//-------------------------------------------------------------------------
public virtual void test_resolve()
{
TermDeposit @base = TermDeposit.builder().buySell(SELL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).dayCount(ACT_365F).notional(NOTIONAL).currency(GBP).rate(RATE).build();
ResolvedTermDeposit test = @base.resolve(REF_DATA);
LocalDate expectedEndDate = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA);
double expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, expectedEndDate);
assertEquals(test.Notional, -NOTIONAL);
assertEquals(test.YearFraction, expectedYearFraction, EPS);
assertEquals(test.Interest, -RATE * expectedYearFraction * NOTIONAL, NOTIONAL * EPS);
assertEquals(test.Rate, RATE);
assertEquals(test.Currency, GBP);
}
//-------------------------------------------------------------------------
public virtual void test_resolve_Ibor()
{
Fra fra = Fra.builder().buySell(BUY).notional(NOTIONAL_1M).startDate(date(2015, 6, 15)).endDate(date(2015, 9, 15)).paymentDate(AdjustableDate.of(date(2015, 6, 20), BDA_MOD_FOLLOW)).fixedRate(FIXED_RATE).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).build();
ResolvedFra test = fra.resolve(REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL_1M, 0d);
assertEquals(test.StartDate, date(2015, 6, 15));
assertEquals(test.EndDate, date(2015, 9, 15));
assertEquals(test.PaymentDate, date(2015, 6, 22));
assertEquals(test.FixedRate, FIXED_RATE, 0d);
assertEquals(test.FloatingRate, IborRateComputation.of(GBP_LIBOR_3M, date(2015, 6, 11), REF_DATA));
assertEquals(test.YearFraction, ACT_365F.yearFraction(date(2015, 6, 15), date(2015, 9, 15)), 0d);
assertEquals(test.Discounting, ISDA);
}
public virtual void test_resolve_IborInterpolated()
{
Fra fra = Fra.builder().buySell(SELL).notional(NOTIONAL_1M).startDate(date(2015, 6, 12)).endDate(date(2015, 9, 5)).businessDayAdjustment(BDA_MOD_FOLLOW).fixedRate(FIXED_RATE).index(GBP_LIBOR_3M).indexInterpolated(GBP_LIBOR_2M).fixingDateOffset(MINUS_TWO_DAYS).build();
ResolvedFra test = fra.resolve(REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, -NOTIONAL_1M, 0d); // sell
assertEquals(test.StartDate, date(2015, 6, 12));
assertEquals(test.EndDate, date(2015, 9, 7));
assertEquals(test.PaymentDate, date(2015, 6, 12));
assertEquals(test.FixedRate, FIXED_RATE, 0d);
assertEquals(test.FloatingRate, IborInterpolatedRateComputation.of(GBP_LIBOR_2M, GBP_LIBOR_3M, date(2015, 6, 10), REF_DATA));
assertEquals(test.YearFraction, ACT_365F.yearFraction(date(2015, 6, 12), date(2015, 9, 7)), 0d);
assertEquals(test.Discounting, ISDA);
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
IborFixingDeposit @base = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
ResolvedIborFixingDeposit test = @base.resolve(REF_DATA);
LocalDate expectedEndDate = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA);
double expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate);
IborRateComputation expectedObservation = IborRateComputation.of(GBP_LIBOR_6M, GBP_LIBOR_6M.FixingDateOffset.adjust(START_DATE, REF_DATA), REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, expectedEndDate);
assertEquals(test.FloatingRate, expectedObservation);
assertEquals(test.Notional, -NOTIONAL);
assertEquals(test.FixedRate, RATE);
assertEquals(test.YearFraction, expectedYearFraction);
}
//-------------------------------------------------------------------------
public virtual void test_curve()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.PRICE_INDEX).dayCount(ACT_365F).parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)).build();
LocalDate date0 = NODES.get(0).date(VAL_DATE, REF_DATA);
LocalDate date1 = NODES.get(1).date(VAL_DATE, REF_DATA);
DoubleArray param = DoubleArray.of(250.0d, 260.0d);
InterpolatedNodalCurve expectedUnderlying = InterpolatedNodalCurve.builder().metadata(metadata).xValues(DoubleArray.of(ACT_365F.yearFraction(VAL_DATE, date0), ACT_365F.yearFraction(VAL_DATE, date1))).yValues(param).interpolator(CurveInterpolators.LOG_LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
InflationNodalCurve expected = InflationNodalCurve.of(expectedUnderlying, VAL_DATE, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
assertEquals(test.curve(VAL_DATE, metadata, param), expected);
}
//-------------------------------------------------------------------------
public virtual void test_curve()
{
InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder().name(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(NODES.get(0).metadata(VAL_DATE, REF_DATA), NODES.get(1).metadata(VAL_DATE, REF_DATA)).build();
InterpolatedNodalCurve expected = InterpolatedNodalCurve.builder().metadata(metadata).xValues(DoubleArray.of(ACT_365F.yearFraction(VAL_DATE, DATE1), ACT_365F.yearFraction(VAL_DATE, DATE2))).yValues(DoubleArray.of(1d, 1.5d)).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
assertEquals(test.curve(VAL_DATE, metadata, DoubleArray.of(1d, 1.5d)), expected);
}
//-------------------------------------------------------------------------
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_resolve_threeAccrualsPerPayment()
{
// 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(P3M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(STRAIGHT).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_04_09).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(), 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(), 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).compoundingMethod(STRAIGHT).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1).build());
}
public virtual void test_resolve_twoAccrualsPerPayment_iborRate_varyingNotional_notionalExchange()
{
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_06_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(STRAIGHT).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d, ValueStep.of(1, ValueAdjustment.ofReplace(1500d)))).initialExchange(true).intermediateExchange(true).finalExchange(true).build()).calculation(IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_03_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(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_02, REF_DATA)).build(), RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).compoundingMethod(STRAIGHT).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_05_08).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(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build(), RateAccrualPeriod.builder().startDate(DATE_04_07).endDate(DATE_05_06).unadjustedStartDate(DATE_04_05).unadjustedEndDate(DATE_05_05).yearFraction(ACT_365F.yearFraction(DATE_04_07, DATE_05_06)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_04_03, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1500d).compoundingMethod(STRAIGHT).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_06_09).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_05_06).endDate(DATE_06_05).unadjustedStartDate(DATE_05_05).yearFraction(ACT_365F.yearFraction(DATE_05_06, DATE_06_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_05_01, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1500d).compoundingMethod(STRAIGHT).build();
// events (only one intermediate exchange)
NotionalExchange nexInitial = NotionalExchange.of(CurrencyAmount.of(GBP, 1000d), DATE_01_06);
NotionalExchange nexIntermediate = NotionalExchange.of(CurrencyAmount.of(GBP, 500d), DATE_03_07);
NotionalExchange nexFinal = NotionalExchange.of(CurrencyAmount.of(GBP, -1500d), DATE_06_09);
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).paymentEvents(nexInitial, nexIntermediate, nexFinal).build());
}
public virtual void test_resolve_knownAmountStub()
{
// test case
CurrencyAmount knownAmount = CurrencyAmount.of(GBP, 150d);
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_02_03).endDate(DATE_04_03).firstRegularStartDate(DATE_02_05).lastRegularEndDate(DATE_03_05).frequency(P1M).stubConvention(StubConvention.BOTH).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).initialStub(FixedRateStubCalculation.ofKnownAmount(knownAmount)).finalStub(FixedRateStubCalculation.ofFixedRate(0.1d)).build()).build();
// expected
KnownAmountNotionalSwapPaymentPeriod pp1 = KnownAmountNotionalSwapPaymentPeriod.builder().payment(Payment.of(knownAmount, DATE_02_07)).startDate(DATE_02_03).endDate(DATE_02_05).unadjustedStartDate(DATE_02_03).notionalAmount(CurrencyAmount.of(GBP, -1000d)).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).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_04_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_03).unadjustedEndDate(DATE_04_03).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_03)).rateComputation(FixedRateComputation.of(0.1d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(pp1, rpp2, rpp3).build());
}