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 = (CapitalIndexedBond)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case 106934601: // price
this.price_Renamed = (double?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_builder_fail()
{
// negative settlement date offset
assertThrowsIllegalArg(() => CapitalIndexedBond.builder().securityId(SECURITY_ID).notional(NOTIONAL).currency(USD).dayCount(ACT_ACT_ISDA).rateCalculation(RATE_CALC).exCouponPeriod(EX_COUPON).legalEntityId(LEGAL_ENTITY).yieldConvention(US_IL_REAL).settlementDateOffset(DaysAdjustment.ofBusinessDays(-2, USNY)).accrualSchedule(SCHEDULE).build());
// positive ex-coupon days
assertThrowsIllegalArg(() => CapitalIndexedBond.builder().securityId(SECURITY_ID).notional(NOTIONAL).currency(USD).dayCount(ACT_ACT_ISDA).rateCalculation(RATE_CALC).exCouponPeriod(DaysAdjustment.ofCalendarDays(7, BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, USNY))).legalEntityId(LEGAL_ENTITY).yieldConvention(US_IL_REAL).settlementDateOffset(SETTLE_OFFSET).accrualSchedule(SCHEDULE).build());
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(CapitalIndexedBondTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.price_Renamed = beanToCopy.Price;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PositionInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (CapitalIndexedBond)newValue;
break;
case 611668775: // longQuantity
this.longQuantity_Renamed = (double?)newValue.Value;
break;
case -2094395097: // shortQuantity
this.shortQuantity_Renamed = (double?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(CapitalIndexedBondPosition beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.longQuantity_Renamed = beanToCopy.LongQuantity;
this.shortQuantity_Renamed = beanToCopy.ShortQuantity;
}
public virtual void test_builder_min()
{
CapitalIndexedBond test = CapitalIndexedBond.builder().securityId(SECURITY_ID).notional(NOTIONAL).currency(USD).dayCount(ACT_ACT_ISDA).rateCalculation(RATE_CALC).legalEntityId(LEGAL_ENTITY).yieldConvention(US_IL_REAL).settlementDateOffset(SETTLE_OFFSET).accrualSchedule(SCHEDULE).build();
assertEquals(test.SecurityId, SECURITY_ID);
assertEquals(test.Currency, USD);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.ExCouponPeriod, DaysAdjustment.NONE);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.AccrualSchedule, SCHEDULE);
assertEquals(test.RateCalculation, RATE_CALC);
assertEquals(test.SettlementDateOffset, SETTLE_OFFSET);
assertEquals(test.YieldConvention, US_IL_REAL);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
CapitalIndexedBond product = target.Product;
Currency currency = product.Currency;
SecurityId securityId = product.SecurityId;
LegalEntityId legalEntityId = product.LegalEntityId;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(product.RateCalculation.Index));
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
FunctionRequirements ledReqs = ledLookup.requirements(securityId, legalEntityId, currency);
return(ratesReqs.combinedWith(ledReqs));
}
public virtual void test_builder_full()
{
CapitalIndexedBond test = sut();
assertEquals(test.SecurityId, SECURITY_ID);
assertEquals(test.Currency, USD);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.ExCouponPeriod, EX_COUPON);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.AccrualSchedule, SCHEDULE);
assertEquals(test.RateCalculation, RATE_CALC);
assertEquals(test.FirstIndexValue, RATE_CALC.FirstIndexValue.Value);
assertEquals(test.SettlementDateOffset, SETTLE_OFFSET);
assertEquals(test.YieldConvention, US_IL_REAL);
}
public virtual void test_resolve()
{
CapitalIndexedBond @base = sut();
LocalDate[] unAdjDates = new LocalDate[] { LocalDate.of(2008, 1, 13), LocalDate.of(2008, 7, 13), LocalDate.of(2009, 1, 13), LocalDate.of(2009, 7, 13), LocalDate.of(2010, 1, 13) };
CapitalIndexedBondPaymentPeriod[] periodic = new CapitalIndexedBondPaymentPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = SCHEDULE_ADJ.adjust(unAdjDates[i], REF_DATA);
LocalDate end = SCHEDULE_ADJ.adjust(unAdjDates[i + 1], REF_DATA);
LocalDate detachment = EX_COUPON.adjust(end, REF_DATA);
RateComputation comp = RATE_CALC.createRateComputation(end);
periodic[i] = CapitalIndexedBondPaymentPeriod.builder().currency(USD).startDate(start).endDate(end).unadjustedStartDate(unAdjDates[i]).unadjustedEndDate(unAdjDates[i + 1]).detachmentDate(detachment).realCoupon(COUPONS[i]).rateComputation(comp).notional(NOTIONAL).build();
}
CapitalIndexedBondPaymentPeriod nominalExp = periodic[3].withUnitCoupon(periodic[0].StartDate, periodic[0].UnadjustedStartDate);
ResolvedCapitalIndexedBond expected = ResolvedCapitalIndexedBond.builder().securityId(SECURITY_ID).dayCount(ACT_ACT_ISDA).legalEntityId(LEGAL_ENTITY).nominalPayment(nominalExp).periodicPayments(periodic).frequency(SCHEDULE.Frequency).rollConvention(SCHEDULE.calculatedRollConvention()).settlementDateOffset(SETTLE_OFFSET).yieldConvention(US_IL_REAL).rateCalculation(@base.RateCalculation).build();
assertEquals(@base.resolve(REF_DATA), expected);
}
internal static CapitalIndexedBondSecurity createSecurity(CapitalIndexedBond product)
{
return(CapitalIndexedBondSecurity.builder().info(SecurityInfo.of(product.SecurityId, INFO.PriceInfo)).currency(product.Currency).notional(product.Notional).accrualSchedule(product.AccrualSchedule).rateCalculation(product.RateCalculation).dayCount(product.DayCount).yieldConvention(product.YieldConvention).legalEntityId(product.LegalEntityId).settlementDateOffset(product.SettlementDateOffset).exCouponPeriod(product.ExCouponPeriod).build());
}
/// <summary>
/// Sets the bond that was traded.
/// <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(CapitalIndexedBond product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
internal static CapitalIndexedBond sut2()
{
return(CapitalIndexedBond.builder().securityId(SECURITY_ID2).notional(5.0e7).currency(GBP).dayCount(NL_365).rateCalculation(InflationRateCalculation.builder().index(GB_RPI).lag(Period.ofMonths(2)).indexCalculationMethod(INTERPOLATED).firstIndexValue(124.556).build()).exCouponPeriod(EX_COUPON).legalEntityId(LegalEntityId.of("OG-Ticker", "US-Govt-1")).yieldConvention(GB_IL_FLOAT).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).accrualSchedule(PeriodicSchedule.of(START, END, FREQUENCY, BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, GBLO), StubConvention.NONE, RollConventions.NONE)).build());
}
internal static CapitalIndexedBond sut1()
{
return(CapitalIndexedBond.builder().securityId(SECURITY_ID).notional(NOTIONAL).currency(USD).dayCount(ACT_ACT_ISDA).rateCalculation(RATE_CALC).exCouponPeriod(EX_COUPON).legalEntityId(LEGAL_ENTITY).yieldConvention(GB_IL_FLOAT).settlementDateOffset(SETTLE_OFFSET).accrualSchedule(SCHEDULE).build());
}
