private IborFixingDepositTrade(TradeInfo info, IborFixingDeposit product)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborFixingDeposit test1 = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
coverImmutableBean(test1);
IborFixingDeposit test2 = IborFixingDeposit.builder().buySell(BuySell.BUY).notional(NOTIONAL).startDate(LocalDate.of(2015, 1, 19)).endDate(LocalDate.of(2015, 4, 19)).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_3M).fixedRate(0.015).build();
coverBeanEquals(test1, test2);
}
public IborFixingDepositTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
{
Optional <LocalDate> tradeDate = tradeInfo.TradeDate;
if (tradeDate.Present)
{
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
return(IborFixingDepositTrade.builder().info(tradeInfo).product(IborFixingDeposit.builder().buySell(buySell).currency(Currency).notional(notional).startDate(startDate).endDate(endDate).businessDayAdjustment(BusinessDayAdjustment).fixedRate(fixedRate).index(index).fixingDateOffset(FixingDateOffset).dayCount(DayCount).build()).build());
}
public virtual void test_builder_minimum()
{
IborFixingDeposit test = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
assertEquals(test.BusinessDayAdjustment.get(), BDA_MOD_FOLLOW);
assertEquals(test.BuySell, SELL);
assertEquals(test.FixingDateOffset, GBP_LIBOR_6M.FixingDateOffset);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.Currency, GBP);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, END_DATE);
assertEquals(test.Index, GBP_LIBOR_6M);
assertEquals(test.FixedRate, RATE);
}
public virtual void test_createTrade()
{
IborFixingDepositTemplate template = IborFixingDepositTemplate.of(EUR_LIBOR_3M);
double notional = 1d;
double fixedRate = 0.045;
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
IborFixingDepositTrade trade = template.createTrade(tradeDate, BUY, notional, fixedRate, REF_DATA);
ImmutableIborFixingDepositConvention conv = (ImmutableIborFixingDepositConvention)template.Convention;
LocalDate startExpected = conv.SpotDateOffset.adjust(tradeDate, REF_DATA);
LocalDate endExpected = startExpected.plus(template.DepositPeriod);
IborFixingDeposit productExpected = IborFixingDeposit.builder().businessDayAdjustment(conv.BusinessDayAdjustment).buySell(BUY).startDate(startExpected).endDate(endExpected).fixedRate(fixedRate).index(EUR_LIBOR_3M).notional(notional).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(tradeDate).build();
assertEquals(trade.Info, tradeInfoExpected);
assertEquals(trade.Product, productExpected);
}
public virtual void test_trade()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ImmutableIborFixingDepositConvention conv = (ImmutableIborFixingDepositConvention)TEMPLATE.Convention;
LocalDate startDateExpected = conv.SpotDateOffset.adjust(valuationDate, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(TEMPLATE.DepositPeriod);
IborFixingDeposit depositExpected = IborFixingDeposit.builder().buySell(BuySell.BUY).index(EUR_LIBOR_3M).startDate(startDateExpected).endDate(endDateExpected).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUR_LIBOR_3M.FixingCalendar)).notional(1.0d).fixedRate(rate + SPREAD).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(valuationDate).build();
assertEquals(trade.Product, depositExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
IborFixingDeposit @base = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
ResolvedIborFixingDeposit test = @base.resolve(REF_DATA);
LocalDate expectedEndDate = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA);
double expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate);
IborRateComputation expectedObservation = IborRateComputation.of(GBP_LIBOR_6M, GBP_LIBOR_6M.FixingDateOffset.adjust(START_DATE, REF_DATA), REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, expectedEndDate);
assertEquals(test.FloatingRate, expectedObservation);
assertEquals(test.Notional, -NOTIONAL);
assertEquals(test.FixedRate, RATE);
assertEquals(test.YearFraction, expectedYearFraction);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade()
{
IborFixingDepositConvention convention = ImmutableIborFixingDepositConvention.builder().businessDayAdjustment(BDA_MOD_FOLLOW).currency(EUR).dayCount(ACT_365F).fixingDateOffset(FIXING_ADJ).index(EUR_LIBOR_3M).spotDateOffset(SPOT_ADJ).build();
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
Period depositPeriod = Period.ofMonths(3);
double notional = 1d;
double fixedRate = 0.045;
IborFixingDepositTrade trade = convention.createTrade(tradeDate, depositPeriod, BUY, notional, fixedRate, REF_DATA);
LocalDate startExpected = SPOT_ADJ.adjust(tradeDate, REF_DATA);
LocalDate endExpected = startExpected.plus(depositPeriod);
IborFixingDeposit productExpected = IborFixingDeposit.builder().businessDayAdjustment(BDA_MOD_FOLLOW).buySell(BUY).currency(EUR).dayCount(ACT_365F).startDate(startExpected).endDate(endExpected).fixedRate(fixedRate).fixingDateOffset(FIXING_ADJ).index(EUR_LIBOR_3M).notional(notional).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(tradeDate).build();
assertEquals(trade.Product, productExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
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 = (IborFixingDeposit)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public virtual void test_builder_full()
{
IborFixingDeposit test = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).currency(GBP).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).fixingDateOffset(DAY_ADJ).dayCount(ACT_365F).index(GBP_LIBOR_6M).fixedRate(RATE).build();
assertEquals(test.BusinessDayAdjustment.get(), BDA_MOD_FOLLOW);
assertEquals(test.BuySell, SELL);
assertEquals(test.FixingDateOffset, DAY_ADJ);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.Currency, GBP);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, END_DATE);
assertEquals(test.Index, GBP_LIBOR_6M);
assertEquals(test.FixedRate, RATE);
assertEquals(test.CrossCurrency, false);
assertEquals(test.allPaymentCurrencies(), ImmutableSet.of(GBP));
assertEquals(test.allCurrencies(), ImmutableSet.of(GBP));
}
public virtual void test_builder_wrongDates()
{
assertThrowsIllegalArg(() => IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(LocalDate.of(2015, 9, 19)).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build());
}
public virtual void test_serialization()
{
IborFixingDeposit test = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
assertSerialization(test);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance of an Ibor Fixing Deposit trade.
/// </summary>
/// <param name="info"> the trade info </param>
/// <param name="product"> the product </param>
/// <returns> the trade </returns>
public static IborFixingDepositTrade of(TradeInfo info, IborFixingDeposit product)
{
return(new IborFixingDepositTrade(info, product));
}
/// <summary>
/// Sets the Ibor fixing deposit 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(IborFixingDeposit 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(IborFixingDepositTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
}
