public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PortfolioItemInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedFixedCouponBond)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case 73828649: // settlement
this.settlement_Renamed = (ResolvedFixedCouponBondSettlement)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public virtual void test_yearFraction()
{
ResolvedFixedCouponBond test = sut();
FixedCouponBondPaymentPeriod period = test.PeriodicPayments.get(0);
assertEquals(test.yearFraction(period.UnadjustedStartDate, period.UnadjustedEndDate), period.YearFraction);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedFixedCouponBondTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.settlement_Renamed = beanToCopy.settlement;
}
public ResolvedFixedCouponBondTrade resolve(ReferenceData refData)
{
ResolvedFixedCouponBond resolved = Product.resolve(refData);
LocalDate settlementDate = calculateSettlementDate(refData);
return(ResolvedFixedCouponBondTrade.builder().info(info).product(resolved).quantity(quantity).settlement(ResolvedFixedCouponBondSettlement.of(settlementDate, price)).build());
}
public virtual void test_resolve()
{
FixedCouponBond @base = sut();
ResolvedFixedCouponBond resolved = @base.resolve(REF_DATA);
assertEquals(resolved.LegalEntityId, LEGAL_ENTITY);
assertEquals(resolved.SettlementDateOffset, DATE_OFFSET);
assertEquals(resolved.YieldConvention, YIELD_CONVENTION);
ImmutableList <FixedCouponBondPaymentPeriod> periodicPayments = resolved.PeriodicPayments;
int expNum = 20;
assertEquals(periodicPayments.size(), expNum);
LocalDate unadjustedEnd = END_DATE;
Schedule unadjusted = PERIOD_SCHEDULE.createSchedule(REF_DATA).toUnadjusted();
for (int i = 0; i < expNum; ++i)
{
FixedCouponBondPaymentPeriod payment = periodicPayments.get(expNum - 1 - i);
assertEquals(payment.Currency, EUR);
assertEquals(payment.Notional, NOTIONAL);
assertEquals(payment.FixedRate, FIXED_RATE);
assertEquals(payment.UnadjustedEndDate, unadjustedEnd);
assertEquals(payment.EndDate, BUSINESS_ADJUST.adjust(unadjustedEnd, REF_DATA));
assertEquals(payment.PaymentDate, payment.EndDate);
LocalDate unadjustedStart = unadjustedEnd.minusMonths(6);
assertEquals(payment.UnadjustedStartDate, unadjustedStart);
assertEquals(payment.StartDate, BUSINESS_ADJUST.adjust(unadjustedStart, REF_DATA));
assertEquals(payment.YearFraction, unadjusted.getPeriod(expNum - 1 - i).yearFraction(DAY_COUNT, unadjusted));
assertEquals(payment.DetachmentDate, EX_COUPON.adjust(payment.PaymentDate, REF_DATA));
unadjustedEnd = unadjustedStart;
}
Payment expectedPayment = Payment.of(CurrencyAmount.of(EUR, NOTIONAL), BUSINESS_ADJUST.adjust(END_DATE, REF_DATA));
assertEquals(resolved.NominalPayment, expectedPayment);
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="info"> the value of the property, not null </param>
/// <param name="product"> the value of the property, not null </param>
/// <param name="quantity"> the value of the property </param>
/// <param name="settlement"> the value of the property </param>
internal ResolvedFixedCouponBondTrade(PortfolioItemInfo info, ResolvedFixedCouponBond product, double quantity, ResolvedFixedCouponBondSettlement settlement)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.settlement = settlement;
}
//-------------------------------------------------------------------------
public virtual void test_findPeriod()
{
ResolvedFixedCouponBond test = sut();
ImmutableList <FixedCouponBondPaymentPeriod> payments = test.PeriodicPayments;
assertEquals(test.findPeriod(test.UnadjustedStartDate), payments.get(0));
assertEquals(test.findPeriod(test.UnadjustedEndDate.minusDays(1)), payments.get(payments.size() - 1));
assertEquals(test.findPeriod(LocalDate.MIN), null);
assertEquals(test.findPeriod(LocalDate.MAX), null);
}
//-------------------------------------------------------------------------
public virtual void test_getters()
{
ResolvedFixedCouponBond test = sut();
ImmutableList <FixedCouponBondPaymentPeriod> payments = test.PeriodicPayments;
assertEquals(test.StartDate, payments.get(0).StartDate);
assertEquals(test.EndDate, payments.get(payments.size() - 1).EndDate);
assertEquals(test.UnadjustedStartDate, payments.get(0).UnadjustedStartDate);
assertEquals(test.UnadjustedEndDate, payments.get(payments.size() - 1).UnadjustedEndDate);
assertEquals(test.hasExCouponPeriod(), true);
}
public virtual void test_yearFraction_scheduleInfo()
{
ResolvedFixedCouponBond @base = sut();
FixedCouponBondPaymentPeriod period = @base.PeriodicPayments.get(0);
AtomicBoolean eom = new AtomicBoolean(false);
DayCount dc = new DayCountAnonymousInnerClass(this, @base, period, eom);
ResolvedFixedCouponBond test = @base.toBuilder().dayCount(dc).build();
assertEquals(test.yearFraction(period.UnadjustedStartDate, period.UnadjustedEndDate), 0.5);
// test with EOM=true
ResolvedFixedCouponBond test2 = test.toBuilder().rollConvention(RollConventions.EOM).build();
eom.set(true);
assertEquals(test2.yearFraction(period.UnadjustedStartDate, period.UnadjustedEndDate), 0.5);
}
public virtual void test_builder_fail()
{
ResolvedBondFuture @base = sut();
// wrong size
assertThrowsIllegalArg(() => ResolvedBondFuture.builder().securityId(@base.SecurityId).deliveryBasket(@base.DeliveryBasket.subList(0, 1)).conversionFactors(@base.ConversionFactors).firstNoticeDate(@base.FirstNoticeDate).lastNoticeDate(@base.LastNoticeDate).lastTradeDate(@base.LastTradeDate).build());
// first notice date missing
assertThrowsIllegalArg(() => ResolvedBondFuture.builder().securityId(@base.SecurityId).deliveryBasket(@base.DeliveryBasket).conversionFactors(@base.ConversionFactors).lastNoticeDate(@base.LastNoticeDate).lastTradeDate(@base.LastTradeDate).build());
// last notice date missing
assertThrowsIllegalArg(() => ResolvedBondFuture.builder().securityId(@base.SecurityId).deliveryBasket(@base.DeliveryBasket).conversionFactors(@base.ConversionFactors).firstNoticeDate(@base.FirstNoticeDate).lastTradeDate(@base.LastTradeDate).build());
// basket list empty
assertThrowsIllegalArg(() => ResolvedBondFuture.builder().securityId(@base.SecurityId).firstNoticeDate(@base.FirstNoticeDate).lastNoticeDate(@base.LastNoticeDate).lastTradeDate(@base.LastTradeDate).build());
// notional mismatch
ResolvedFixedCouponBond bond0 = @base.DeliveryBasket.get(0);
ResolvedFixedCouponBond bond1 = bond0.toBuilder().nominalPayment(Payment.of(USD, 100, date(2016, 6, 30))).build();
assertThrowsIllegalArg(() => ResolvedBondFuture.builder().securityId(@base.SecurityId).deliveryBasket(bond0, bond1).conversionFactors(1d, 2d).firstNoticeDate(@base.FirstNoticeDate).firstDeliveryDate(@base.FirstDeliveryDate).lastNoticeDate(@base.LastNoticeDate).lastDeliveryDate(@base.LastDeliveryDate).lastTradeDate(@base.LastTradeDate).rounding(@base.Rounding).build());
}
public virtual void coverage_builder()
{
ResolvedFixedCouponBond test = sut();
test.toBuilder().periodicPayments(test.PeriodicPayments.toArray(new FixedCouponBondPaymentPeriod[0])).build();
}
public ResolvedFixedCouponBondTrade resolve(ReferenceData refData)
{
ResolvedFixedCouponBond resolved = product.resolve(refData);
return(new ResolvedFixedCouponBondTrade(info, resolved, Quantity, null));
}
/// <summary>
/// Sets the resolved fixed coupon bond product.
/// <para>
/// The product captures the contracted financial details of the trade.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(ResolvedFixedCouponBond product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
