//-------------------------------------------------------------------------
public FunctionRequirements requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency)
{
// repo
RepoGroup repoKey = repoCurveSecurityGroups.get(securityId);
if (repoKey == null)
{
repoKey = repoCurveGroups.get(issuerId);
}
if (repoKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
CurveId repoCurveId = repoCurves.get(Pair.of(repoKey, currency));
if (repoCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
// issuer
LegalEntityGroup issuerKey = issuerCurveGroups.get(issuerId);
if (issuerKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
CurveId issuerCurveId = issuerCurves.get(Pair.of(issuerKey, currency));
if (issuerCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
// result
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(repoCurveId, issuerCurveId)).outputCurrencies(currency).observableSource(observableSource).build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1574023291: // securityId
this.securityId_Renamed = (SecurityId)newValue;
break;
case 1585636160: // notional
this.notional_Renamed = (Payment)newValue;
break;
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case -1895216418: // yieldConvention
this.yieldConvention_Renamed = (BillYieldConvention)newValue;
break;
case 866287159: // legalEntityId
this.legalEntityId_Renamed = (LegalEntityId)newValue;
break;
case 135924714: // settlementDateOffset
this.settlementDateOffset_Renamed = (DaysAdjustment)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>
protected internal Builder(ResolvedBill beanToCopy)
{
this.securityId_Renamed = beanToCopy.SecurityId;
this.notional_Renamed = beanToCopy.Notional;
this.dayCount_Renamed = beanToCopy.DayCount;
this.yieldConvention_Renamed = beanToCopy.YieldConvention;
this.legalEntityId_Renamed = beanToCopy.LegalEntityId;
this.settlementDateOffset_Renamed = beanToCopy.SettlementDateOffset;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(BillSecurity beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.notional_Renamed = beanToCopy.Notional;
this.dayCount_Renamed = beanToCopy.DayCount;
this.yieldConvention_Renamed = beanToCopy.YieldConvention;
this.legalEntityId_Renamed = beanToCopy.LegalEntityId;
this.settlementDateOffset_Renamed = beanToCopy.SettlementDateOffset;
}
//-------------------------------------------------------------------------
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency)
{
LegalEntityGroup legalEntityGroup = lookup.IssuerCurveGroups.get(issuerId);
if (legalEntityGroup == null)
{
throw new MarketDataNotFoundException("Unable to find issuer curve mapping for ID: " + issuerId);
}
return(issuerCurveDiscountFactors(legalEntityGroup, currency));
}
public RepoCurveDiscountFactors repoCurveDiscountFactors(LegalEntityId issuerId, Currency currency)
{
RepoGroup repoGroup = lookup.RepoCurveGroups.get(issuerId);
if (repoGroup == null)
{
throw new MarketDataNotFoundException("Unable to find repo curve mapping for ID: " + issuerId);
}
return(repoCurveDiscountFactors(repoGroup, currency));
}
//-------------------------------------------------------------------------
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency)
{
LegalEntityGroup legalEntityGroup = issuerCurveGroups.get(issuerId);
if (legalEntityGroup == null)
{
throw new System.ArgumentException("Unable to find map for ID: " + issuerId);
}
return(issuerCurveDiscountFactors(legalEntityGroup, currency));
}
public RepoCurveDiscountFactors repoCurveDiscountFactors(LegalEntityId issuerId, Currency currency)
{
RepoGroup repoGroup = repoCurveGroups.get(issuerId);
if (repoGroup == null)
{
throw new System.ArgumentException("Unable to find map for ID: " + issuerId);
}
return(repoCurveDiscountFactors(repoGroup, currency));
}
/// <summary>
/// Restricted constructor. </summary>
/// <param name="builder"> the builder to copy from, not null </param>
protected internal ResolvedBill(ResolvedBill.Builder builder)
{
JodaBeanUtils.notNull(builder.securityId_Renamed, "securityId");
JodaBeanUtils.notNull(builder.notional_Renamed, "notional");
JodaBeanUtils.notNull(builder.dayCount_Renamed, "dayCount");
JodaBeanUtils.notNull(builder.yieldConvention_Renamed, "yieldConvention");
JodaBeanUtils.notNull(builder.legalEntityId_Renamed, "legalEntityId");
JodaBeanUtils.notNull(builder.settlementDateOffset_Renamed, "settlementDateOffset");
this.securityId = builder.securityId_Renamed;
this.notional = builder.notional_Renamed;
this.dayCount = builder.dayCount_Renamed;
this.yieldConvention = builder.yieldConvention_Renamed;
this.legalEntityId = builder.legalEntityId_Renamed;
this.settlementDateOffset = builder.settlementDateOffset_Renamed;
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
CapitalIndexedBond product = target.Product;
Currency currency = product.Currency;
SecurityId securityId = product.SecurityId;
LegalEntityId legalEntityId = product.LegalEntityId;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(product.RateCalculation.Index));
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
FunctionRequirements ledReqs = ledLookup.requirements(securityId, legalEntityId, currency);
return(ratesReqs.combinedWith(ledReqs));
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="securityId"> the value of the property, not null </param>
/// <param name="notional"> the value of the property, not null </param>
/// <param name="dayCount"> the value of the property, not null </param>
/// <param name="yieldConvention"> the value of the property, not null </param>
/// <param name="legalEntityId"> the value of the property, not null </param>
/// <param name="settlementDateOffset"> the value of the property, not null </param>
internal Bill(SecurityId securityId, AdjustablePayment notional, DayCount dayCount, BillYieldConvention yieldConvention, LegalEntityId legalEntityId, DaysAdjustment settlementDateOffset)
{
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(notional, "notional");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(yieldConvention, "yieldConvention");
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(settlementDateOffset, "settlementDateOffset");
this.securityId = securityId;
this.notional = notional;
this.dayCount = dayCount;
this.yieldConvention = yieldConvention;
this.legalEntityId = legalEntityId;
this.settlementDateOffset = settlementDateOffset;
validate();
}
/// <summary>
/// Sets the legal entity identifier.
/// <para>
/// This identifier is used for the legal entity that issues the bill.
/// </para>
/// </summary>
/// <param name="legalEntityId"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public virtual Builder legalEntityId(LegalEntityId legalEntityId)
{
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
this.legalEntityId_Renamed = legalEntityId;
return(this);
}
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());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BillSecurity test1 = BillSecurity.builder().dayCount(DAY_COUNT).info(INFO).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build();
coverImmutableBean(test1);
BillSecurity test2 = BillSecurity.builder().dayCount(DayCounts.ACT_365F).info(SecurityInfo.of(SecurityId.of("OG-Test", "ID2"), PRICE_INFO)).legalEntityId(LegalEntityId.of("OG-Ticker", "LE2")).notional(AdjustablePayment.of(CurrencyAmount.of(CCY, 10), MATURITY_DATE_ADJ)).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, EUTA, BUSINESS_ADJUST)).yieldConvention(BillYieldConvention.INTEREST_AT_MATURITY).build();
coverBeanEquals(test1, test2);
}
internal static FixedCouponBond sut2()
{
BusinessDayAdjustment adj = BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SAT_SUN);
PeriodicSchedule sche = PeriodicSchedule.of(START_DATE, END_DATE, Frequency.P12M, adj, StubConvention.SHORT_INITIAL, true);
return(FixedCouponBond.builder().securityId(SECURITY_ID2).dayCount(DayCounts.ACT_360).fixedRate(0.005).legalEntityId(LegalEntityId.of("OG-Ticker", "BUN EUR 2")).currency(GBP).notional(1.0e6).accrualSchedule(sche).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, SAT_SUN)).yieldConvention(FixedCouponBondYieldConvention.GB_BUMP_DMO).build());
}
internal static CapitalIndexedBond sut2()
{
return(CapitalIndexedBond.builder().securityId(SECURITY_ID2).notional(5.0e7).currency(GBP).dayCount(NL_365).rateCalculation(InflationRateCalculation.builder().index(GB_RPI).lag(Period.ofMonths(2)).indexCalculationMethod(INTERPOLATED).firstIndexValue(124.556).build()).exCouponPeriod(EX_COUPON).legalEntityId(LegalEntityId.of("OG-Ticker", "US-Govt-1")).yieldConvention(GB_IL_FLOAT).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).accrualSchedule(PeriodicSchedule.of(START, END, FREQUENCY, BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, GBLO), StubConvention.NONE, RollConventions.NONE)).build());
}
