
FxSwapCurveNode node = FxSwapCurveNode.of(TEMPLATE, QUOTE_ID_PTS);
FxSwapTrade trade = node.trade(1d, MARKET_DATA, REF_DATA);
double rate = FX_RATE_NEAR.fxRate(EUR_USD);
FxSwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BuySell.BUY, 1.0, rate, FX_RATE_PTS, REF_DATA);
assertEquals(trade, expected);
assertEquals(node.resolvedTrade(1d, MARKET_DATA, REF_DATA), trade.resolve(REF_DATA));
}
//-------------------------------------------------------------------------
public FxSwapTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double nearFxRate, double farLegForwardPoints)
{
Optional <LocalDate> tradeDate = tradeInfo.TradeDate;
if (tradeDate.Present)
{
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
double amount1 = BuySell.BUY.normalize(notional);
return(FxSwapTrade.builder().info(tradeInfo).product(FxSwap.ofForwardPoints(CurrencyAmount.of(currencyPair.Base, amount1), FxRate.of(currencyPair, nearFxRate), farLegForwardPoints, startDate, endDate, BusinessDayAdjustment)).build());
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
FxSwapTemplate @base = FxSwapTemplate.of(NEAR_PERIOD, FAR_PERIOD, CONVENTION);
LocalDate tradeDate = LocalDate.of(2015, 10, 29);
FxSwapTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS, REF_DATA);
LocalDate spotDate = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate nearDate = spotDate.plus(NEAR_PERIOD);
LocalDate farDate = spotDate.plus(FAR_PERIOD);
BusinessDayAdjustment bda = CONVENTION.BusinessDayAdjustment;
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, bda);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade_periods()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
Period startPeriod = Period.ofMonths(3);
Period endPeriod = Period.ofMonths(6);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate spotDate = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate nearDate = spotDate.plus(startPeriod);
LocalDate farDate = spotDate.plus(endPeriod);
FxSwapTrade test = @base.createTrade(tradeDate, startPeriod, endPeriod, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS, REF_DATA);
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, BDA_FOLLOW);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_toTrade_dates()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate nearDate = LocalDate.of(2015, 7, 5);
LocalDate nearDateAdj = LocalDate.of(2015, 7, 6); // Adjusted: 5 is Sunday
LocalDate farDate = LocalDate.of(2015, 9, 5);
LocalDate farDateAdj = LocalDate.of(2015, 9, 7); // Adjusted: 5 is Saturday
FxSwapTrade test = @base.toTrade(tradeDate, nearDate, farDate, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS);
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, BDA_FOLLOW);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
ResolvedFxSwap resolvedExpected = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), USD, FX_RATE_NEAR, FX_RATE_PTS, nearDateAdj, farDateAdj);
assertEquals(test.Product.resolve(REF_DATA), resolvedExpected);
}
// create an FX Swap trade
private static Trade createTrade3()
{
FxSwap swap = FxSwap.ofForwardPoints(CurrencyAmount.of(GBP, 10000), FxRate.of(GBP, USD, 1.62), 0.03, LocalDate.of(2014, 6, 14), LocalDate.of(2014, 9, 14));
return(FxSwapTrade.builder().product(swap).info(TradeInfo.builder().id(StandardId.of("example", "3")).addAttribute(AttributeType.DESCRIPTION, "GBP 10,000/USD @ 1.62 swap").counterparty(StandardId.of("example", "BigBankA")).settlementDate(LocalDate.of(2014, 9, 15)).build()).build());
}
// calculate the end date
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData)
{
FxSwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, 0, refData);
return(trade.Product.FarLeg.resolve(refData).PaymentDate);
}
