public virtual void test_resolve_createNotionalExchange_finalOnly()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).initialExchange(false).intermediateExchange(false).finalExchange(true).build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).paymentEvents(NotionalExchange.of(CurrencyAmount.of(GBP, 5000d), DATE_2014_10_01)).build();
assertEquals(test.resolve(REF_DATA), expected);
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).paymentEvents(NOTIONAL_EXCHANGE).build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).paymentEvents(NOTIONAL_EXCHANGE).build();
assertEquals(test.resolve(REF_DATA), expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).paymentEvents(NOTIONAL_EXCHANGE).paymentBusinessDayAdjustment(FOLLOWING_GBLO).initialExchange(true).intermediateExchange(true).finalExchange(true).build();
coverImmutableBean(test);
RatePeriodSwapLeg test2 = RatePeriodSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(RPP2).build();
coverBeanEquals(test, test2);
}
public virtual void test_collectIndices_fxReset()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1_FXRESET).build();
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_3M, GBP_USD_WM));
assertEquals(test.allCurrencies(), ImmutableSet.of(GBP, USD));
}
public virtual void test_resolve_FxResetOmitInitialNotionalExchange()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(RPP1_FXRESET).initialExchange(false).intermediateExchange(true).finalExchange(true).build();
FxResetNotionalExchange finalExchange = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 8000d), DATE_2014_10_01, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA));
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(RPP1_FXRESET).paymentEvents(finalExchange).build();
assertEquals(test.resolve(REF_DATA), expected);
}
public virtual void test_resolve_fxResetNotionalExchange()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1_FXRESET, RPP2).initialExchange(true).intermediateExchange(true).finalExchange(true).build();
FxResetNotionalExchange ne1a = FxResetNotionalExchange.of(CurrencyAmount.of(USD, -8000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA));
FxResetNotionalExchange ne1b = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 8000d), DATE_2014_10_01, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA));
NotionalExchange ne2a = NotionalExchange.of(CurrencyAmount.of(GBP, -6000d), DATE_2014_10_01);
NotionalExchange ne2b = NotionalExchange.of(CurrencyAmount.of(GBP, 6000d), DATE_2014_01_02);
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1_FXRESET, RPP2).paymentEvents(ne1a, ne1b, ne2a, ne2b).build();
assertEquals(test.resolve(REF_DATA), expected);
}
public virtual void test_builder_defaults()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).build();
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.StartDate, AdjustableDate.of(DATE_2014_06_30));
assertEquals(test.EndDate, AdjustableDate.of(DATE_2014_09_30));
assertEquals(test.Currency, GBP);
assertEquals(test.PaymentPeriods, ImmutableList.of(RPP1));
assertEquals(test.PaymentEvents, ImmutableList.of());
assertEquals(test.InitialExchange, false);
assertEquals(test.IntermediateExchange, false);
assertEquals(test.FinalExchange, false);
assertEquals(test.PaymentBusinessDayAdjustment, BusinessDayAdjustment.NONE);
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).initialExchange(true).intermediateExchange(true).finalExchange(true).paymentEvents(NOTIONAL_EXCHANGE).paymentBusinessDayAdjustment(FOLLOWING_GBLO).build();
assertEquals(test.Type, IBOR);
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.StartDate, AdjustableDate.of(DATE_2014_06_30));
assertEquals(test.EndDate, AdjustableDate.of(DATE_2014_09_30));
assertEquals(test.Currency, GBP);
assertEquals(test.PaymentPeriods, ImmutableList.of(RPP1));
assertEquals(test.PaymentEvents, ImmutableList.of(NOTIONAL_EXCHANGE));
assertEquals(test.InitialExchange, true);
assertEquals(test.IntermediateExchange, true);
assertEquals(test.FinalExchange, true);
assertEquals(test.PaymentBusinessDayAdjustment, FOLLOWING_GBLO);
}
// the notional, with trailing space if present
private string notional(SwapLeg leg)
{
if (leg is RateCalculationSwapLeg)
{
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg)leg;
NotionalSchedule notionalSchedule = rcLeg.NotionalSchedule;
ValueSchedule amount = notionalSchedule.Amount;
double notional = amount.InitialValue;
string vary = amount.Steps.Count > 0 || amount.StepSequence.Present ? " variable" : "";
Currency currency = notionalSchedule.FxReset.map(fxr => fxr.ReferenceCurrency).orElse(rcLeg.Currency);
return(SummarizerUtils.amount(currency, notional) + vary);
}
if (leg is RatePeriodSwapLeg)
{
RatePeriodSwapLeg rpLeg = (RatePeriodSwapLeg)leg;
return(SummarizerUtils.amount(rpLeg.PaymentPeriods.get(0).NotionalAmount));
}
return("");
}
public virtual void test_serialization()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).paymentEvents(NOTIONAL_EXCHANGE).build();
assertSerialization(test);
}
public virtual void test_builder_invalidMixedCurrency()
{
assertThrowsIllegalArg(() => RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP3).paymentEvents(NOTIONAL_EXCHANGE).build());
}
