// create notional exchange events when no FxReset private static ImmutableList <SwapPaymentEvent> createStandardEvents(IList <NotionalPaymentPeriod> payPeriods, LocalDate initialExchangePaymentDate, bool initialExchange, bool intermediateExchange, bool finalExchange) { NotionalPaymentPeriod firstPeriod = payPeriods[0]; ImmutableList.Builder <SwapPaymentEvent> events = ImmutableList.builder(); if (initialExchange) { events.add(NotionalExchange.of(firstPeriod.NotionalAmount.negated(), initialExchangePaymentDate)); } if (intermediateExchange) { for (int i = 0; i < payPeriods.Count - 1; i++) { NotionalPaymentPeriod period1 = payPeriods[i]; NotionalPaymentPeriod period2 = payPeriods[i + 1]; if (period1.NotionalAmount.Amount != period2.NotionalAmount.Amount) { events.add(NotionalExchange.of(period1.NotionalAmount.minus(period2.NotionalAmount), period1.PaymentDate)); } } } if (finalExchange) { NotionalPaymentPeriod lastPeriod = payPeriods[payPeriods.Count - 1]; events.add(NotionalExchange.of(lastPeriod.NotionalAmount, lastPeriod.PaymentDate)); } return(events.build()); }
//------------------------------------------------------------------------- public virtual void test_adjustPaymentDate() { NotionalExchange test = NotionalExchange.of(GBP_1000, DATE_2014_06_30); NotionalExchange expected = NotionalExchange.of(GBP_1000, DATE_2014_06_30.plusDays(2)); assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d => d.plusDays(0))), test); assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d => d.plusDays(2))), expected); }
//------------------------------------------------------------------------- public virtual void coverage() { NotionalExchange test = NotionalExchange.of(GBP_1000, DATE_2014_06_30); coverImmutableBean(test); NotionalExchange test2 = NotionalExchange.of(CurrencyAmount.of(GBP, 200d), date(2014, 1, 15)); coverBeanEquals(test, test2); }
public virtual void test_of_Payment() { NotionalExchange test = NotionalExchange.of(Payment.of(GBP_1000, DATE_2014_06_30)); assertEquals(test.Payment, Payment.of(GBP_1000, DATE_2014_06_30)); assertEquals(test.PaymentDate, DATE_2014_06_30); assertEquals(test.PaymentAmount, GBP_1000); assertEquals(test.Currency, GBP); }
public virtual void test_resolve_fxResetNotionalExchange() { RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1_FXRESET, RPP2).initialExchange(true).intermediateExchange(true).finalExchange(true).build(); FxResetNotionalExchange ne1a = FxResetNotionalExchange.of(CurrencyAmount.of(USD, -8000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA)); FxResetNotionalExchange ne1b = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 8000d), DATE_2014_10_01, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA)); NotionalExchange ne2a = NotionalExchange.of(CurrencyAmount.of(GBP, -6000d), DATE_2014_10_01); NotionalExchange ne2b = NotionalExchange.of(CurrencyAmount.of(GBP, 6000d), DATE_2014_01_02); ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1_FXRESET, RPP2).paymentEvents(ne1a, ne1b, ne2a, ne2b).build(); assertEquals(test.resolve(REF_DATA), expected); }
public virtual void test_resolve_twoAccrualsPerPayment_iborRate_varyingNotional_notionalExchange() { // test case RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_06_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(STRAIGHT).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d, ValueStep.of(1, ValueAdjustment.ofReplace(1500d)))).initialExchange(true).intermediateExchange(true).finalExchange(true).build()).calculation(IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build()).build(); // expected RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).yearFraction(ACT_365F.yearFraction(DATE_01_06, DATE_02_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_02, REF_DATA)).build(), RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).compoundingMethod(STRAIGHT).build(); RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_05_08).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_07)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build(), RateAccrualPeriod.builder().startDate(DATE_04_07).endDate(DATE_05_06).unadjustedStartDate(DATE_04_05).unadjustedEndDate(DATE_05_05).yearFraction(ACT_365F.yearFraction(DATE_04_07, DATE_05_06)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_04_03, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1500d).compoundingMethod(STRAIGHT).build(); RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_06_09).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_05_06).endDate(DATE_06_05).unadjustedStartDate(DATE_05_05).yearFraction(ACT_365F.yearFraction(DATE_05_06, DATE_06_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_05_01, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1500d).compoundingMethod(STRAIGHT).build(); // events (only one intermediate exchange) NotionalExchange nexInitial = NotionalExchange.of(CurrencyAmount.of(GBP, 1000d), DATE_01_06); NotionalExchange nexIntermediate = NotionalExchange.of(CurrencyAmount.of(GBP, 500d), DATE_03_07); NotionalExchange nexFinal = NotionalExchange.of(CurrencyAmount.of(GBP, -1500d), DATE_06_09); // assertion assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).paymentEvents(nexInitial, nexIntermediate, nexFinal).build()); }
// create notional exchange events when FxReset specified private static ImmutableList <SwapPaymentEvent> createFxResetEvents(IList <NotionalPaymentPeriod> payPeriods, LocalDate initialExchangeDate, bool initialExchange, bool intermediateExchange, bool finalExchange) { ImmutableList.Builder <SwapPaymentEvent> events = ImmutableList.builder(); for (int i = 0; i < payPeriods.Count; i++) { NotionalPaymentPeriod period = payPeriods[i]; LocalDate startPaymentDate = (i == 0 ? initialExchangeDate : payPeriods[i - 1].PaymentDate); bool includeStartPayment = i == 0 ? initialExchange : intermediateExchange; bool includeEndPayment = i == payPeriods.Count - 1 ? finalExchange : intermediateExchange; if (period.FxResetObservation.Present) { FxIndexObservation observation = period.FxResetObservation.get(); // notional out at start of period if (includeStartPayment) { events.add(FxResetNotionalExchange.of(period.NotionalAmount.negated(), startPaymentDate, observation)); } // notional in at end of period if (includeEndPayment) { events.add(FxResetNotionalExchange.of(period.NotionalAmount, period.PaymentDate, observation)); } } else { // handle weird swap where only some periods have FX reset // notional out at start of period if (includeStartPayment) { events.add(NotionalExchange.of(CurrencyAmount.of(period.Currency, -period.NotionalAmount.Amount), startPaymentDate)); } // notional in at end of period if (includeEndPayment) { events.add(NotionalExchange.of(CurrencyAmount.of(period.Currency, period.NotionalAmount.Amount), period.PaymentDate)); } } } return(events.build()); }
public virtual void test_resolve_createNotionalExchange_finalOnly() { RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).initialExchange(false).intermediateExchange(false).finalExchange(true).build(); ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(RECEIVE).paymentPeriods(RPP1).paymentEvents(NotionalExchange.of(CurrencyAmount.of(GBP, 5000d), DATE_2014_10_01)).build(); assertEquals(test.resolve(REF_DATA), expected); }
public virtual void test_serialization() { NotionalExchange test = NotionalExchange.of(GBP_1000, DATE_2014_06_30); assertSerialization(test); }
public virtual void test_of_null() { assertThrowsIllegalArg(() => NotionalExchange.of(GBP_1000, null)); assertThrowsIllegalArg(() => NotionalExchange.of(null, DATE_2014_06_30)); assertThrowsIllegalArg(() => NotionalExchange.of(null, null)); }