//-------------------------------------------------------------------------
public virtual void test_collectIndices()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_365F).index(GBP_SONIA).build();
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of(GBP_SONIA));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_365F).index(GBP_SONIA).build();
coverImmutableBean(test);
OvernightRateCalculation test2 = OvernightRateCalculation.builder().dayCount(ACT_360).index(USD_FED_FUND).accrualMethod(AVERAGED).negativeRateMethod(NOT_NEGATIVE).rateCutOffDays(2).gearing(ValueSchedule.of(2d)).spread(ValueSchedule.of(-0.025d)).build();
coverBeanEquals(test, test2);
}
public virtual void test_expand_gearingSpreadEverythingElse()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_365F).index(GBP_SONIA).accrualMethod(AVERAGED).negativeRateMethod(NOT_NEGATIVE).rateCutOffDays(2).gearing(ValueSchedule.of(1d, ValueStep.of(2, ValueAdjustment.ofReplace(2d)))).spread(ValueSchedule.of(0d, ValueStep.of(1, ValueAdjustment.ofReplace(-0.025d)))).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightAveragedRateComputation.of(GBP_SONIA, DATE_01_06, DATE_02_05, 0, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightAveragedRateComputation.of(GBP_SONIA, DATE_02_05, DATE_03_05, 0, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).spread(-0.025d).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightAveragedRateComputation.of(GBP_SONIA, DATE_03_05, DATE_04_07, 2, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).gearing(2d).spread(-0.025d).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, PAYMENT_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_rateCutOffDays_threeAccrualsInPaymentPeriod()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_365F).index(GBP_SONIA).rateCutOffDays(2).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_01_06, DATE_02_05, 0, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_02_05, DATE_03_05, 0, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_03_05, DATE_04_07, 2, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, PAYMENT_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_tomNext()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_360).index(CHF_TOIS).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(CHF_TOIS, DATE_01_06, DATE_02_05, 0, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(CHF_TOIS, DATE_02_05, DATE_03_05, 0, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(OvernightCompoundedRateComputation.of(CHF_TOIS, DATE_03_05, DATE_04_07, 0, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_builder_ensureDefaults()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().index(GBP_SONIA).build();
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.Index, GBP_SONIA);
assertEquals(test.AccrualMethod, COMPOUNDED);
assertEquals(test.NegativeRateMethod, ALLOW_NEGATIVE);
assertEquals(test.RateCutOffDays, 0);
assertEquals(test.Gearing, null);
assertEquals(test.Spread, null);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
OvernightRateCalculation other = (OvernightRateCalculation)obj;
return(JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(accrualMethod, other.accrualMethod) && JodaBeanUtils.equal(negativeRateMethod, other.negativeRateMethod) && (rateCutOffDays == other.rateCutOffDays) && JodaBeanUtils.equal(gearing, other.gearing) && JodaBeanUtils.equal(spread, other.spread));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
OvernightRateCalculation test = OvernightRateCalculation.of(GBP_SONIA);
assertEquals(test.Type, SwapLegType.OVERNIGHT);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.Index, GBP_SONIA);
assertEquals(test.AccrualMethod, COMPOUNDED);
assertEquals(test.NegativeRateMethod, ALLOW_NEGATIVE);
assertEquals(test.RateCutOffDays, 0);
assertEquals(test.Gearing, null);
assertEquals(test.Spread, null);
}
// a summary of the leg
private string legSummary(SwapLeg leg)
{
if (leg is RateCalculationSwapLeg)
{
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg)leg;
RateCalculation calculation = rcLeg.Calculation;
if (calculation is FixedRateCalculation)
{
FixedRateCalculation calc = (FixedRateCalculation)calculation;
string vary = calc.Rate.Steps.Count > 0 || calc.Rate.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.percent(calc.Rate.InitialValue) + vary);
}
if (calculation is IborRateCalculation)
{
IborRateCalculation calc = (IborRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + gearing + spread);
}
if (calculation is OvernightRateCalculation)
{
OvernightRateCalculation calc = (OvernightRateCalculation)calculation;
string avg = calc.AccrualMethod == OvernightAccrualMethod.AVERAGED ? " avg" : "";
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + avg + gearing + spread);
}
if (calculation is InflationRateCalculation)
{
InflationRateCalculation calc = (InflationRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
return(calc.Index.Name + gearing);
}
}
if (leg is KnownAmountSwapLeg)
{
KnownAmountSwapLeg kaLeg = (KnownAmountSwapLeg)leg;
string vary = kaLeg.Amount.Steps.Count > 0 || kaLeg.Amount.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.amount(kaLeg.Currency, kaLeg.Amount.InitialValue) + vary);
}
ImmutableSet <Index> allIndices = leg.allIndices();
return(allIndices.Empty ? "Fixed" : allIndices.ToString());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a rate calculation for the specified index with accrual by compounding.
/// <para>
/// The calculation will use the day count of the index.
/// All optional fields will be set to their default values.
/// Thus, there will be no spread, gearing or rate cut-off.
/// If this method provides insufficient control, use the <seealso cref="#builder() builder"/>.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <returns> the calculation </returns>
public static OvernightRateCalculation of(OvernightIndex index)
{
return(OvernightRateCalculation.builder().index(index).build());
}
public virtual void test_serialization()
{
OvernightRateCalculation test = OvernightRateCalculation.builder().dayCount(ACT_365F).index(GBP_SONIA).build();
assertSerialization(test);
}
public virtual void test_builder_noIndex()
{
assertThrowsIllegalArg(() => OvernightRateCalculation.builder().build());
}
