public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1574023291: // securityId
this.securityId_Renamed = (SecurityId)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
case 1585636160: // notional
this.notional_Renamed = (double?)newValue.Value;
break;
case -1540322338: // accrualFactor
this.accrualFactor_Renamed = (double?)newValue.Value;
break;
case -1621804100: // iborRate
this.iborRate_Renamed = (IborRateComputation)newValue;
break;
case -142444: // rounding
this.rounding_Renamed = (Rounding)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>
internal Builder(ResolvedIborFuture beanToCopy)
{
this.securityId_Renamed = beanToCopy.SecurityId;
this.currency_Renamed = beanToCopy.Currency;
this.notional_Renamed = beanToCopy.Notional;
this.accrualFactor_Renamed = beanToCopy.AccrualFactor;
this.iborRate_Renamed = beanToCopy.IborRate;
this.rounding_Renamed = beanToCopy.Rounding;
}
public virtual void test_rate_IborRateComputation()
{
RateComputationFn <IborRateComputation> mockIbor = mock(typeof(RateComputationFn));
IborRateComputation ro = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
when(mockIbor.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(0.0123d);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(mockIbor, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedIborFixingDeposit beanToCopy)
{
this.currency_Renamed = beanToCopy.Currency;
this.notional_Renamed = beanToCopy.Notional;
this.startDate_Renamed = beanToCopy.StartDate;
this.endDate_Renamed = beanToCopy.EndDate;
this.yearFraction_Renamed = beanToCopy.YearFraction;
this.fixedRate_Renamed = beanToCopy.FixedRate;
this.floatingRate_Renamed = beanToCopy.FloatingRate;
}
// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
SwapLeg iborLeg = trade.Product.getLegs(SwapLegType.IBOR).get(0);
ResolvedSwapLeg iborLegExpanded = iborLeg.resolve(refData);
IList <SwapPaymentPeriod> periods = iborLegExpanded.PaymentPeriods;
int nbPeriods = periods.Count;
RatePaymentPeriod lastPeriod = (RatePaymentPeriod)periods[nbPeriods - 1];
IList <RateAccrualPeriod> accruals = lastPeriod.AccrualPeriods;
int nbAccruals = accruals.Count;
IborRateComputation ibor = (IborRateComputation)accruals[nbAccruals - 1].RateComputation;
return(ibor.FixingDate);
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="securityId"> the value of the property, not null </param>
/// <param name="currency"> the value of the property, not null </param>
/// <param name="notional"> the value of the property </param>
/// <param name="accrualFactor"> the value of the property </param>
/// <param name="iborRate"> the value of the property, not null </param>
/// <param name="rounding"> the value of the property, not null </param>
internal ResolvedIborFuture(SecurityId securityId, Currency currency, double notional, double accrualFactor, IborRateComputation iborRate, Rounding rounding)
{
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(currency, "currency");
ArgChecker.notNegativeOrZero(notional, "notional");
ArgChecker.notNegativeOrZero(accrualFactor, "accrualFactor");
JodaBeanUtils.notNull(iborRate, "iborRate");
JodaBeanUtils.notNull(rounding, "rounding");
this.securityId = securityId;
this.currency = currency;
this.notional = notional;
this.accrualFactor = accrualFactor;
this.iborRate = iborRate;
this.rounding = rounding;
}
private ResolvedIborFixingDeposit(Currency currency, double notional, LocalDate startDate, LocalDate endDate, double yearFraction, double fixedRate, IborRateComputation floatingRate)
{
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(startDate, "startDate");
JodaBeanUtils.notNull(endDate, "endDate");
ArgChecker.notNegative(yearFraction, "yearFraction");
JodaBeanUtils.notNull(floatingRate, "floatingRate");
this.currency = currency;
this.notional = notional;
this.startDate = startDate;
this.endDate = endDate;
this.yearFraction = yearFraction;
this.fixedRate = fixedRate;
this.floatingRate = floatingRate;
validate();
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
FixedRateComputation @fixed = FixedRateComputation.of(0.0123d);
IborRateComputation ibor = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
IborInterpolatedRateComputation iborInt = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
IborAveragedRateComputation iborAvg = IborAveragedRateComputation.of(ImmutableList.of(IborAveragedFixing.of(ibor.Observation)));
OvernightCompoundedRateComputation onCpd = OvernightCompoundedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
OvernightAveragedRateComputation onAvg = OvernightAveragedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
OvernightAveragedDailyRateComputation onAvgDly = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);
InflationMonthlyRateComputation inflationMonthly = InflationMonthlyRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH);
InflationInterpolatedRateComputation inflationInterp = InflationInterpolatedRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH, 0.3);
InflationEndMonthRateComputation inflationEndMonth = InflationEndMonthRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH);
InflationEndInterpolatedRateComputation inflationEndInterp = InflationEndInterpolatedRateComputation.of(US_CPI_U, 1234d, ACCRUAL_END_MONTH, 0.3);
RateComputation mock = mock(typeof(RateComputation));
ignoreThrows(() => test.rateSensitivity(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ExplainMapBuilder explain = ExplainMap.builder();
ignoreThrows(() => test.explainRate(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
}
//-------------------------------------------------------------------------
/// <summary>
/// Test explain.
/// </summary>
public virtual void test_explainPresentValue_ISDA()
{
ResolvedFra fraExp = RFRA;
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
CurrencyAmount fvExpected = test.forecastValue(fraExp, prov);
CurrencyAmount pvExpected = test.presentValue(fraExp, prov);
ExplainMap explain = test.explainPresentValue(fraExp, prov);
Currency currency = fraExp.Currency;
int daysBetween = (int) DAYS.between(fraExp.StartDate, fraExp.EndDate);
assertEquals(explain.get(ExplainKey.ENTRY_TYPE).get(), "FRA");
assertEquals(explain.get(ExplainKey.PAYMENT_DATE).get(), fraExp.PaymentDate);
assertEquals(explain.get(ExplainKey.START_DATE).get(), fraExp.StartDate);
assertEquals(explain.get(ExplainKey.END_DATE).get(), fraExp.EndDate);
assertEquals(explain.get(ExplainKey.ACCRUAL_YEAR_FRACTION).Value, fraExp.YearFraction);
assertEquals(explain.get(ExplainKey.DAYS).Value, (int?)(int) daysBetween);
assertEquals(explain.get(ExplainKey.PAYMENT_CURRENCY).get(), currency);
assertEquals(explain.get(ExplainKey.NOTIONAL).get().Amount, fraExp.Notional, TOLERANCE);
assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().Amount, fraExp.Notional, TOLERANCE);
assertEquals(explain.get(ExplainKey.OBSERVATIONS).get().size(), 1);
ExplainMap explainObs = explain.get(ExplainKey.OBSERVATIONS).get().get(0);
IborRateComputation floatingRate = (IborRateComputation) fraExp.FloatingRate;
assertEquals(explainObs.get(ExplainKey.INDEX).get(), floatingRate.Index);
assertEquals(explainObs.get(ExplainKey.FIXING_DATE).get(), floatingRate.FixingDate);
assertEquals(explainObs.get(ExplainKey.INDEX_VALUE).Value, FORWARD_RATE, TOLERANCE);
assertEquals(explainObs.get(ExplainKey.FROM_FIXING_SERIES).HasValue, false);
assertEquals(explain.get(ExplainKey.DISCOUNT_FACTOR).Value, DISCOUNT_FACTOR, TOLERANCE);
assertEquals(explain.get(ExplainKey.FIXED_RATE).Value, fraExp.FixedRate, TOLERANCE);
assertEquals(explain.get(ExplainKey.PAY_OFF_RATE).Value, FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.COMBINED_RATE).Value, FORWARD_RATE, TOLERANCE);
assertEquals(explain.get(ExplainKey.UNIT_AMOUNT).Value, fvExpected.Amount / fraExp.Notional, TOLERANCE);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Currency, currency);
assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().Amount, fvExpected.Amount, TOLERANCE);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Currency, currency);
assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().Amount, pvExpected.Amount, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.explainPresentValue(RFRA_TRADE, prov), test.explainPresentValue(RFRA, prov));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates the {@code RateComputation} for the stub.
/// </summary>
/// <param name="fixingDate"> the fixing date </param>
/// <param name="defaultIndex"> the default index to use if the stub has no rules </param>
/// <param name="refData"> the reference data </param>
/// <returns> the rate observation </returns>
internal RateComputation createRateComputation(LocalDate fixingDate, IborIndex defaultIndex, ReferenceData refData)
{
if (Interpolated)
{
return(IborInterpolatedRateComputation.of(index, indexInterpolated, fixingDate, refData));
}
else if (FloatingRate)
{
return(IborRateComputation.of(index, fixingDate, refData));
}
else if (FixedRate)
{
return(FixedRateComputation.of(fixedRate.Value));
}
else if (KnownAmount)
{
return(KnownAmountRateComputation.of(knownAmount));
}
else
{
return(IborRateComputation.of(defaultIndex, fixingDate, refData));
}
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
case 1585636160: // notional
this.notional_Renamed = (double?)newValue.Value;
break;
case -2129778896: // startDate
this.startDate_Renamed = (LocalDate)newValue;
break;
case -1607727319: // endDate
this.endDate_Renamed = (LocalDate)newValue;
break;
case -1731780257: // yearFraction
this.yearFraction_Renamed = (double?)newValue.Value;
break;
case 747425396: // fixedRate
this.fixedRate_Renamed = (double?)newValue.Value;
break;
case -2130225658: // floatingRate
this.floatingRate_Renamed = (IborRateComputation)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
public ResolvedIborCapFloorLeg resolve(ReferenceData refData)
{
Schedule adjustedSchedule = paymentSchedule.createSchedule(refData);
DoubleArray cap = CapSchedule.Present ? capSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray floor = FloorSchedule.Present ? floorSchedule.resolveValues(adjustedSchedule) : null;
DoubleArray notionals = notional.resolveValues(adjustedSchedule);
DateAdjuster fixingDateAdjuster = calculation.FixingDateOffset.resolve(refData);
DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData);
System.Func <LocalDate, IborIndexObservation> obsFn = calculation.Index.resolve(refData);
ImmutableList.Builder <IborCapletFloorletPeriod> periodsBuild = ImmutableList.builder();
for (int i = 0; i < adjustedSchedule.size(); i++)
{
SchedulePeriod period = adjustedSchedule.getPeriod(i);
LocalDate paymentDate = paymentDateAdjuster.adjust(period.EndDate);
LocalDate fixingDate = fixingDateAdjuster.adjust((calculation.FixingRelativeTo.Equals(FixingRelativeTo.PERIOD_START)) ? period.StartDate : period.EndDate);
double signedNotional = payReceive.normalize(notionals.get(i));
periodsBuild.add(IborCapletFloorletPeriod.builder().unadjustedStartDate(period.UnadjustedStartDate).unadjustedEndDate(period.UnadjustedEndDate).startDate(period.StartDate).endDate(period.EndDate).iborRate(IborRateComputation.of(obsFn(fixingDate))).paymentDate(paymentDate).notional(signedNotional).currency(currency).yearFraction(period.yearFraction(calculation.DayCount, adjustedSchedule)).caplet(cap != null ? cap.get(i) : null).floorlet(floor != null ? floor.get(i) : null).build());
}
return(ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periodsBuild.build()).payReceive(payReceive).build());
}
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);
}
/// <summary>
/// Sets the Ibor rate observation.
/// <para>
/// The future is based on this index.
/// It will be a well known market index such as 'USD-LIBOR-3M'.
/// </para>
/// </summary>
/// <param name="iborRate"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder iborRate(IborRateComputation iborRate)
{
JodaBeanUtils.notNull(iborRate, "iborRate");
this.iborRate_Renamed = iborRate;
return(this);
}
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 ResolvedIborFuture resolve(ReferenceData refData)
{
IborRateComputation iborRate = IborRateComputation.of(index, lastTradeDate, refData);
return(new ResolvedIborFuture(securityId, currency, notional, accrualFactor, iborRate, rounding));
}
/// <summary>
/// Sets the floating rate of interest.
/// <para>
/// The floating rate to be paid is based on this index.
/// It will be a well known market index such as 'GBP-LIBOR-3M'.
/// </para>
/// </summary>
/// <param name="floatingRate"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder floatingRate(IborRateComputation floatingRate)
{
JodaBeanUtils.notNull(floatingRate, "floatingRate");
this.floatingRate_Renamed = floatingRate;
return(this);
}
