public virtual void test_resolve()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
ResolvedCds test = PRODUCT_STD.resolve(REF_DATA);
int nDates = 44;
LocalDate[] dates = new LocalDate[nDates];
for (int i = 0; i < nDates; ++i)
{
dates[i] = START_DATE.plusMonths(3 * i);
}
IList <CreditCouponPaymentPeriod> payments = new List <CreditCouponPaymentPeriod>(nDates - 1);
for (int i = 0; i < nDates - 2; ++i)
{
LocalDate start = i == 0 ? dates[i] : bussAdj.adjust(dates[i], REF_DATA);
LocalDate end = bussAdj.adjust(dates[i + 1], REF_DATA);
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end).unadjustedStartDate(dates[i]).unadjustedEndDate(dates[i + 1]).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end.minusDays(1)).paymentDate(end).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end)).build());
}
LocalDate start = bussAdj.adjust(dates[nDates - 2], REF_DATA);
LocalDate end = dates[nDates - 1];
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end.plusDays(1)).unadjustedStartDate(dates[nDates - 2]).unadjustedEndDate(end).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end).paymentDate(bussAdj.adjust(end, REF_DATA)).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end.plusDays(1))).build());
ResolvedCds expected = ResolvedCds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).dayCount(ACT_360).paymentOnDefault(ACCRUED_PREMIUM).paymentPeriods(payments).protectionStart(BEGINNING).protectionEndDate(END_DATE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
public virtual void test_totoSingleNameCds()
{
ResolvedCdsIndex @base = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
ResolvedCds test = @base.toSingleNameCds();
ResolvedCds expected = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(INDEX_ID).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
private ResolvedCdsTrade(TradeInfo info, ResolvedCds product, Payment upfrontFee)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.upfrontFee = upfrontFee;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCds test1 = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(LEGAL_ENTITY).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
coverImmutableBean(test1);
ResolvedCds test2 = ResolvedCds.builder().buySell(BuySell.SELL).dayCount(DayCounts.ACT_365F).legalEntityId(StandardId.of("OG", "EFG")).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).paymentPeriods(PAYMENTS[0]).protectionEndDate(PAYMENTS[0].EffectiveEndDate).settlementDateOffset(DaysAdjustment.NONE).stepinDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsTrade test1 = ResolvedCdsTrade.builder().product(PRODUCT).upfrontFee(UPFRONT).info(TRADE_INFO).build();
coverImmutableBean(test1);
ResolvedCds product = Cds.of(BUY, LEGAL_ENTITY, USD, 1.e9, START_DATE, END_DATE, Frequency.P6M, SAT_SUN, 0.067).resolve(REF_DATA);
ResolvedCdsTrade test2 = ResolvedCdsTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ResolvedCds other = (ResolvedCds)obj;
return(JodaBeanUtils.equal(buySell, other.buySell) && JodaBeanUtils.equal(legalEntityId, other.legalEntityId) && JodaBeanUtils.equal(paymentPeriods, other.paymentPeriods) && JodaBeanUtils.equal(protectionEndDate, other.protectionEndDate) && JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(paymentOnDefault, other.paymentOnDefault) && JodaBeanUtils.equal(protectionStart, other.protectionStart) && JodaBeanUtils.equal(stepinDateOffset, other.stepinDateOffset) && JodaBeanUtils.equal(settlementDateOffset, other.settlementDateOffset));
}
return(false);
}
public virtual void test_effectiveStartDate()
{
ResolvedCds test1 = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(LEGAL_ENTITY).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
LocalDate date1 = LocalDate.of(2016, 3, 22);
assertEquals(test1.calculateEffectiveStartDate(date1), date1.minusDays(1));
LocalDate date2 = LocalDate.of(2013, 9, 22);
assertEquals(test1.calculateEffectiveStartDate(date2), START_DATE.minusDays(1));
ResolvedCds test2 = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(LEGAL_ENTITY).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.NONE).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
LocalDate date3 = LocalDate.of(2016, 3, 22);
assertEquals(test2.calculateEffectiveStartDate(date3), date3);
LocalDate date4 = LocalDate.of(2013, 9, 22);
assertEquals(test2.calculateEffectiveStartDate(date4), START_DATE);
}
public virtual void test_builder()
{
ResolvedCds test = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(LEGAL_ENTITY).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test.BuySell, BUY);
assertEquals(test.Currency, USD);
assertEquals(test.AccrualStartDate, PAYMENTS[0].StartDate);
assertEquals(test.AccrualEndDate, PAYMENTS[42].EndDate);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentOnDefault, ACCRUED_PREMIUM);
assertEquals(test.PaymentPeriods, PAYMENTS);
assertEquals(test.ProtectionEndDate, PAYMENTS[42].EffectiveEndDate);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.ProtectionStart, BEGINNING);
assertEquals(test.StepinDateOffset, STEPIN_DAY_ADJ);
}
public virtual void test_accruedYearFraction()
{
double eps = 1.0e-15;
ResolvedCds test = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(LEGAL_ENTITY).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
double accStart = test.accruedYearFraction(START_DATE.minusDays(1));
double accNextMinusOne = test.accruedYearFraction(START_DATE.plusMonths(3).minusDays(1));
double accNext = test.accruedYearFraction(START_DATE.plusMonths(3));
double accNextOne = test.accruedYearFraction(START_DATE.plusMonths(3).plusDays(1));
double accMod = test.accruedYearFraction(START_DATE.plusYears(1));
double accEnd = test.accruedYearFraction(END_DATE);
double accEndOne = test.accruedYearFraction(END_DATE.plusDays(1));
assertEquals(accStart, 0d);
assertEquals(accNext, 0d);
assertEquals(accNextMinusOne, ACT_360.relativeYearFraction(START_DATE, START_DATE.plusMonths(3).minusDays(1)), eps);
assertEquals(accNextOne, 1d / 360d, eps);
// 2.x
assertEquals(accMod, 0.24722222222222223, eps);
assertEquals(accEnd, 0.25555555555555554, eps);
assertEquals(accEndOne, 0.25833333333333336, eps);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (TradeInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedCds)newValue;
break;
case 963468344: // upfrontFee
this.upfrontFee_Renamed = (Payment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_serialization()
{
ResolvedCds test = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(LEGAL_ENTITY).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertSerialization(test);
}
/// <summary>
/// Sets the resolved CDS product.
/// <para>
/// The product captures the contracted financial details of the trade.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(ResolvedCds product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedCdsTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.upfrontFee_Renamed = beanToCopy.upfrontFee;
}
