//-------------------------------------------------------------------------
// notional schedule
private static NotionalSchedule parseNotionalSchedule(CsvRow row, string leg)
{
NotionalSchedule.Builder builder = NotionalSchedule.builder();
// basics
Currency currency = Currency.of(getValueWithFallback(row, leg, CURRENCY_FIELD));
builder.currency(currency);
builder.amount(ValueSchedule.of(LoaderUtils.parseDouble(getValueWithFallback(row, leg, NOTIONAL_FIELD))));
// fx reset
Optional <FxIndex> fxIndexOpt = findValue(row, leg, FX_RESET_INDEX_FIELD).map(s => FxIndex.of(s));
Optional <Currency> notionalCurrencyOpt = findValue(row, leg, NOTIONAL_CURRENCY_FIELD).map(s => Currency.of(s));
Optional <FxResetFixingRelativeTo> fxFixingRelativeToOpt = findValue(row, leg, FX_RESET_RELATIVE_TO_FIELD).map(s => FxResetFixingRelativeTo.of(s));
Optional <DaysAdjustment> fxResetAdjOpt = parseDaysAdjustment(row, leg, FX_RESET_OFFSET_DAYS_FIELD, FX_RESET_OFFSET_CAL_FIELD, FX_RESET_OFFSET_ADJ_CNV_FIELD, FX_RESET_OFFSET_ADJ_CAL_FIELD);
if (fxIndexOpt.Present)
{
FxIndex fxIndex = fxIndexOpt.get();
FxResetCalculation.Builder fxResetBuilder = FxResetCalculation.builder();
fxResetBuilder.index(fxIndex);
fxResetBuilder.referenceCurrency(notionalCurrencyOpt.orElse(fxIndex.CurrencyPair.other(currency)));
fxFixingRelativeToOpt.ifPresent(v => fxResetBuilder.fixingRelativeTo(v));
fxResetAdjOpt.ifPresent(v => fxResetBuilder.fixingDateOffset(v));
builder.fxReset(fxResetBuilder.build());
}
else if (notionalCurrencyOpt.Present || fxFixingRelativeToOpt.Present || fxResetAdjOpt.Present)
{
throw new System.ArgumentException("Swap trade FX Reset must define field '" + leg + FX_RESET_INDEX_FIELD + "'");
}
// optionals
findValue(row, leg, NOTIONAL_INITIAL_EXCHANGE_FIELD).map(s => LoaderUtils.parseBoolean(s)).ifPresent(v => builder.initialExchange(v));
findValue(row, leg, NOTIONAL_INTERMEDIATE_EXCHANGE_FIELD).map(s => LoaderUtils.parseBoolean(s)).ifPresent(v => builder.intermediateExchange(v));
findValue(row, leg, NOTIONAL_FINAL_EXCHANGE_FIELD).map(s => LoaderUtils.parseBoolean(s)).ifPresent(v => builder.finalExchange(v));
return(builder.build());
}
//-------------------------------------------------------------------------
// fixed rate calculation
private static RateCalculation parseFixedRateCalculation(CsvRow row, string leg, Currency currency, DayCount defaultFixedLegDayCount)
{
FixedRateCalculation.Builder builder = FixedRateCalculation.builder();
// basics
double fixedRate = LoaderUtils.parseDoublePercent(getValue(row, leg, FIXED_RATE_FIELD));
DayCount dayCount = findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).orElse(defaultFixedLegDayCount);
if (dayCount == null)
{
throw new System.ArgumentException("Swap leg must define day count using '" + leg + DAY_COUNT_FIELD + "'");
}
builder.dayCount(dayCount);
builder.rate(ValueSchedule.of(fixedRate));
// initial stub
double?initialStubRateOpt = findValue(row, leg, INITIAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
double?initialStubAmountOpt = findValue(row, leg, INITIAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));
if (initialStubRateOpt.HasValue && initialStubAmountOpt.HasValue)
{
throw new System.ArgumentException("Swap leg must not define both '" + leg + INITIAL_STUB_RATE_FIELD + "' and '" + leg + INITIAL_STUB_AMOUNT_FIELD + "'");
}
initialStubRateOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofFixedRate(v)));
initialStubAmountOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
// final stub
double?finalStubRateOpt = findValue(row, leg, FINAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
double?finalStubAmountOpt = findValue(row, leg, FINAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));
if (finalStubRateOpt.HasValue && finalStubAmountOpt.HasValue)
{
throw new System.ArgumentException("Swap leg must not define both '" + leg + FINAL_STUB_RATE_FIELD + "' and '" + leg + FINAL_STUB_AMOUNT_FIELD + "'");
}
finalStubRateOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofFixedRate(v)));
finalStubAmountOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
return(builder.build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case 3493088: // rate
this.rate_Renamed = (ValueSchedule)newValue;
break;
case 1233359378: // initialStub
this.initialStub_Renamed = (FixedRateStubCalculation)newValue;
break;
case 355242820: // finalStub
this.finalStub_Renamed = (FixedRateStubCalculation)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
// variable fixed rate
private static SwapTrade parseVariableRates(SwapTrade trade, IList <CsvRow> variableRows)
{
ImmutableList.Builder <ValueStep> stepBuilder = ImmutableList.builder();
foreach (CsvRow row in variableRows)
{
LocalDate date = LoaderUtils.parseDate(row.getValue(START_DATE_FIELD));
row.findValue(FIXED_RATE_FIELD).map(str => LoaderUtils.parseDoublePercent(str)).ifPresent(fixedRate => stepBuilder.add(ValueStep.of(date, ValueAdjustment.ofReplace(fixedRate))));
}
ImmutableList <ValueStep> varRates = stepBuilder.build();
if (varRates.Empty)
{
return(trade);
}
// adjust the trade, inserting the variable rates
ImmutableList.Builder <SwapLeg> legBuilder = ImmutableList.builder();
foreach (SwapLeg swapLeg in trade.Product.Legs)
{
RateCalculationSwapLeg leg = (RateCalculationSwapLeg)swapLeg;
if (leg.Calculation is FixedRateCalculation)
{
FixedRateCalculation baseCalc = (FixedRateCalculation)leg.Calculation;
FixedRateCalculation calc = baseCalc.toBuilder().rate(ValueSchedule.of(baseCalc.Rate.InitialValue, varRates)).build();
legBuilder.add(leg.toBuilder().calculation(calc).build());
}
else
{
legBuilder.add(leg);
}
}
return(replaceLegs(trade, legBuilder.build()));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
case -449555555: // fxReset
this.fxReset_Renamed = (FxResetCalculation)newValue;
break;
case -1413853096: // amount
this.amount_Renamed = (ValueSchedule)newValue;
break;
case -511982201: // initialExchange
this.initialExchange_Renamed = (bool?)newValue.Value;
break;
case -2147112388: // intermediateExchange
this.intermediateExchange_Renamed = (bool?)newValue.Value;
break;
case -1048781383: // finalExchange
this.finalExchange_Renamed = (bool?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 100346066: // index
this.index_Renamed = (PriceIndex)newValue;
break;
case 106898: // lag
this.lag_Renamed = (Period)newValue;
break;
case -1409010088: // indexCalculationMethod
this.indexCalculationMethod_Renamed = (PriceIndexCalculationMethod)newValue;
break;
case 922631823: // firstIndexValue
this.firstIndexValue_Renamed = (double?)newValue;
break;
case -91774989: // gearing
this.gearing_Renamed = (ValueSchedule)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(FixedRateCalculation beanToCopy)
{
this.dayCount_Renamed = beanToCopy.DayCount;
this.rate_Renamed = beanToCopy.Rate;
this.initialStub_Renamed = beanToCopy.initialStub;
this.finalStub_Renamed = beanToCopy.finalStub;
}
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 -1413853096: // amount
this.amount_Renamed = (ValueSchedule)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)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(InflationRateCalculation beanToCopy)
{
this.index_Renamed = beanToCopy.Index;
this.lag_Renamed = beanToCopy.Lag;
this.indexCalculationMethod_Renamed = beanToCopy.IndexCalculationMethod;
this.firstIndexValue_Renamed = beanToCopy.firstIndexValue;
this.gearing_Renamed = beanToCopy.gearing;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(KnownAmountSwapLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.accrualSchedule_Renamed = beanToCopy.AccrualSchedule;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.amount_Renamed = beanToCopy.Amount;
this.currency_Renamed = beanToCopy.Currency;
}
static CapitalIndexedBondTest()
{
IList <ValueStep> steps = new List <ValueStep>();
steps.Add(ValueStep.of(1, ValueAdjustment.ofReplace(COUPONS[1])));
steps.Add(ValueStep.of(2, ValueAdjustment.ofReplace(COUPONS[2])));
steps.Add(ValueStep.of(3, ValueAdjustment.ofReplace(COUPONS[3])));
COUPON = ValueSchedule.of(COUPONS[0], steps);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(NotionalSchedule beanToCopy)
{
this.currency_Renamed = beanToCopy.Currency;
this.fxReset_Renamed = beanToCopy.fxReset;
this.amount_Renamed = beanToCopy.Amount;
this.initialExchange_Renamed = beanToCopy.InitialExchange;
this.intermediateExchange_Renamed = beanToCopy.IntermediateExchange;
this.finalExchange_Renamed = beanToCopy.FinalExchange;
}
private FixedRateCalculation(DayCount dayCount, ValueSchedule rate, FixedRateStubCalculation initialStub, FixedRateStubCalculation finalStub)
{
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(rate, "rate");
this.dayCount = dayCount;
this.rate = rate;
this.initialStub = initialStub;
this.finalStub = finalStub;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(OvernightRateCalculation beanToCopy)
{
this.dayCount_Renamed = beanToCopy.DayCount;
this.index_Renamed = beanToCopy.Index;
this.accrualMethod_Renamed = beanToCopy.AccrualMethod;
this.negativeRateMethod_Renamed = beanToCopy.NegativeRateMethod;
this.rateCutOffDays_Renamed = beanToCopy.RateCutOffDays;
this.gearing_Renamed = beanToCopy.gearing;
this.spread_Renamed = beanToCopy.spread;
}
public virtual void test_summarize_irs_weird()
{
PeriodicSchedule accrual = PeriodicSchedule.of(date(2018, 2, 12), date(2020, 2, 12), Frequency.P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, false);
PaymentSchedule payment = PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build();
NotionalSchedule notional = NotionalSchedule.of(GBP, ValueSchedule.builder().initialValue(1_000_000).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(-50_000))).build());
RateCalculationSwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.builder().initialValue(0.0012).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(0.0001))).build()).build()).build();
RateCalculationSwapLeg recLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(IborIndices.GBP_LIBOR_3M).gearing(ValueSchedule.of(1.1)).spread(ValueSchedule.of(0.002)).build()).build();
Swap test = Swap.of(payLeg, recLeg);
assertEquals(test.summaryDescription(), "2Y GBP 1mm variable Rec GBP-LIBOR-3M * 1.1 + 0.2% / Pay 0.12% variable : 12Feb18-12Feb20");
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(IborCapFloorLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.paymentDateOffset_Renamed = beanToCopy.PaymentDateOffset;
this.currency_Renamed = beanToCopy.Currency;
this.notional_Renamed = beanToCopy.Notional;
this.calculation_Renamed = beanToCopy.Calculation;
this.capSchedule_Renamed = beanToCopy.capSchedule;
this.floorSchedule_Renamed = beanToCopy.floorSchedule;
}
private NotionalSchedule(Currency currency, FxResetCalculation fxReset, ValueSchedule amount, bool initialExchange, bool intermediateExchange, bool finalExchange)
{
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(amount, "amount");
this.currency = currency;
this.fxReset = fxReset;
this.amount = amount;
this.initialExchange = initialExchange;
this.intermediateExchange = intermediateExchange;
this.finalExchange = finalExchange;
validate();
}
private InflationRateCalculation(PriceIndex index, Period lag, PriceIndexCalculationMethod indexCalculationMethod, double?firstIndexValue, ValueSchedule gearing)
{
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(lag, "lag");
JodaBeanUtils.notNull(indexCalculationMethod, "indexCalculationMethod");
this.index = index;
this.lag = lag;
this.indexCalculationMethod = indexCalculationMethod;
this.firstIndexValue = firstIndexValue;
this.gearing = gearing;
validate();
}
private KnownAmountSwapLeg(PayReceive payReceive, PeriodicSchedule accrualSchedule, PaymentSchedule paymentSchedule, ValueSchedule amount, Currency currency)
{
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
JodaBeanUtils.notNull(amount, "amount");
JodaBeanUtils.notNull(currency, "currency");
this.payReceive = payReceive;
this.accrualSchedule = accrualSchedule;
this.paymentSchedule = paymentSchedule;
this.amount = amount;
this.currency = currency;
}
// Converts an FpML 'Schedule' to a {@code ValueSchedule}.
private ValueSchedule parseSchedule(XmlElement scheduleEl, double initialValue, ValueStepSequence seq, FpmlDocument document)
{
IList <XmlElement> stepEls = scheduleEl.getChildren("step");
ImmutableList.Builder <ValueStep> stepBuilder = ImmutableList.builder();
foreach (XmlElement stepEl in stepEls)
{
LocalDate stepDate = document.parseDate(stepEl.getChild("stepDate"));
double stepValue = document.parseDecimal(stepEl.getChild("stepValue"));
stepBuilder.add(ValueStep.of(stepDate, ValueAdjustment.ofReplace(stepValue)));
}
return(ValueSchedule.builder().initialValue(initialValue).steps(stepBuilder.build()).stepSequence(seq).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private IborCapFloorLeg(com.opengamma.strata.product.common.PayReceive payReceive, com.opengamma.strata.basics.schedule.PeriodicSchedule paymentSchedule, com.opengamma.strata.basics.date.DaysAdjustment paymentDateOffset, com.opengamma.strata.basics.currency.Currency currency, com.opengamma.strata.basics.value.ValueSchedule notional, com.opengamma.strata.product.swap.IborRateCalculation calculation, com.opengamma.strata.basics.value.ValueSchedule capSchedule, com.opengamma.strata.basics.value.ValueSchedule floorSchedule)
private IborCapFloorLeg(PayReceive payReceive, PeriodicSchedule paymentSchedule, DaysAdjustment paymentDateOffset, Currency currency, ValueSchedule notional, IborRateCalculation calculation, ValueSchedule capSchedule, ValueSchedule floorSchedule)
{
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.paymentSchedule = ArgChecker.notNull(paymentSchedule, "paymentSchedule");
this.paymentDateOffset = ArgChecker.notNull(paymentDateOffset, "paymentDateOffset");
this.currency = currency != null ? currency : calculation.Index.Currency;
this.notional = notional;
this.calculation = ArgChecker.notNull(calculation, "calculation");
this.capSchedule = capSchedule;
this.floorSchedule = floorSchedule;
ArgChecker.isTrue(!this.PaymentSchedule.StubConvention.Present || this.PaymentSchedule.StubConvention.get().Equals(StubConvention.NONE), "Stub period is not allowed");
ArgChecker.isFalse(this.CapSchedule.Present == this.FloorSchedule.Present, "One of cap schedule and floor schedule should be empty");
ArgChecker.isTrue(this.Calculation.Index.Tenor.Period.Equals(this.PaymentSchedule.Frequency.Period), "Payment frequency period should be the same as index tenor period");
}
private OvernightRateCalculation(DayCount dayCount, OvernightIndex index, OvernightAccrualMethod accrualMethod, NegativeRateMethod negativeRateMethod, int rateCutOffDays, ValueSchedule gearing, ValueSchedule spread)
{
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(accrualMethod, "accrualMethod");
JodaBeanUtils.notNull(negativeRateMethod, "negativeRateMethod");
ArgChecker.notNegative(rateCutOffDays, "rateCutOffDays");
this.dayCount = dayCount;
this.index = index;
this.accrualMethod = accrualMethod;
this.negativeRateMethod = negativeRateMethod;
this.rateCutOffDays = rateCutOffDays;
this.gearing = gearing;
this.spread = spread;
}
// 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 override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule_Renamed = (PeriodicSchedule)newValue;
break;
case -716438393: // paymentDateOffset
this.paymentDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
case 1585636160: // notional
this.notional_Renamed = (ValueSchedule)newValue;
break;
case -934682935: // calculation
this.calculation_Renamed = (IborRateCalculation)newValue;
break;
case -596212599: // capSchedule
this.capSchedule_Renamed = (ValueSchedule)newValue;
break;
case -1562227005: // floorSchedule
this.floorSchedule_Renamed = (ValueSchedule)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public virtual void test_AmortizingFixedVsLibor3mSwap()
{
ValueAdjustment stepReduction = ValueAdjustment.ofDeltaAmount(-3_000_000);
IList <ValueStep> steps = new List <ValueStep>();
for (int i = 1; i < 28; i++)
{
steps.Add(ValueStep.of(i, stepReduction));
}
ValueSchedule notionalSchedule = ValueSchedule.of(100_000_000, steps);
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).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(USD, notionalSchedule)).calculation(FixedRateCalculation.builder().dayCount(THIRTY_U_360).rate(ValueSchedule.of(0.016)).build()).build();
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).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(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(USD, notionalSchedule)).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(receiveLeg, payLeg)).build().resolve(REF_DATA);
DiscountingSwapTradePricer pricer = swapPricer();
CurrencyAmount pv = pricer.presentValue(trade, provider()).getAmount(USD);
assertEquals(pv.Amount, -1850080.2895532502, TOLERANCE_PV);
}
// 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()));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case 100346066: // index
this.index_Renamed = (OvernightIndex)newValue;
break;
case -1335729296: // accrualMethod
this.accrualMethod_Renamed = (OvernightAccrualMethod)newValue;
break;
case 1969081334: // negativeRateMethod
this.negativeRateMethod_Renamed = (NegativeRateMethod)newValue;
break;
case -92095804: // rateCutOffDays
this.rateCutOffDays_Renamed = (int?)newValue.Value;
break;
case -91774989: // gearing
this.gearing_Renamed = (ValueSchedule)newValue;
break;
case -895684237: // spread
this.spread_Renamed = (ValueSchedule)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-----------------------------------------------------------------------
public virtual void fixedSwapLeg()
{
// a PeriodicSchedule generates a schedule of accrual periods
// - interest is accrued every 3 months from 2014-02-12 to 2014-07-31
// - accrual period dates are adjusted "modified following" using the "GBLO" holiday calendar
// - there will be a long initial stub
// - the regular accrual period dates will be at the end-of-month
PeriodicSchedule accrualSchedule = PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 12)).endDate(LocalDate.of(2016, 7, 31)).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)).frequency(Frequency.P3M).stubConvention(StubConvention.LONG_INITIAL).rollConvention(RollConventions.EOM).build();
// a PaymentSchedule generates a schedule of payment periods, based on the accrual schedule
// - payments are every 6 months
// - payments are 2 business days after the end of the period
// - straight compounding is used (the payments are less frequent than the accrual, so compounding occurs)
PaymentSchedule paymentSchedule = PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentRelativeTo(PaymentRelativeTo.PERIOD_END).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, HolidayCalendarIds.GBLO)).compoundingMethod(CompoundingMethod.STRAIGHT).build();
// a NotionalSchedule generates a schedule of notional amounts, based on the payment schedule
// - in this simple case the notional is 1 million GBP and does not change
NotionalSchedule notionalSchedule = NotionalSchedule.of(Currency.GBP, 1_000_000);
// a RateCalculationSwapLeg can represent a fixed or floating swap leg
// - a FixedRateCalculation is used to represent a fixed rate
// - the "Act/Act ISDA" day count is used
// - the rate starts at 0.8% and reduces to 0.7%
RateCalculationSwapLeg swapLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(FixedRateCalculation.builder().dayCount(DayCounts.ACT_ACT_ISDA).rate(ValueSchedule.of(0.008, ValueStep.of(LocalDate.of(2015, 1, 31), ValueAdjustment.ofReplace(0.007)))).build()).build();
// a ResolvedSwapLeg has all the dates of the cash flows
// it remains valid so long as the holiday calendar does not change
ResolvedSwapLeg resolvedLeg = swapLeg.resolve(ReferenceData.standard());
Console.WriteLine("===== Fixed =====");
Console.WriteLine(JodaBeanSer.PRETTY.xmlWriter().write(swapLeg));
Console.WriteLine();
Console.WriteLine("===== Fixed resolved =====");
Console.WriteLine(JodaBeanSer.PRETTY.xmlWriter().write(resolvedLeg));
Console.WriteLine();
}
//-------------------------------------------------------------------------
// inflation rate calculation
private static RateCalculation parseInflationRateCalculation(CsvRow row, string leg, PriceIndex priceIndex, Currency currency)
{
InflationRateCalculation.Builder builder = InflationRateCalculation.builder();
// basics
builder.index(priceIndex);
builder.lag(parseInflationLag(findValue(row, leg, INFLATION_LAG_FIELD), currency));
builder.indexCalculationMethod(parseInflationMethod(findValue(row, leg, INFLATION_METHOD_FIELD), currency));
// optionals
findValue(row, leg, INFLATION_FIRST_INDEX_VALUE_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.firstIndexValue(v));
findValue(row, leg, GEARING_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.gearing(ValueSchedule.of(v)));
return(builder.build());
}
//-------------------------------------------------------------------------
// overnight rate calculation
private static RateCalculation parseOvernightRateCalculation(CsvRow row, string leg, OvernightIndex overnightIndex, OvernightAccrualMethod accrualMethod)
{
OvernightRateCalculation.Builder builder = OvernightRateCalculation.builder();
// basics
builder.index(overnightIndex);
builder.accrualMethod(findValue(row, leg, ACCRUAL_METHOD_FIELD).map(s => OvernightAccrualMethod.of(s)).orElse(accrualMethod));
// optionals
findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).ifPresent(v => builder.dayCount(v));
findValue(row, leg, RATE_CUT_OFF_DAYS_FIELD).map(s => Convert.ToInt32(s)).ifPresent(v => builder.rateCutOffDays(v));
findValue(row, leg, NEGATIVE_RATE_METHOD_FIELD).map(s => NegativeRateMethod.of(s)).ifPresent(v => builder.negativeRateMethod(v));
findValue(row, leg, GEARING_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.gearing(ValueSchedule.of(v)));
findValue(row, leg, SPREAD_FIELD).map(s => LoaderUtils.parseDoublePercent(s)).ifPresent(v => builder.spread(ValueSchedule.of(v)));
return(builder.build());
}
