internal static Dsf sut2()
{
SwapLeg iborLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P1M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(1d)).finalExchange(true).initialExchange(true).build()).calculation(IborRateCalculation.builder().index(INDEX).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, SAT_SUN, BDA_P)).build()).build();
Swap swap2 = Swap.of(SWAP.getLeg(RECEIVE).get(), iborLeg);
return(Dsf.builder().securityId(SECURITY_ID2).notional(20000L).deliveryDate(LocalDate.of(2014, 9, 5)).lastTradeDate(LocalDate.of(2014, 9, 2)).underlyingSwap(swap2).build());
}
// swap USD standard conventions- TODO: replace by a template when available
private static Swap swapUsd(LocalDate start, LocalDate end, PayReceive payReceive, NotionalSchedule notional, double fixedRate)
{
SwapLeg fixedLeg = CurveGammaCalculatorTest.fixedLeg(start, end, Frequency.P6M, payReceive, notional, fixedRate, StubConvention.SHORT_INITIAL);
SwapLeg iborLeg = CurveGammaCalculatorTest.iborLeg(start, end, USD_LIBOR_3M, (payReceive == PAY) ? RECEIVE : PAY, notional, StubConvention.SHORT_INITIAL);
return(Swap.of(fixedLeg, iborLeg));
}
// creates and resolves the underlying swap
private static ResolvedSwap createUnderlyingSwap(LocalDate fixingDate)
{
FixedIborSwapConvention conv = EUR_EURIBOR_1100_5Y.Template.Convention;
LocalDate effectiveDate = conv.calculateSpotDateFromTradeDate(fixingDate, REF_DATA);
LocalDate maturityDate = effectiveDate.plus(EUR_EURIBOR_1100_5Y.Template.Tenor);
Swap swap = conv.toTrade(fixingDate, effectiveDate, maturityDate, BuySell.BUY, 1d, 1d).Product;
return(swap.resolve(REF_DATA));
}
public virtual void test_builder_notUnitNotional()
{
SwapLeg fixedLeg10 = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P6M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(USD, 10d)).calculation(FixedRateCalculation.builder().dayCount(THIRTY_U_360).rate(ValueSchedule.of(0.015)).build()).build();
SwapLeg iborLeg500 = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P1M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(500d)).finalExchange(true).initialExchange(true).build()).calculation(IborRateCalculation.builder().index(INDEX).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, SAT_SUN, BDA_P)).build()).build();
Swap swap1 = Swap.of(fixedLeg10, SWAP.getLeg(PAY).get());
Swap swap2 = Swap.of(SWAP.getLeg(RECEIVE).get(), iborLeg500);
assertThrowsIllegalArg(() => ResolvedDsf.builder().securityId(PRODUCT.SecurityId).notional(NOTIONAL).deliveryDate(DELIVERY_DATE).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap1.resolve(REF_DATA)).build());
assertThrowsIllegalArg(() => ResolvedDsf.builder().securityId(PRODUCT.SecurityId).notional(NOTIONAL).deliveryDate(DELIVERY_DATE).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap2.resolve(REF_DATA)).build());
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'swaption'
// 'swaption/buyerPartyReference'
// 'swaption/sellerPartyReference'
// 'swaption/premium/payerPartyReference'
// 'swaption/premium/receiverPartyReference'
// 'swaption/premium/paymentAmount'
// 'swaption/premium/paymentDate'
// 'swaption/europeanExercise'
// 'swaption/europeanExercise/expirationDate'
// 'swaption/europeanExercise/expirationDate/adjustableDate'
// 'swaption/europeanExercise/expirationDate/adjustableDate/unadjustedDate'
// 'swaption/europeanExercise/expirationDate/adjustableDate/dateAdjustments'
// 'swaption/europeanExercise/expirationTime
// 'swaption/swap'
// ignored elements:
// 'Product.model?'
// 'swaption/calculationAgent'
// 'swaption/assetClass'
// 'swaption/primaryAssestClass'
// 'swaption/productId'
// 'swaption/productType'
// 'swaption/secondaryAssetClass'
// 'swaption/sellerAccountReference'
// 'swaption/sellerPartyReference'
// 'swaption/swaptionAdjustedDates'
// 'swaption/swaptionStraddle'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement swaptionEl = tradeEl.getChild("swaption");
XmlElement europeanExerciseEl = swaptionEl.getChild("europeanExercise");
XmlElement expirationTimeEl = europeanExerciseEl.getChild("expirationTime");
// Parse the premium, expiry date, expiry time and expiry zone, longShort and swaption settlement.
AdjustablePayment premium = parsePremium(swaptionEl, document, tradeInfoBuilder);
AdjustableDate expiryDate = parseExpiryDate(europeanExerciseEl, document);
LocalTime expiryTime = parseExpiryTime(expirationTimeEl, document);
ZoneId expiryZone = parseExpiryZone(expirationTimeEl, document);
LongShort longShort = parseLongShort(swaptionEl, document, tradeInfoBuilder);
SwaptionSettlement swaptionSettlement = parseSettlement(swaptionEl, document);
//Re use the Swap FpML parser to parse the underlying swap on this swaption.
SwapFpmlParserPlugin swapParser = SwapFpmlParserPlugin.INSTANCE;
Swap swap = swapParser.parseSwap(document, swaptionEl, tradeInfoBuilder);
Swaption swaption = Swaption.builder().expiryDate(expiryDate).expiryZone(expiryZone).expiryTime(expiryTime).longShort(longShort).swaptionSettlement(swaptionSettlement).underlying(swap).build();
return(SwaptionTrade.builder().info(tradeInfoBuilder.build()).product(swaption).premium(premium).build());
}
public virtual void test_builder_notUnitNotional()
{
SwapLeg fixedLeg10 = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P6M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(USD, 10d)).calculation(FixedRateCalculation.builder().dayCount(THIRTY_U_360).rate(ValueSchedule.of(0.015)).build()).build();
SwapLeg knownAmountLeg = KnownAmountSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P6M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P6M).paymentDateOffset(DaysAdjustment.NONE).build()).amount(ValueSchedule.of(0.015)).currency(USD).build();
SwapLeg iborLeg500 = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P1M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(500d)).finalExchange(true).initialExchange(true).build()).calculation(IborRateCalculation.builder().index(INDEX).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, SAT_SUN, BDA_P)).build()).build();
Swap swap1 = Swap.of(fixedLeg10, SWAP.getLeg(PAY).get());
Swap swap2 = Swap.of(SWAP.getLeg(RECEIVE).get(), iborLeg500);
Swap swap3 = Swap.of(knownAmountLeg, SWAP.getLeg(PAY).get());
assertThrowsIllegalArg(() => DsfSecurity.builder().info(INFO).notional(NOTIONAL).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap1).build());
assertThrowsIllegalArg(() => DsfSecurity.builder().info(INFO).notional(NOTIONAL).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap2).build());
// should succeed normally (no notional to validate on known amount leg)
DsfSecurity.builder().info(INFO).notional(NOTIONAL).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap3).build();
}
