//-------------------------------------------------------------------------
// build conventions
private static OvernightIborSwapConvention makeConvention(string name, OvernightIndex onIndex, IborIndex iborIndex, DayCount dayCount, Frequency frequency, int paymentLag, int cutOffDays, OvernightAccrualMethod accrual)
{
HolidayCalendarId calendarOn = onIndex.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendarOn);
return(ImmutableOvernightIborSwapConvention.of(name, OvernightRateSwapLegConvention.builder().index(onIndex).accrualMethod(accrual).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).rateCutOffDays(cutOffDays).build(), IborRateSwapLegConvention.of(iborIndex)));
}
//-------------------------------------------------------------------------
// build conventions
private static FixedOvernightSwapConvention makeConvention(string name, OvernightIndex index, DayCount dayCount, Frequency frequency, int paymentLag, int spotLag)
{
HolidayCalendarId calendar = index.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendar);
DaysAdjustment spotDateOffset = DaysAdjustment.ofBusinessDays(spotLag, calendar);
return(ImmutableFixedOvernightSwapConvention.of(name, FixedRateSwapLegConvention.builder().currency(index.Currency).dayCount(dayCount).accrualFrequency(frequency).accrualBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, calendar)).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), OvernightRateSwapLegConvention.builder().index(index).accrualMethod(COMPOUNDED).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), spotDateOffset));
}
public virtual void test_nzdOis()
{
OvernightIndex test = OvernightIndex.of("NZD-NZIONA");
assertEquals(test.Name, "NZD-NZIONA");
assertEquals(test.Currency, NZD);
assertEquals(test.Active, true);
assertEquals(test.FixingCalendar, HolidayCalendarId.of("NZBD"));
assertEquals(test.PublicationDateOffset, 0);
assertEquals(test.EffectiveDateOffset, 0);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "NZD-NZIONA");
}
public virtual void test_inrOis()
{
OvernightIndex test = OvernightIndex.of("INR-OMIBOR");
assertEquals(test.Name, "INR-OMIBOR");
assertEquals(test.Currency, INR);
assertEquals(test.Active, true);
assertEquals(test.FixingCalendar, HolidayCalendarId.of("INMU"));
assertEquals(test.PublicationDateOffset, 0);
assertEquals(test.EffectiveDateOffset, 0);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "INR-OMIBOR");
}
public virtual void test_sgdSonar()
{
HolidayCalendarId SGSI = HolidayCalendarId.of("SGSI");
OvernightIndex test = OvernightIndex.of("SGD-SONAR");
assertEquals(test.Name, "SGD-SONAR");
assertEquals(test.Currency, SGD);
assertEquals(test.Active, true);
assertEquals(test.FixingCalendar, SGSI);
assertEquals(test.PublicationDateOffset, 0);
assertEquals(test.EffectiveDateOffset, 0);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "SGD-SONAR");
}
public virtual void test_sgd_sibor()
{
HolidayCalendarId SGSI = HolidayCalendarId.of("SGSI");
IborIndex test = IborIndex.of("SGD-SIBOR-3M");
assertEquals(test.Currency, SGD);
assertEquals(test.Name, "SGD-SIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, SGSI);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, SGSI));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, SGSI));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SGSI)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "SGD-SIBOR-3M");
}
public virtual void test_krw_cd()
{
HolidayCalendarId KRSE = HolidayCalendarId.of("KRSE");
IborIndex test = IborIndex.of("KRW-CD-13W");
assertEquals(test.Currency, KRW);
assertEquals(test.Name, "KRW-CD-13W");
assertEquals(test.Tenor, TENOR_13W);
assertEquals(test.FixingCalendar, KRSE);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, KRSE));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, KRSE));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_13W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, KRSE)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "KRW-CD-13W");
IborIndex test2 = IborIndex.of("KRW-CD-3M");
assertEquals(test2.Name, "KRW-CD-13W");
}
private Trade parseNdf(FpmlDocument document, XmlElement fxEl, XmlElement ndfEl, CurrencyAmount curr1Amount, CurrencyAmount curr2Amount, LocalDate valueDate, TradeInfoBuilder tradeInfoBuilder)
{
// rate
XmlElement rateEl = fxEl.getChild("exchangeRate");
double rate = document.parseDecimal(rateEl.getChild("rate"));
XmlElement pairEl = rateEl.getChild("quotedCurrencyPair");
Currency curr1 = document.parseCurrency(pairEl.getChild("currency1"));
Currency curr2 = document.parseCurrency(pairEl.getChild("currency2"));
string basis = pairEl.getChild("quoteBasis").Content;
FxRate fxRate;
if ("Currency2PerCurrency1".Equals(basis))
{
fxRate = FxRate.of(curr1, curr2, rate);
}
else if ("Currency1PerCurrency2".Equals(basis))
{
fxRate = FxRate.of(curr2, curr1, rate);
}
else
{
throw new FpmlParseException("Unknown quote basis: " + basis);
}
// settlement currency
Currency settleCurr = document.parseCurrency(ndfEl.getChild("settlementCurrency"));
CurrencyAmount settleCurrAmount = curr1Amount.Currency.Equals(settleCurr) ? curr1Amount : curr2Amount;
// index
XmlElement fixingEl = ndfEl.getChild("fixing"); // only support one of these in pricing model
LocalDate fixingDate = document.parseDate(fixingEl.getChild("fixingDate"));
DaysAdjustment offset = DaysAdjustment.ofCalendarDays(Math.toIntExact(valueDate.until(fixingDate, DAYS)));
XmlElement sourceEl = fixingEl.getChild("fxSpotRateSource"); // required for our model
XmlElement primarySourceEl = sourceEl.getChild("primaryRateSource");
string primarySource = primarySourceEl.getChild("rateSource").Content;
string primaryPage = primarySourceEl.findChild("rateSourcePage").map(e => e.Content).orElse("");
LocalTime time = document.parseTime(sourceEl.getChild("fixingTime").getChild("hourMinuteTime")); // required for our model
HolidayCalendarId calendar = document.parseBusinessCenter(sourceEl.getChild("fixingTime").getChild("businessCenter"));
FxIndex index = ImmutableFxIndex.builder().name(primarySource + "/" + primaryPage + "/" + time).currencyPair(CurrencyPair.of(curr1, curr2)).fixingCalendar(calendar).maturityDateOffset(offset).build();
return(FxNdfTrade.builder().info(tradeInfoBuilder.build()).product(FxNdf.builder().settlementCurrencyNotional(settleCurrAmount).agreedFxRate(fxRate).index(index).paymentDate(valueDate).build()).build());
}
// Create a zero-coupon fixed leg convention
private static FixedRateSwapLegConvention fixedLegZcConvention(Currency ccy, HolidayCalendarId cal)
{
return(FixedRateSwapLegConvention.builder().paymentFrequency(Frequency.TERM).accrualFrequency(Frequency.P12M).accrualBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)).startDateBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)).endDateBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)).compoundingMethod(CompoundingMethod.STRAIGHT).dayCount(ONE_ONE).currency(ccy).build());
}
// parses the payment date adjustment, which consists of two linked optional fields
internal static Optional <BusinessDayAdjustment> parsePaymentDateAdjustment(CsvRow row)
{
Optional <BusinessDayAdjustment> paymentAdj = null;
Optional <string> paymentDateCnv = row.findValue(PAYMENT_DATE_CNV_FIELD); // Optional field with Business day adjustment
if (paymentDateCnv.Present)
{
BusinessDayConvention bdCnv = LoaderUtils.parseBusinessDayConvention(paymentDateCnv.get());
if (!bdCnv.Equals(BusinessDayConventions.NO_ADJUST))
{
Optional <string> paymentDateCalOpt = row.findValue(PAYMENT_DATE_CAL_FIELD);
if (paymentDateCalOpt.Present)
{
paymentAdj = BusinessDayAdjustment.of(LoaderUtils.parseBusinessDayConvention(paymentDateCnv.get()), HolidayCalendarId.of(paymentDateCalOpt.get()));
}
}
}
return(paymentAdj);
}
// parse the row to a trade
private static TermDepositTrade parseRow(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = LoaderUtils.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional <TermDepositConvention> conventionOpt = row.findValue(CONVENTION_FIELD).map(s => TermDepositConvention.of(s));
Optional <Period> tenorOpt = row.findValue(TENOR_FIELD).map(s => LoaderUtils.parseTenor(s).Period);
Optional <LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <Currency> currencyOpt = row.findValue(CURRENCY_FIELD).map(s => Currency.parse(s));
Optional <DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional <HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s => HolidayCalendarId.of(s));
// use convention if available
if (conventionOpt.Present)
{
if (currencyOpt.Present || dayCountOpt.Present)
{
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. When '" + CONVENTION_FIELD + "' is present these fields must not be present: " + ImmutableList.of(CURRENCY_FIELD, DAY_COUNT_FIELD));
}
TermDepositConvention convention = conventionOpt.get();
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (tenorOpt.Present)
{
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(TENOR_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
TermDepositTrade trade = convention.toTrade(info, startDate, endDate, buySell, notional, fixedRate);
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
// relative dates
if (tenorOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, TENOR_FIELD, TRADE_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.TradeDate.get();
Period periodToStart = tenorOpt.get();
TermDepositTrade trade = convention.createTrade(tradeDate, periodToStart, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
}
else if (startDateOpt.Present && endDateOpt.Present && currencyOpt.Present && dayCountOpt.Present)
{
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
Currency currency = currencyOpt.get();
DayCount dayCount = dayCountOpt.get();
TermDeposit.Builder builder = TermDeposit.builder().buySell(buySell).currency(currency).notional(notional).startDate(startDate).endDate(endDate).dayCount(dayCount).rate(fixedRate);
TermDepositTrade trade = TermDepositTrade.of(info, builder.build());
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
// no match
throw new System.ArgumentException("TermDeposit trade had invalid combination of fields. These fields are mandatory:" + ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) + " and one of these combinations is mandatory: " + ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " or " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, CURRENCY_FIELD, DAY_COUNT_FIELD));
}
// parse the row to a trade
private static FraTrade parseRow(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = LoaderUtils.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional <FraConvention> conventionOpt = row.findValue(CONVENTION_FIELD).map(s => FraConvention.of(s));
Optional <Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s => LoaderUtils.parsePeriod(s));
Optional <LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <IborIndex> indexOpt = row.findValue(INDEX_FIELD).map(s => IborIndex.of(s));
Optional <IborIndex> interpolatedOpt = row.findValue(INTERPOLATED_INDEX_FIELD).map(s => IborIndex.of(s));
Optional <DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional <HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s => HolidayCalendarId.of(s));
// not parsing paymentDate, fixingDateOffset, discounting
// use convention if available
if (conventionOpt.Present)
{
if (indexOpt.Present || interpolatedOpt.Present || dayCountOpt.Present)
{
throw new System.ArgumentException("Fra trade had invalid combination of fields. When '" + CONVENTION_FIELD + "' is present these fields must not be present: " + ImmutableList.of(INDEX_FIELD, INTERPOLATED_INDEX_FIELD, DAY_COUNT_FIELD));
}
FraConvention convention = conventionOpt.get();
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (periodToStartOpt.Present)
{
throw new System.ArgumentException("Fra trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
// NOTE: payment date assumed to be the start date
FraTrade trade = convention.toTrade(info, startDate, endDate, startDate, buySell, notional, fixedRate);
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
// relative dates
if (periodToStartOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Fra trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_FIELD, TRADE_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.TradeDate.get();
Period periodToStart = periodToStartOpt.get();
FraTrade trade = convention.createTrade(tradeDate, periodToStart, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, dateCnv, dateCalOpt));
}
}
else if (startDateOpt.Present && endDateOpt.Present && indexOpt.Present)
{
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
IborIndex index = indexOpt.get();
Fra.Builder builder = Fra.builder().buySell(buySell).notional(notional).startDate(startDate).endDate(endDate).fixedRate(fixedRate).index(index);
interpolatedOpt.ifPresent(interpolated => builder.indexInterpolated(interpolated));
dayCountOpt.ifPresent(dayCount => builder.dayCount(dayCount));
return(adjustTrade(FraTrade.of(info, builder.build()), dateCnv, dateCalOpt));
}
// no match
throw new System.ArgumentException("Fra trade had invalid combination of fields. These fields are mandatory:" + ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) + " and one of these combinations is mandatory: " + ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, PERIOD_TO_START_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " or " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, INDEX_FIELD));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "calendar") public void test_calendar(ImmutableFxSwapConvention convention, com.opengamma.strata.basics.date.HolidayCalendarId cal)
public virtual void test_calendar(ImmutableFxSwapConvention convention, HolidayCalendarId cal)
{
assertEquals(convention.SpotDateOffset.Calendar, cal);
assertEquals(convention.BusinessDayAdjustment.Calendar, cal);
}
