/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(XCcyIborIborSwapCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.fxRateId_Renamed = beanToCopy.FxRateId;
this.spreadId_Renamed = beanToCopy.SpreadId;
this.additionalSpread_Renamed = beanToCopy.AdditionalSpread;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
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());
}
private XCcyIborIborSwapCurveNode(XCcyIborIborSwapTemplate template, FxRateId fxRateId, ObservableId spreadId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(fxRateId, "fxRateId");
JodaBeanUtils.notNull(spreadId, "spreadId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.fxRateId = fxRateId;
this.spreadId = spreadId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (XCcyIborIborSwapTemplate)newValue;
break;
case -1054985843: // fxRateId
this.fxRateId_Renamed = (FxRateId)newValue;
break;
case -1759090194: // spreadId
this.spreadId_Renamed = (ObservableId)newValue;
break;
case 291232890: // additionalSpread
this.additionalSpread_Renamed = (double?)newValue.Value;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case 3076014: // date
this.date_Renamed = (CurveNodeDate)newValue;
break;
case -263699392: // dateOrder
this.dateOrder_Renamed = (CurveNodeDateOrder)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the template for the swap associated with this node. </summary>
/// <param name="template"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder template(XCcyIborIborSwapTemplate template)
{
JodaBeanUtils.notNull(template, "template");
this.template_Renamed = template;
return(this);
}
/// <summary>
/// Returns a curve node for a cross-currency Ibor-Ibor interest rate swap using the
/// specified instrument template, rate key, spread and label.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="spreadId"> the identifier of the market spread used when building the instrument for the node </param>
/// <param name="additionalSpread"> the additional spread amount added to the market quote </param>
/// <param name="label"> the label to use for the node, if null or empty an appropriate default label will be used </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static XCcyIborIborSwapCurveNode of(XCcyIborIborSwapTemplate template, ObservableId spreadId, double additionalSpread, string label)
{
FxRateId fxRateId = FxRateId.of(template.CurrencyPair);
return(new XCcyIborIborSwapCurveNode(template, fxRateId, spreadId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT));
}
/// <summary>
/// Returns a curve node for a cross-currency Ibor-Ibor interest rate swap using the
/// specified instrument template, rate key and spread.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="spreadId"> the identifier of the market spread used when building the instrument for the node </param>
/// <param name="additionalSpread"> the additional spread amount added to the market quote </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static XCcyIborIborSwapCurveNode of(XCcyIborIborSwapTemplate template, ObservableId spreadId, double additionalSpread)
{
return(builder().template(template).spreadId(spreadId).additionalSpread(additionalSpread).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns a curve node for a cross-currency Ibor-Ibor interest rate swap using the
/// specified instrument template and rate.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template used for building the instrument for the node </param>
/// <param name="spreadId"> the identifier of the market spread used when building the instrument for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static XCcyIborIborSwapCurveNode of(XCcyIborIborSwapTemplate template, ObservableId spreadId)
{
return(of(template, spreadId, 0d));
}
static CalibrationZeroRateUsdOisIrsEurFxXCcyIrsTest()
{
USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
USD_DSC_NODES[2 + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[2 + i])));
}
USD_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[0])));
for (int i = 0; i < USD_FWD3_NB_FRA_NODES; i++)
{
USD_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(USD_FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < USD_FWD3_NB_IRS_NODES; i++)
{
USD_FWD3_NODES[i + 1 + USD_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(USD_FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1 + USD_FWD3_NB_FRA_NODES])));
}
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
EUR_DSC_NODES[i] = FxSwapCurveNode.of(FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
}
for (int i = 0; i < EUR_DSC_NB_XCCY_NODES; i++)
{
EUR_DSC_NODES[EUR_DSC_NB_FX_NODES + i] = XCcyIborIborSwapCurveNode.of(XCcyIborIborSwapTemplate.of(Tenor.of(EUR_DSC_XCCY_TENORS[i]), EUR_EURIBOR_3M_USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[EUR_DSC_NB_FX_NODES + i])));
}
EUR_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[0])));
for (int i = 0; i < EUR_FWD3_NB_FRA_NODES; i++)
{
EUR_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(EUR_FWD3_FRA_TENORS[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < EUR_FWD3_NB_IRS_NODES; i++)
{
EUR_FWD3_NODES[i + 1 + EUR_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(EUR_FWD3_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1 + EUR_FWD3_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < USD_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < USD_FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i])), USD_FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i])), EUR_FWD3_MARKET_QUOTES[i]);
}
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_USD_ID_VALUE)), FX_RATE_EUR_USD);
builder.addValue(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, FX_RATE_EUR_USD));
ALL_QUOTES = builder.build();
}
