public override CreditDefaultSwap GenerateInstrument()
{
var calendar = TradeInfo.Calendar.ToCalendarImpl();
var startDate = TradeInfo.StartDate.ToDate();
var maturityDate = TradeInfo.MaturityDate.ToDate();
var premiumLegNotiaonalFactor = TradeInfo.SwapDirection.ToSwapDirection() == SwapDirection.Payer ? -1 : 1;
var premiumLeg = new SwapLeg(startDate,
maturityDate,
premiumLegNotiaonalFactor * TradeInfo.Notional,
false,
TradeInfo.Currency.ToCurrencyCode(),
new FixedCoupon(TradeInfo.Coupon),
calendar,
TradeInfo.Frequency.ToFrequency(),
TradeInfo.Stub.ToStub(),
TradeInfo.DayCount.ToDayCountImpl(),
TradeInfo.BusinessDayConvention.ToBda());
var protectionLeg = new CdsProtectionLeg(
startDate,
maturityDate,
null,
TradeInfo.Currency.ToCurrencyCode(),
-premiumLegNotiaonalFactor * TradeInfo.Notional,
TradeInfo.RecoveryRate);
return(new CreditDefaultSwap(premiumLeg, protectionLeg, TradeInfo.SwapDirection.ToSwapDirection()));
}
// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
SwapLeg inflationLeg = trade.Product.getLegs(SwapLegType.INFLATION).get(0);
ResolvedSwapLeg inflationLegExpanded = inflationLeg.resolve(refData);
IList <SwapPaymentPeriod> periods = inflationLegExpanded.PaymentPeriods;
int nbPeriods = periods.Count;
RatePaymentPeriod lastPeriod = (RatePaymentPeriod)periods[nbPeriods - 1];
IList <RateAccrualPeriod> accruals = lastPeriod.AccrualPeriods;
int nbAccruals = accruals.Count;
RateAccrualPeriod lastAccrual = accruals[nbAccruals - 1];
if (lastAccrual.RateComputation is InflationMonthlyRateComputation)
{
return(((InflationMonthlyRateComputation)lastAccrual.RateComputation).EndObservation.FixingMonth.atEndOfMonth());
}
if (lastAccrual.RateComputation is InflationInterpolatedRateComputation)
{
return(((InflationInterpolatedRateComputation)lastAccrual.RateComputation).EndSecondObservation.FixingMonth.atEndOfMonth());
}
if (lastAccrual.RateComputation is InflationEndMonthRateComputation)
{
return(((InflationEndMonthRateComputation)lastAccrual.RateComputation).EndObservation.FixingMonth.atEndOfMonth());
}
if (lastAccrual.RateComputation is InflationEndInterpolatedRateComputation)
{
return(((InflationEndInterpolatedRateComputation)lastAccrual.RateComputation).EndSecondObservation.FixingMonth.atEndOfMonth());
}
throw new System.ArgumentException("Rate computation type not supported for last fixing date of an inflation swap.");
}
protected ICalibrationSupportedInstrument CreateCreditDefaultSwap(RateMktData rateMktData)
{
var indexType = rateMktData.IndexType.ToIndexType();
var cdsJson = MktInstrumentCdsRule.MktCdsRule[indexType];
var cdsInfo = cdsJson.CreditDefaultSwapInfo;
var calendar = cdsInfo.Calendar.ToCalendarImpl();
var startDate = Market.ReferenceDate;
var isTernor = rateMktData.IsTerm();
var tenor = isTernor ? rateMktData.Tenor : null;
var maturityDate = isTernor ? new Term(tenor).Next(startDate) : new Date(DateTime.Parse(rateMktData.Tenor));
var premiumLeg = new SwapLeg(startDate,
maturityDate,
1.0,
false,
cdsInfo.Currency.ToCurrencyCode(),
new FixedCoupon(rateMktData.Rate),
calendar,
cdsInfo.Frequency.ToFrequency(),
cdsInfo.Stub.ToStub(),
cdsInfo.DayCount.ToDayCountImpl(),
cdsInfo.BusinessDayConvention.ToBda()
);
var protectionLeg = new CdsProtectionLeg(startDate, maturityDate, null, cdsInfo.Currency.ToCurrencyCode(), 1.0, cdsInfo.RecoveryRate);
return(new CreditDefaultSwap(premiumLeg, protectionLeg, SwapDirection.Payer, tenor, cdsJson.CreditDefaultSwapInfo.NumIntegrationInterval));
}
private IborCapFloor(IborCapFloorLeg capFloorLeg, SwapLeg payLeg)
{
JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg");
this.capFloorLeg = capFloorLeg;
this.payLeg = payLeg;
validate();
}
private Cms(CmsLeg cmsLeg, SwapLeg payLeg)
{
JodaBeanUtils.notNull(cmsLeg, "cmsLeg");
this.cmsLeg = cmsLeg;
this.payLeg = payLeg;
validate();
}
// create a cross-currency GBP libor 3m vs USD libor 3m swap with spread
private static Trade createXCcyGbpLibor3mVsUsdLibor3mSwap()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2021, 1, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(Currency.GBP, 61_600_000)).calculation(IborRateCalculation.of(IborIndices.GBP_LIBOR_3M)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2021, 1, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(Currency.USD, 100_000_000)).calculation(IborRateCalculation.builder().index(IborIndices.USD_LIBOR_3M).spread(ValueSchedule.of(0.0091)).build()).build();
return(SwapTrade.builder().product(Swap.of(receiveLeg, payLeg)).info(TradeInfo.builder().id(StandardId.of("example", "14")).addAttribute(AttributeType.DESCRIPTION, "GBP Libor 3m vs USD Libor 3m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 1, 24)).build()).build());
}
// create a cross-currency USD fixed vs GBP libor 3m swap with initial and final notional exchange
private static SwapTrade createNotionalExchangeSwap()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2021, 1, 24)).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(Currency.USD).amount(ValueSchedule.of(100_000_000)).initialExchange(true).finalExchange(true).build()).calculation(FixedRateCalculation.of(0.03, DayCounts.THIRTY_U_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2021, 1, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(Currency.GBP).amount(ValueSchedule.of(61_600_000)).initialExchange(true).finalExchange(true).build()).calculation(IborRateCalculation.of(IborIndices.GBP_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "16")).addAttribute(AttributeType.DESCRIPTION, "USD fixed vs GBP Libor 3m (notional exchange)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 1, 24)).build()).build());
}
private SwapTrade getMtmTrade(bool initialExchange, bool intermediateExchange, bool finalExchange, double?initialNotional)
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(finalExchange).initialExchange(initialExchange).amount(ValueSchedule.of(NOTIONAL_EUR)).currency(EUR).build()).calculation(IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).spread(ValueSchedule.of(0.0020)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(finalExchange).initialExchange(initialExchange).intermediateExchange(intermediateExchange).amount(ValueSchedule.of(NOTIONAL_USD)).currency(USD).fxReset(FxResetCalculation.builder().fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).referenceCurrency(EUR).index(EUR_USD_WM).initialNotionalValue(initialNotional).build()).build()).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
return(SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build());
}
// Create a fixed vs libor 6m swap
private static Trade createInterpolatedStub4mFixedVsLibor6mSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 7, 12)).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(IborIndices.USD_LIBOR_6M).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(IborIndices.USD_LIBOR_3M, IborIndices.USD_LIBOR_6M)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 7, 12)).stubConvention(StubConvention.SHORT_INITIAL).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.01, DayCounts.THIRTY_U_360)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "9")).addAttribute(AttributeType.DESCRIPTION, "Fixed vs Libor 6m (interpolated 4m short initial stub)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
// Create an overnight averaged vs libor 3m swap with spread
private static Trade createOvernightAveragedWithSpreadVsLibor3mSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(OvernightRateCalculation.builder().dayCount(DayCounts.ACT_360).index(OvernightIndices.USD_FED_FUND).accrualMethod(OvernightAccrualMethod.AVERAGED).spread(ValueSchedule.of(0.0025)).build()).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "3")).addAttribute(AttributeType.DESCRIPTION, "Fed Funds averaged + spread vs Libor 3m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
// Create a compounding fixed vs fed funds swap
private static Trade createCompoundingFixedVsFedFundsSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 5)).endDate(LocalDate.of(2014, 4, 7)).frequency(Frequency.TERM).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.00123, DayCounts.ACT_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 5)).endDate(LocalDate.of(2014, 4, 7)).frequency(Frequency.TERM).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(OvernightRateCalculation.of(OvernightIndices.USD_FED_FUND)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "11")).addAttribute(AttributeType.DESCRIPTION, "Compounding fixed vs fed funds").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 2, 5)).build()).build());
}
// Create a compounding libor 6m vs libor 3m swap
private static Trade createCompoundingLibor6mVsLibor3mSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 27)).endDate(LocalDate.of(2024, 8, 27)).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_6M)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 27)).endDate(LocalDate.of(2024, 8, 27)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).compoundingMethod(CompoundingMethod.STRAIGHT).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "13")).addAttribute(AttributeType.DESCRIPTION, "Compounding libor 6m vs libor 3m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 8, 27)).build()).build());
}
public virtual void test_getEndDate()
{
SwapLeg leg1 = MockSwapLeg.of(FIXED, PAY, date(2015, 6, 29), date(2017, 6, 30), Currency.USD);
SwapLeg leg2 = MockSwapLeg.of(FIXED, RECEIVE, date(2015, 6, 30), date(2017, 6, 29), Currency.USD);
assertEquals(Swap.of(leg1).EndDate, AdjustableDate.of(date(2017, 6, 30)));
assertEquals(Swap.of(leg2).EndDate, AdjustableDate.of(date(2017, 6, 29)));
assertEquals(Swap.of(leg1, leg2).EndDate, AdjustableDate.of(date(2017, 6, 30)));
assertEquals(Swap.of(leg2, leg1).EndDate, AdjustableDate.of(date(2017, 6, 30)));
}
public CreditDefaultSwap(SwapLeg premiumLeg,
CdsProtectionLeg protectionLeg,
SwapDirection swapDirection,
string tenor = null,
int premiumLegIntegrationIntervals = 60)
{
PremiumLeg = premiumLeg;
ProtectionLeg = protectionLeg;
SwapDirection = swapDirection;
Tenor = tenor ?? new Term(UnderlyingMaturityDate - StartDate, Period.Day).ToString();
PremiumLegIntegrationIntervals = premiumLegIntegrationIntervals;
}
//-------------------------------------------------------------------------
public virtual void test_BasisLibor3mVsLibor6mSwapWithSpread()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 29)).endDate(LocalDate.of(2024, 8, 29)).frequency(P6M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_6M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 29)).endDate(LocalDate.of(2024, 8, 29)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).spread(ValueSchedule.of(0.0010)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 8, 27)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, -21875.376339152455, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_CompoundingOisFixed2mVsFedFund12mSwapWithFixing()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 17)).endDate(LocalDate.of(2014, 3, 17)).frequency(TERM).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, CalendarUSD.NYC)).build()).notionalSchedule(NOTIONAL).calculation(FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.of(0.00123)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 17)).endDate(LocalDate.of(2014, 3, 17)).frequency(TERM).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, CalendarUSD.NYC)).build()).notionalSchedule(NOTIONAL).calculation(OvernightRateCalculation.builder().dayCount(ACT_360).index(USD_FED_FUND).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 1, 15)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, -7352.973875972721, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_OnAASpreadVsLibor3MSwap()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(OvernightRateCalculation.builder().dayCount(ACT_360).index(USD_FED_FUND).accrualMethod(OvernightAccrualMethod.AVERAGED).rateCutOffDays(0).spread(ValueSchedule.of(0.0025)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 1, 15)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, -160663.8362, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_ZeroCouponFixedVsLibor3mSwap()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2021, 9, 12)).frequency(P12M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.NONE).compoundingMethod(CompoundingMethod.STRAIGHT).build()).notionalSchedule(NOTIONAL).calculation(FixedRateCalculation.builder().dayCount(THIRTY_U_360).rate(ValueSchedule.of(0.015)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2021, 9, 12)).frequency(P3M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(TERM).paymentDateOffset(DaysAdjustment.NONE).compoundingMethod(CompoundingMethod.STRAIGHT).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, 7850279.042216873, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_InterpolatedStub4mFixed6mVsLibor6mSwap()
{
SwapLeg receiveLeg = fixedLeg(LocalDate.of(2014, 9, 12), LocalDate.of(2016, 7, 12), P6M, RECEIVE, NOTIONAL, 0.01, StubConvention.SHORT_INITIAL);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 7, 12)).frequency(P6M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_6M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(USD_LIBOR_3M, USD_LIBOR_6M)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(receiveLeg, payLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, 314215.2347116342, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_VanillaFixedVsLibor3mSwapWithFixing()
{
SwapLeg payLeg = fixedLeg(LocalDate.of(2013, 9, 12), LocalDate.of(2020, 9, 12), P6M, PAY, NOTIONAL, 0.015, null);
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2013, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2013, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, 3588376.471608199, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_BasisCompoundedLibor1mVsLibor3mSwap()
{
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 29)).endDate(LocalDate.of(2019, 8, 29)).frequency(P1M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).compoundingMethod(CompoundingMethod.FLAT).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_1M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 29)).endDate(LocalDate.of(2019, 8, 29)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 8, 27)).build()).product(Swap.of(receiveLeg, payLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, -342874.98367929866, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public SwapTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread)
{
Optional <LocalDate> tradeDate = tradeInfo.TradeDate;
if (tradeDate.Present)
{
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
SwapLeg leg1 = spreadLeg.toLeg(startDate, endDate, PayReceive.ofPay(buySell.Buy), notional, spread);
SwapLeg leg2 = flatLeg.toLeg(startDate, endDate, PayReceive.ofPay(buySell.Sell), notional);
return(SwapTrade.builder().info(tradeInfo).product(Swap.of(leg1, leg2)).build());
}
// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
SwapLeg iborLeg = trade.Product.getLegs(SwapLegType.IBOR).get(0);
ResolvedSwapLeg iborLegExpanded = iborLeg.resolve(refData);
IList <SwapPaymentPeriod> periods = iborLegExpanded.PaymentPeriods;
int nbPeriods = periods.Count;
RatePaymentPeriod lastPeriod = (RatePaymentPeriod)periods[nbPeriods - 1];
IList <RateAccrualPeriod> accruals = lastPeriod.AccrualPeriods;
int nbAccruals = accruals.Count;
IborRateComputation ibor = (IborRateComputation)accruals[nbAccruals - 1].RateComputation;
return(ibor.FixingDate);
}
private static Trade createTrade1()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 12_000_000);
PeriodicSchedule accrual = PeriodicSchedule.builder().startDate(LocalDate.of(2006, 2, 24)).endDate(LocalDate.of(2011, 2, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build();
PaymentSchedule payment = PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, HolidayCalendarIds.USNY)).build();
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.05004, DayCounts.ACT_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.builder().legs(payLeg, receiveLeg).build()).info(TradeInfo.builder().id(StandardId.of("mn", "14248")).counterparty(StandardId.of("mn", "Dealer A")).settlementDate(LocalDate.of(2006, 2, 24)).build()).build());
}
//-----------------------------------------------------------------------
// XCcy swap with exchange of notional
public virtual void test_XCcyEur3MSpreadVsUSD3M()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(true).initialExchange(true).amount(ValueSchedule.of(NOTIONAL_EUR)).currency(EUR).build()).calculation(IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).spread(ValueSchedule.of(0.0020)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(true).initialExchange(true).amount(ValueSchedule.of(NOTIONAL_USD)).currency(USD).build()).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
double pvUsdExpected = 431944.6868;
double pvEurExpected = -731021.1778;
DiscountingSwapTradePricer pricer = swapPricer();
MultiCurrencyAmount pv = pricer.presentValue(trade, provider());
assertEquals(pv.getAmount(USD).Amount, pvUsdExpected, TOLERANCE_PV);
assertEquals(pv.getAmount(EUR).Amount, pvEurExpected, TOLERANCE_PV);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1356515323: // cmsLeg
this.cmsLeg = (CmsLeg)newValue;
break;
case -995239866: // payLeg
this.payLeg = (SwapLeg)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
// 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());
}
//-------------------------------------------------------------------------
/// <summary>
/// Summarizes this swap into string form.
/// </summary>
/// <returns> the summary description </returns>
public string summaryDescription()
{
// 5Y USD 2mm Rec USD-LIBOR-6M / Pay 1% : 21Jan17-21Jan22
StringBuilder buf = new StringBuilder(64);
buf.Append(SummarizerUtils.datePeriod(StartDate.Unadjusted, EndDate.Unadjusted));
buf.Append(' ');
if (Legs.size() == 2 && PayLeg.Present && ReceiveLeg.Present && Legs.All(leg => leg is RateCalculationSwapLeg))
{
// normal swap
SwapLeg payLeg = PayLeg.get();
SwapLeg recLeg = ReceiveLeg.get();
string payNotional = notional(payLeg);
string recNotional = notional(recLeg);
if (payNotional.Equals(recNotional))
{
buf.Append(recNotional);
buf.Append(" Rec ");
buf.Append(legSummary(recLeg));
buf.Append(" / Pay ");
buf.Append(legSummary(payLeg));
}
else
{
buf.Append("Rec ");
buf.Append(legSummary(recLeg));
buf.Append(' ');
buf.Append(recNotional);
buf.Append(" / Pay ");
buf.Append(legSummary(payLeg));
buf.Append(' ');
buf.Append(payNotional);
}
}
else
{
// abnormal swap
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
buf.Append(Legs.Select(leg => (SummarizerUtils.payReceive(leg.PayReceive) + " " + legSummary(leg) + " " + notional(leg)).Trim()).collect(joining(" / ")));
}
buf.Append(" : ");
buf.Append(SummarizerUtils.dateRange(StartDate.Unadjusted, EndDate.Unadjusted));
return(buf.ToString());
}
// 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 InterestRateSwap(
SwapLeg fixedLeg,
SwapLeg floatingLeg,
SwapDirection swapDirection,
string tenor = null)
{
FixedLeg = fixedLeg;
FloatingLeg = floatingLeg;
if (FixedLeg.StartDate != FloatingLeg.StartDate || FixedLeg.UnderlyingMaturityDate != FloatingLeg.UnderlyingMaturityDate ||
!FixedLeg.Notional.AlmostEqual(-FloatingLeg.Notional) || FixedLeg.NotionalExchange != FloatingLeg.NotionalExchange)
{
throw new PricingBaseException("Interest rate swap fixed leg and floating leg mismatches");
}
SwapDirection = swapDirection;
Tenor = tenor ?? string.Format("{0}{1}", (int)(UnderlyingMaturityDate - StartDate), "D");
}