// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
IborFixingDepositTrade trade = template.createTrade(valuationDate, BuySell.BUY, 0d, 0d, refData);
ResolvedIborFixingDeposit deposit = trade.Product.resolve(refData);
return(deposit.FloatingRate.FixingDate);
}
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_metadata_last_fixing()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedIborFixingDeposit product = trade.Product.resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation)product.FloatingRate).FixingDate;
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor.Period, TEMPLATE.DepositPeriod);
}
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_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);
}
