//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapFloorLeg test1 = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
coverImmutableBean(test1);
IborCapFloorLeg test2 = IborCapFloorLeg.builder().calculation(IborRateCalculation.of(GBP_LIBOR_6M)).capSchedule(CAP).notional(ValueSchedule.of(1000)).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(PeriodicSchedule.builder().startDate(START).endDate(END).frequency(Frequency.P6M).businessDayAdjustment(BUSS_ADJ).build()).payReceive(PAY).build();
coverBeanEquals(test1, test2);
}
public virtual void test_builder_fail()
{
// cap and floor present
assertThrowsIllegalArg(() => IborCapFloorLeg.builder().calculation(RATE_CALCULATION).capSchedule(CAP).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build());
// cap and floor missing
assertThrowsIllegalArg(() => IborCapFloorLeg.builder().calculation(RATE_CALCULATION).notional(NOTIONAL).paymentSchedule(PeriodicSchedule.builder().startDate(START).endDate(END).frequency(FREQUENCY).businessDayAdjustment(BUSS_ADJ).build()).payReceive(RECEIVE).build());
// stub type
assertThrowsIllegalArg(() => IborCapFloorLeg.builder().calculation(RATE_CALCULATION).capSchedule(CAP).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(PeriodicSchedule.builder().startDate(START).endDate(END).frequency(FREQUENCY).businessDayAdjustment(BUSS_ADJ).stubConvention(StubConvention.SHORT_FINAL).build()).payReceive(PAY).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapFloor test1 = IborCapFloor.of(CAPFLOOR_LEG);
coverImmutableBean(test1);
IborCapFloorLeg capFloor = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
IborCapFloor test2 = IborCapFloor.of(capFloor, PAY_LEG);
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapFloorTrade test1 = sut();
coverImmutableBean(test1);
IborCapFloor product = IborCapFloor.of(IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build());
IborCapFloorTrade test2 = IborCapFloorTrade.builder().product(product).build();
coverBeanEquals(test1, test2);
}
public virtual void test_builder_min()
{
IborCapFloorLeg test = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
assertEquals(test.Calculation, RATE_CALCULATION);
assertEquals(test.CapSchedule.Present, false);
assertEquals(test.FloorSchedule.get(), FLOOR);
assertEquals(test.Currency, EUR);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentDateOffset, DaysAdjustment.NONE);
assertEquals(test.PaymentSchedule, SCHEDULE);
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.StartDate, AdjustableDate.of(START, BUSS_ADJ));
assertEquals(test.EndDate, AdjustableDate.of(END, BUSS_ADJ));
}
public virtual void test_builder_full()
{
IborCapFloorLeg test = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).capSchedule(CAP).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build();
assertEquals(test.Calculation, RATE_CALCULATION);
assertEquals(test.CapSchedule.get(), CAP);
assertEquals(test.FloorSchedule.Present, false);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentDateOffset, PAYMENT_OFFSET);
assertEquals(test.PaymentSchedule, SCHEDULE);
assertEquals(test.PayReceive, PAY);
assertEquals(test.StartDate, AdjustableDate.of(START, BUSS_ADJ));
assertEquals(test.EndDate, AdjustableDate.of(END, BUSS_ADJ));
assertEquals(test.Index, EUR_EURIBOR_3M);
}
public virtual void test_resolve_floor()
{
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
LocalDate fixingDate = RATE_CALCULATION.FixingDateOffset.adjust(start, REF_DATA);
periods[i] = IborCapletFloorletPeriod.builder().floorlet(STRIKES[i]).currency(GBP).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(-NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, fixingDate, REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(PAY).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
public virtual void test_resolve_cap()
{
IborRateCalculation rateCalc = IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingRelativeTo(FixingRelativeTo.PERIOD_END).fixingDateOffset(EUR_EURIBOR_3M.FixingDateOffset).build();
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(rateCalc).capSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
periods[i] = IborCapletFloorletPeriod.builder().caplet(CAP.InitialValue).currency(EUR).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, rateCalc.FixingDateOffset.adjust(end, REF_DATA), REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(RECEIVE).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
public virtual void test_serialization()
{
IborCapFloorLeg test = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).notional(NOTIONAL).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
assertSerialization(test);
}
