//-------------------------------------------------------------------------
public virtual void test_adjustPaymentDate()
{
FxResetNotionalExchange test = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 1000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_03_28, REF_DATA));
FxResetNotionalExchange expected = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 1000d), DATE_2014_06_30.plusDays(2), FxIndexObservation.of(GBP_USD_WM, DATE_2014_03_28, REF_DATA));
assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d => d.plusDays(0))), test);
assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d => d.plusDays(2))), expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxResetNotionalExchange test = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 1000d), DATE_2014_03_28, FxIndexObservation.of(GBP_USD_WM, DATE_2014_03_28, REF_DATA));
coverImmutableBean(test);
FxResetNotionalExchange test2 = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 2000d), DATE_2014_06_30, FxIndexObservation.of(EUR_USD_ECB, DATE_2014_06_30, REF_DATA));
coverBeanEquals(test, test2);
}
public virtual void test_of()
{
FxResetNotionalExchange test = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 1000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_03_28, REF_DATA));
assertEquals(test.PaymentDate, DATE_2014_06_30);
assertEquals(test.ReferenceCurrency, USD);
assertEquals(test.NotionalAmount, CurrencyAmount.of(USD, 1000d));
assertEquals(test.Notional, 1000d, 0d);
}
public virtual void test_resolve_FxResetOmitInitialNotionalExchange()
{
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(RPP1_FXRESET).initialExchange(false).intermediateExchange(true).finalExchange(true).build();
FxResetNotionalExchange finalExchange = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 8000d), DATE_2014_10_01, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA));
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(RPP1_FXRESET).paymentEvents(finalExchange).build();
assertEquals(test.resolve(REF_DATA), expected);
}
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);
}
// 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_oneAccrualPerPayment_fxReset()
{
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d)).fxReset(FxResetCalculation.builder().referenceCurrency(EUR).index(EUR_GBP_ECB).fixingDateOffset(MINUS_TWO_DAYS).build()).initialExchange(true).intermediateExchange(true).finalExchange(true).build()).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_02_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(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA), EUR)).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA), EUR)).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_04_09).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(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).fxReset(FxReset.of(FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA), EUR)).build();
FxResetNotionalExchange ne1a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_01_06, FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA));
FxResetNotionalExchange ne1b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_02_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_01_02, REF_DATA));
FxResetNotionalExchange ne2a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_02_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA));
FxResetNotionalExchange ne2b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_03_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_02_03, REF_DATA));
FxResetNotionalExchange ne3a = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, 1000d), DATE_03_07, FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA));
FxResetNotionalExchange ne3b = FxResetNotionalExchange.of(CurrencyAmount.of(EUR, -1000d), DATE_04_09, FxIndexObservation.of(EUR_GBP_ECB, DATE_03_03, REF_DATA));
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).paymentEvents(ne1a, ne1b, ne2a, ne2b, ne3a, ne3b).build());
}
public virtual void test_serialization()
{
FxResetNotionalExchange test = FxResetNotionalExchange.of(CurrencyAmount.of(USD, 1000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_03_28, REF_DATA));
assertSerialization(test);
}