public void expect_exception_when_argument_equals_null()
{
ICalculation <MarketRateInputModel, MarketRateOutputModel> rateCalculation =
new RateCalculation();
rateCalculation.Calculate(null);
}
public void MapToViewModel_CorrectObject_FullObject()
{
// arrange
var rateInput = new RateCalculation
{
Rate = (decimal)2.51,
RateValue = (decimal)2.5
};
var calculationInput = new CalculateRatesInputModel
{
SecondCurrency = "USD",
FirstCurrency = "LOT",
Value = (decimal)12.3
};
// act
var result = RateMapper.MapToViewModel(rateInput, calculationInput);
// assert
Assert.Equal(rateInput.RateValue, result.RateValue);
Assert.Equal(rateInput.Rate, result.Rate);
Assert.Equal(calculationInput.FirstCurrency, result.FirtsCurrency);
Assert.Equal(calculationInput.SecondCurrency, result.SecondCurrency);
Assert.Equal(calculationInput.Value, result.Amount);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case 304659814: // accrualSchedule
this.accrualSchedule_Renamed = (PeriodicSchedule)newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule_Renamed = (PaymentSchedule)newValue;
break;
case 1447860727: // notionalSchedule
this.notionalSchedule_Renamed = (NotionalSchedule)newValue;
break;
case -934682935: // calculation
this.calculation_Renamed = (RateCalculation)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public void EmployeeCostWithoutDiscountShouldBe()
{
RateCalculation rateCalculation = new RateCalculation();
var costWithoutDiscount = Math.Round(rateCalculation.calculateCostWithoutDiscount(0), 2);
Assert.Equal(38.46, costWithoutDiscount);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(RateCalculationSwapLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.accrualSchedule_Renamed = beanToCopy.AccrualSchedule;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.notionalSchedule_Renamed = beanToCopy.NotionalSchedule;
this.calculation_Renamed = beanToCopy.Calculation;
}
public void EmployeeCostWithDiscountShouldBe()
{
RateCalculation rateCalculation = new RateCalculation();
rateCalculation.Discounts = new List <double>(new double[] { .1 });
var costWithDiscount = Math.Round(rateCalculation.calculateCostWithDiscount(0), 2);
Assert.Equal(Math.Round(34.62, 2), costWithDiscount);
}
// parse a single leg
private static RateCalculationSwapLeg parseLeg(CsvRow row, string leg, FloatingRateIndex index, DayCount defaultFixedLegDayCount)
{
PayReceive payReceive = LoaderUtils.parsePayReceive(getValue(row, leg, DIRECTION_FIELD));
PeriodicSchedule accrualSch = parseAccrualSchedule(row, leg);
PaymentSchedule paymentSch = parsePaymentSchedule(row, leg, accrualSch.Frequency);
NotionalSchedule notionalSch = parseNotionalSchedule(row, leg);
RateCalculation calc = parseRateCalculation(row, leg, index, defaultFixedLegDayCount, accrualSch.BusinessDayAdjustment, notionalSch.Currency);
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSch).paymentSchedule(paymentSch).notionalSchedule(notionalSch).calculation(calc).build());
}
public void expect_true_for_correct_requested_amount()
{
ICalculation <MarketRateInputModel, MarketRateOutputModel> rateCalculation =
new RateCalculation();
var loanAmount = 1000;
var rate = 0.07;
var term = 36;
var result = rateCalculation.Calculate(new MarketRateInputModel(loanAmount, term, rate));
Assert.AreEqual(loanAmount, result.RequstedAmount);
}
private RateCalculationSwapLeg(PayReceive payReceive, PeriodicSchedule accrualSchedule, PaymentSchedule paymentSchedule, NotionalSchedule notionalSchedule, RateCalculation calculation)
{
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
JodaBeanUtils.notNull(notionalSchedule, "notionalSchedule");
JodaBeanUtils.notNull(calculation, "calculation");
this.payReceive = payReceive;
this.accrualSchedule = accrualSchedule;
this.paymentSchedule = paymentSchedule;
this.notionalSchedule = notionalSchedule;
this.calculation = calculation;
}
public static CalculateRatesResponseModel MapToViewModel(RateCalculation rateItem, CalculateRatesInputModel rateInput)
{
var result = new CalculateRatesResponseModel()
{
Rate = rateItem.Rate,
RateValue = rateItem.RateValue,
Amount = rateInput.Value,
FirtsCurrency = rateInput.FirstCurrency,
SecondCurrency = rateInput.SecondCurrency
};
return(result);
}
public void expect_true_for_correct_total_repayment()
{
ICalculation <MarketRateInputModel, MarketRateOutputModel> rateCalculation =
new RateCalculation();
var loanAmount = 1000;
var rate = 0.07;
var term = 36;
var result = rateCalculation.Calculate(new MarketRateInputModel(loanAmount, term, rate));
// excepted result is true
var expectedTotalPayment = (decimal)1111.57;
var currentTotalPayment = Math.Truncate(result.TotalPayment * 100) / 100;
Assert.AreEqual(expectedTotalPayment, currentTotalPayment);
}
// a summary of the leg
private string legSummary(SwapLeg leg)
{
if (leg is RateCalculationSwapLeg)
{
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg)leg;
RateCalculation calculation = rcLeg.Calculation;
if (calculation is FixedRateCalculation)
{
FixedRateCalculation calc = (FixedRateCalculation)calculation;
string vary = calc.Rate.Steps.Count > 0 || calc.Rate.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.percent(calc.Rate.InitialValue) + vary);
}
if (calculation is IborRateCalculation)
{
IborRateCalculation calc = (IborRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + gearing + spread);
}
if (calculation is OvernightRateCalculation)
{
OvernightRateCalculation calc = (OvernightRateCalculation)calculation;
string avg = calc.AccrualMethod == OvernightAccrualMethod.AVERAGED ? " avg" : "";
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + avg + gearing + spread);
}
if (calculation is InflationRateCalculation)
{
InflationRateCalculation calc = (InflationRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
return(calc.Index.Name + gearing);
}
}
if (leg is KnownAmountSwapLeg)
{
KnownAmountSwapLeg kaLeg = (KnownAmountSwapLeg)leg;
string vary = kaLeg.Amount.Steps.Count > 0 || kaLeg.Amount.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.amount(kaLeg.Currency, kaLeg.Amount.InitialValue) + vary);
}
ImmutableSet <Index> allIndices = leg.allIndices();
return(allIndices.Empty ? "Fixed" : allIndices.ToString());
}
public async Task <CalculateRatesResponseModel> CalculateRates(CalculateRatesInputModel calculateRatesInputModel)
{
var firstCurrency = await _dataLoadLogic.GetCurrency(calculateRatesInputModel.FirstCurrency);
var secondCurrency = await _dataLoadLogic.GetCurrency(calculateRatesInputModel.SecondCurrency);
if (firstCurrency == null || secondCurrency == null)
{
throw new CurrencyNotFoundException();
}
var rateCalculation = new RateCalculation()
{
RateValue = CaclulateRateValue(firstCurrency.Value, secondCurrency.Value, calculateRatesInputModel.Value),
Rate = CaclulateRate(firstCurrency.Value, secondCurrency.Value)
};
return(RateMapper.MapToViewModel(rateCalculation, calculateRatesInputModel));
}
// parses the swap
internal Swap parseSwap(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement swapEl = tradeEl.getChild("swap");
ImmutableList <XmlElement> legEls = swapEl.getChildren("swapStream");
ImmutableList.Builder <SwapLeg> legsBuilder = ImmutableList.builder();
foreach (XmlElement legEl in legEls)
{
// calculation
XmlElement calcPeriodAmountEl = legEl.getChild("calculationPeriodAmount");
XmlElement calcEl = calcPeriodAmountEl.findChild("calculation").orElse(XmlElement.ofChildren("calculation", ImmutableList.of()));
PeriodicSchedule accrualSchedule = parseSwapAccrualSchedule(legEl, document);
PaymentSchedule paymentSchedule = parseSwapPaymentSchedule(legEl, calcEl, document);
// known amount or rate calculation
Optional <XmlElement> knownAmountOptEl = calcPeriodAmountEl.findChild("knownAmountSchedule");
if (knownAmountOptEl.Present)
{
XmlElement knownAmountEl = knownAmountOptEl.get();
document.validateNotPresent(legEl, "stubCalculationPeriodAmount");
document.validateNotPresent(legEl, "resetDates");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
ValueSchedule amountSchedule = parseSchedule(knownAmountEl, document);
// build
legsBuilder.add(KnownAmountSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).amount(amountSchedule).currency(document.parseCurrency(knownAmountEl.getChild("currency"))).build());
}
else
{
document.validateNotPresent(calcEl, "fxLinkedNotionalSchedule");
document.validateNotPresent(calcEl, "futureValueNotional");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
NotionalSchedule notionalSchedule = parseSwapNotionalSchedule(legEl, calcEl, document);
RateCalculation calculation = parseSwapCalculation(legEl, calcEl, accrualSchedule, document);
// build
legsBuilder.add(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(calculation).build());
}
}
return(Swap.of(legsBuilder.build()));
}
/// <summary>
/// Get offer for good match with requested amount
/// </summary>
/// <param name="requestedAmount"></param>
/// <param name="lenderMarkerDatas"></param>
private List <MarketRateOutputModel> FindPossibleQuotes(decimal requestedAmount, List <MarketData> lenderMarkerDatas)
{
var rateCalculation = new RateCalculation();
var possibleQuotes = new List <MarketRateOutputModel>();
// requestedAmount assign to neededAmount
var neededAmount = requestedAmount;
foreach (var lenderData in lenderMarkerDatas)
{
// if lender has amount which I needed, get all money. Otherwise, get money which is available
var available = neededAmount >= lenderData.Available
? lenderData.Available
: neededAmount;
var rateInput = new MarketRateInputModel
{
Amount = available,
Rate = lenderData.Rate,
Term = Term
};
// calculate rate and repayment
var rateOutput = rateCalculation.Calculate(rateInput);
possibleQuotes.Add(rateOutput);
// subtraction avaible money from needed amount
neededAmount -= available;
// exit loop when we get money which I needed
if (neededAmount <= 0)
{
break;
}
}
return(possibleQuotes);
}
public void expect_exception_when_interest_rate_equal_zero()
{
ICalculation <MarketRateInputModel, MarketRateOutputModel> rateCalculation =
new RateCalculation();
var loanAmount = 1000;
var rate = 0;
var term = 36;
Exception exception = null;
try
{
rateCalculation.Calculate(new MarketRateInputModel(loanAmount, term, rate));
}
catch (Exception ex)
{
exception = ex;
}
var isTrue = CheckException(exception, ErrorMessage.ArgumentRateGreaterThanZero);
Assert.IsTrue(isTrue);
}
/// <summary>
/// Sets the interest rate accrual calculation.
/// <para>
/// Different kinds of swap leg are determined by the subclass used here.
/// See <seealso cref="FixedRateCalculation"/>, <seealso cref="IborRateCalculation"/> and <seealso cref="OvernightRateCalculation"/>.
/// </para>
/// </summary>
/// <param name="calculation"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder calculation(RateCalculation calculation)
{
JodaBeanUtils.notNull(calculation, "calculation");
this.calculation_Renamed = calculation;
return(this);
}
