public virtual void test_builder()
{
ResolvedCapitalIndexedBond test = sut();
assertEquals(test.Currency, USD);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.StartDate, PERIODIC[0].StartDate);
assertEquals(test.EndDate, PERIODIC[3].EndDate);
assertEquals(test.UnadjustedStartDate, PERIODIC[0].UnadjustedStartDate);
assertEquals(test.UnadjustedEndDate, PERIODIC[3].UnadjustedEndDate);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.NominalPayment, NOMINAL);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PeriodicPayments.toArray(), PERIODIC);
assertEquals(test.SettlementDateOffset, SETTLE_OFFSET);
assertEquals(test.YieldConvention, US_IL_REAL);
assertEquals(test.hasExCouponPeriod(), false);
assertEquals(test.FirstIndexValue, RATE_CALC.FirstIndexValue.Value);
assertEquals(test.findPeriod(PERIODIC[0].UnadjustedStartDate), (test.PeriodicPayments.get(0)));
assertEquals(test.findPeriod(LocalDate.MIN), null);
assertEquals(test.findPeriodIndex(PERIODIC[0].UnadjustedStartDate), int?.of(0));
assertEquals(test.findPeriodIndex(PERIODIC[1].UnadjustedStartDate), int?.of(1));
assertEquals(test.findPeriodIndex(LocalDate.MIN), int?.empty());
assertEquals(test.calculateSettlementDateFromValuation(date(2015, 6, 30), REF_DATA), SETTLE_OFFSET.adjust(date(2015, 6, 30), REF_DATA));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PortfolioItemInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedCapitalIndexedBond)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case 73828649: // settlement
this.settlement_Renamed = (ResolvedCapitalIndexedBondSettlement)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedCapitalIndexedBondTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.settlement_Renamed = beanToCopy.settlement;
}
public ResolvedCapitalIndexedBondTrade resolve(ReferenceData refData)
{
ResolvedCapitalIndexedBond resolvedProduct = product.resolve(refData);
LocalDate settlementDate = calculateSettlementDate(refData);
double accruedInterest = resolvedProduct.accruedInterest(settlementDate) / product.Notional;
if (settlementDate.isBefore(resolvedProduct.StartDate))
{
throw new System.ArgumentException("Settlement date must not be before bond starts");
}
BondPaymentPeriod settlePeriod;
if (product.YieldConvention.Equals(CapitalIndexedBondYieldConvention.GB_IL_FLOAT))
{
settlePeriod = KnownAmountBondPaymentPeriod.of(Payment.of(product.Currency, -product.Notional * quantity * (price + accruedInterest), settlementDate), SchedulePeriod.of(resolvedProduct.StartDate, settlementDate, product.AccrualSchedule.StartDate, settlementDate));
}
else
{
RateComputation rateComputation = product.RateCalculation.createRateComputation(settlementDate);
settlePeriod = CapitalIndexedBondPaymentPeriod.builder().startDate(resolvedProduct.StartDate).unadjustedStartDate(product.AccrualSchedule.StartDate).endDate(settlementDate).rateComputation(rateComputation).currency(product.Currency).notional(-product.Notional * quantity * (price + accruedInterest)).realCoupon(1d).build();
}
return(ResolvedCapitalIndexedBondTrade.builder().info(info).product(resolvedProduct).quantity(quantity).settlement(ResolvedCapitalIndexedBondSettlement.of(settlementDate, price, settlePeriod)).build());
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="info"> the value of the property, not null </param>
/// <param name="product"> the value of the property, not null </param>
/// <param name="quantity"> the value of the property </param>
/// <param name="settlement"> the value of the property </param>
internal ResolvedCapitalIndexedBondTrade(PortfolioItemInfo info, ResolvedCapitalIndexedBond product, double quantity, ResolvedCapitalIndexedBondSettlement settlement)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.settlement = settlement;
}
//-------------------------------------------------------------------------
public virtual void test_yearFraction_scheduleInfo()
{
ResolvedCapitalIndexedBond @base = sut();
CapitalIndexedBondPaymentPeriod period = @base.PeriodicPayments.get(0);
AtomicBoolean eom = new AtomicBoolean(false);
DayCount dc = new DayCountAnonymousInnerClass(this, @base, period, eom);
ResolvedCapitalIndexedBond test = @base.toBuilder().dayCount(dc).build();
assertEquals(test.yearFraction(period.UnadjustedStartDate, period.UnadjustedEndDate), 0.5);
// test with EOM=true
ResolvedCapitalIndexedBond test2 = test.toBuilder().rollConvention(RollConventions.EOM).build();
eom.set(true);
assertEquals(test2.yearFraction(period.UnadjustedStartDate, period.UnadjustedEndDate), 0.5);
}
public virtual void test_resolve()
{
CapitalIndexedBond @base = sut();
LocalDate[] unAdjDates = new LocalDate[] { LocalDate.of(2008, 1, 13), LocalDate.of(2008, 7, 13), LocalDate.of(2009, 1, 13), LocalDate.of(2009, 7, 13), LocalDate.of(2010, 1, 13) };
CapitalIndexedBondPaymentPeriod[] periodic = new CapitalIndexedBondPaymentPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = SCHEDULE_ADJ.adjust(unAdjDates[i], REF_DATA);
LocalDate end = SCHEDULE_ADJ.adjust(unAdjDates[i + 1], REF_DATA);
LocalDate detachment = EX_COUPON.adjust(end, REF_DATA);
RateComputation comp = RATE_CALC.createRateComputation(end);
periodic[i] = CapitalIndexedBondPaymentPeriod.builder().currency(USD).startDate(start).endDate(end).unadjustedStartDate(unAdjDates[i]).unadjustedEndDate(unAdjDates[i + 1]).detachmentDate(detachment).realCoupon(COUPONS[i]).rateComputation(comp).notional(NOTIONAL).build();
}
CapitalIndexedBondPaymentPeriod nominalExp = periodic[3].withUnitCoupon(periodic[0].StartDate, periodic[0].UnadjustedStartDate);
ResolvedCapitalIndexedBond expected = ResolvedCapitalIndexedBond.builder().securityId(SECURITY_ID).dayCount(ACT_ACT_ISDA).legalEntityId(LEGAL_ENTITY).nominalPayment(nominalExp).periodicPayments(periodic).frequency(SCHEDULE.Frequency).rollConvention(SCHEDULE.calculatedRollConvention()).settlementDateOffset(SETTLE_OFFSET).yieldConvention(US_IL_REAL).rateCalculation(@base.RateCalculation).build();
assertEquals(@base.resolve(REF_DATA), expected);
}
internal static ResolvedCapitalIndexedBond sut2()
{
return(ResolvedCapitalIndexedBond.builder().securityId(CapitalIndexedBondTest.sut2().SecurityId).dayCount(NL_365).legalEntityId(LegalEntityId.of("OG-Ticker", "US-Govt1")).nominalPayment(PERIODIC[1].withUnitCoupon(PERIODIC[0].StartDate, PERIODIC[0].UnadjustedStartDate)).periodicPayments(PERIODIC[0], PERIODIC[1]).frequency(CapitalIndexedBondTest.sut2().AccrualSchedule.Frequency).rollConvention(CapitalIndexedBondTest.sut2().AccrualSchedule.calculatedRollConvention()).settlementDateOffset(DaysAdjustment.ofBusinessDays(3, GBLO)).yieldConvention(GB_IL_FLOAT).rateCalculation(CapitalIndexedBondTest.sut2().RateCalculation).build());
}
//-------------------------------------------------------------------------
internal static ResolvedCapitalIndexedBond sut()
{
return(ResolvedCapitalIndexedBond.builder().securityId(CapitalIndexedBondTest.sut().SecurityId).dayCount(ACT_ACT_ISDA).legalEntityId(LEGAL_ENTITY).nominalPayment(NOMINAL).periodicPayments(PERIODIC).frequency(CapitalIndexedBondTest.sut().AccrualSchedule.Frequency).rollConvention(CapitalIndexedBondTest.sut().AccrualSchedule.calculatedRollConvention()).settlementDateOffset(SETTLE_OFFSET).yieldConvention(US_IL_REAL).rateCalculation(RATE_CALC).build());
}
public virtual void test_builder_fail()
{
CapitalIndexedBondPaymentPeriod period = CapitalIndexedBondPaymentPeriod.builder().startDate(PERIODIC[2].StartDate).endDate(PERIODIC[2].EndDate).currency(GBP).notional(NOTIONAL).rateComputation(PERIODIC[2].RateComputation).realCoupon(COUPON).build();
assertThrowsIllegalArg(() => ResolvedCapitalIndexedBond.builder().dayCount(ACT_ACT_ISDA).legalEntityId(LEGAL_ENTITY).nominalPayment(NOMINAL).periodicPayments(PERIODIC[0], PERIODIC[1], period, PERIODIC[3]).settlementDateOffset(SETTLE_OFFSET).yieldConvention(US_IL_REAL).build());
}
/// <summary>
/// Sets the resolved capital indexed bond product.
/// <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(ResolvedCapitalIndexedBond product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
public ResolvedCapitalIndexedBondTrade resolve(ReferenceData refData)
{
ResolvedCapitalIndexedBond resolved = product.resolve(refData);
return(new ResolvedCapitalIndexedBondTrade(info, resolved, Quantity, null));
}