private XCcyIborIborSwapTemplate(Period periodToStart, Tenor tenor, XCcyIborIborSwapConvention convention)
{
JodaBeanUtils.notNull(periodToStart, "periodToStart");
JodaBeanUtils.notNull(tenor, "tenor");
JodaBeanUtils.notNull(convention, "convention");
this.periodToStart = periodToStart;
this.tenor = tenor;
this.convention = convention;
validate();
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
XCcyIborIborSwapTemplate test = XCcyIborIborSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV);
coverImmutableBean(test);
DaysAdjustment bda2 = DaysAdjustment.ofBusinessDays(1, EUTA);
XCcyIborIborSwapConvention conv2 = ImmutableXCcyIborIborSwapConvention.of("XXX", USD3M, EUR3M, bda2);
XCcyIborIborSwapTemplate test2 = XCcyIborIborSwapTemplate.of(Period.ofMonths(2), TENOR_2Y, conv2);
coverBeanEquals(test, test2);
}
private static CurveNode curveXCcyIborIborCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
Matcher matcher = SIMPLE_YM_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (!matcher.matches())
{
throw new System.ArgumentException(Messages.format("Invalid time format for Cross Currency Swap: {}", timeStr));
}
Period periodToEnd = Period.parse("P" + matcher.group(1));
XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
XCcyIborIborSwapTemplate template = XCcyIborIborSwapTemplate.of(Tenor.of(periodToEnd), convention);
return(XCcyIborIborSwapCurveNode.builder().template(template).spreadId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
// create a swap from known start/end dates
private static SwapTrade createSwap(TradeInfo info, string conventionStr, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate, double?fxRateOpt)
{
if (fxRateOpt.HasValue)
{
XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
double notionalFlat = notional * fxRateOpt.Value;
return(convention.toTrade(info, startDate, endDate, buySell, notional, notionalFlat, fixedRate));
}
else
{
SingleCurrencySwapConvention convention = SingleCurrencySwapConvention.of(conventionStr);
return(convention.toTrade(info, startDate, endDate, buySell, notional, fixedRate));
}
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -574688858: // periodToStart
this.periodToStart_Renamed = (Period)newValue;
break;
case 110246592: // tenor
this.tenor_Renamed = (Tenor)newValue;
break;
case 2039569265: // convention
this.convention_Renamed = (XCcyIborIborSwapConvention)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a template based on the specified tenor and convention.
/// <para>
/// The swap will start on the spot date.
///
/// </para>
/// </summary>
/// <param name="tenor"> the tenor of the swap </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static XCcyIborIborSwapTemplate of(Tenor tenor, XCcyIborIborSwapConvention convention)
{
return(of(Period.ZERO, tenor, convention));
}
/// <summary>
/// Sets the market convention of the swap. </summary>
/// <param name="convention"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder convention(XCcyIborIborSwapConvention convention)
{
JodaBeanUtils.notNull(convention, "convention");
this.convention_Renamed = convention;
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(XCcyIborIborSwapTemplate beanToCopy)
{
this.periodToStart_Renamed = beanToCopy.PeriodToStart;
this.tenor_Renamed = beanToCopy.Tenor;
this.convention_Renamed = beanToCopy.Convention;
}
/// <summary>
/// Obtains a template based on the specified period, tenor and convention.
/// <para>
/// The period from the spot date to the start date is specified.
/// The tenor from the start date to the end date is also specified.
///
/// </para>
/// </summary>
/// <param name="periodToStart"> the period between the spot date and the start date </param>
/// <param name="tenor"> the tenor of the swap </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static XCcyIborIborSwapTemplate of(Period periodToStart, Tenor tenor, XCcyIborIborSwapConvention convention)
{
return(XCcyIborIborSwapTemplate.builder().periodToStart(periodToStart).tenor(tenor).convention(convention).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "period") public void test_period(XCcyIborIborSwapConvention convention, com.opengamma.strata.basics.schedule.Frequency frequency)
public virtual void test_period(XCcyIborIborSwapConvention convention, Frequency frequency)
{
assertEquals(convention.SpreadLeg.PaymentFrequency, frequency);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "notionalExchange") public void test_notional_exchange(XCcyIborIborSwapConvention convention, boolean notionalExchange)
public virtual void test_notional_exchange(XCcyIborIborSwapConvention convention, bool notionalExchange)
{
assertEquals(convention.SpreadLeg.NotionalExchange, notionalExchange);
assertEquals(convention.FlatLeg.NotionalExchange, notionalExchange);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "dayConvention") public void test_day_convention(XCcyIborIborSwapConvention convention, com.opengamma.strata.basics.date.BusinessDayConvention dayConvention)
public virtual void test_day_convention(XCcyIborIborSwapConvention convention, BusinessDayConvention dayConvention)
{
assertEquals(convention.SpreadLeg.AccrualBusinessDayAdjustment.Convention, dayConvention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "flatLegBda") public void test_flat_leg_bdc(XCcyIborIborSwapConvention convention, com.opengamma.strata.basics.date.BusinessDayAdjustment bda)
public virtual void test_flat_leg_bdc(XCcyIborIborSwapConvention convention, BusinessDayAdjustment bda)
{
assertEquals(convention.FlatLeg.AccrualBusinessDayAdjustment, bda);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "flatLegIndex") public void test_flat_leg(XCcyIborIborSwapConvention convention, com.opengamma.strata.basics.index.IborIndex index)
public virtual void test_flat_leg(XCcyIborIborSwapConvention convention, IborIndex index)
{
assertEquals(convention.FlatLeg.Index, index);
}
// parse a trade based on a convention
internal static SwapTrade parseWithConvention(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver, string conventionStr)
{
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 <Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s => LoaderUtils.parsePeriod(s));
Optional <Tenor> tenorOpt = row.findValue(TENOR_FIELD).map(s => LoaderUtils.parseTenor(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 <RollConvention> rollCnvOpt = row.findValue(ROLL_CONVENTION_FIELD).map(s => LoaderUtils.parseRollConvention(s));
Optional <StubConvention> stubCnvOpt = row.findValue(STUB_CONVENTION_FIELD).map(s => StubConvention.of(s));
Optional <LocalDate> firstRegStartDateOpt = row.findValue(FIRST_REGULAR_START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> lastRegEndDateOpt = row.findValue(LAST_REGULAR_END_DATE_FIELD).map(s => LoaderUtils.parseDate(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));
double? fxRateOpt = row.findValue(FX_RATE_FIELD).map(str => LoaderUtils.parseDouble(str));
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (periodToStartOpt.Present || tenorOpt.Present)
{
throw new System.ArgumentException("Swap 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, TENOR_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt);
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
// start date + tenor
if (startDateOpt.Present && tenorOpt.Present)
{
if (periodToStartOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, TENOR_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD, END_DATE_FIELD));
}
LocalDate startDate = startDateOpt.get();
Tenor tenor = tenorOpt.get();
LocalDate endDate = startDate.plus(tenor);
SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt);
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
// relative dates
if (periodToStartOpt.Present && tenorOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_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 = periodToStartOpt.get();
Tenor tenor = tenorOpt.get();
if (fxRateOpt.HasValue)
{
XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
double notionalFlat = notional * fxRateOpt.Value;
SwapTrade trade = convention.createTrade(tradeDate, periodToStart, tenor, buySell, notional, notionalFlat, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
else
{
SingleCurrencySwapConvention convention = SingleCurrencySwapConvention.of(conventionStr);
SwapTrade trade = convention.createTrade(tradeDate, periodToStart, tenor, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
}
// no match
throw new System.ArgumentException("Swap 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, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD));
}
