public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 3373707:         // name
                    this.name_Renamed = (string)newValue;
                    break;

                case 1005147787:         // currencyPair
                    this.currencyPair_Renamed = (CurrencyPair)newValue;
                    break;

                case 394230283:         // fixingCalendar
                    this.fixingCalendar_Renamed = (HolidayCalendarId)newValue;
                    break;

                case 873743726:         // fixingDateOffset
                    this.fixingDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                case 1574797394:         // maturityDateOffset
                    this.maturityDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
Пример #2
0
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 3373707:         // name
                    this.name_Renamed = (string)newValue;
                    break;

                case 1302781851:         // spreadLeg
                    this.spreadLeg_Renamed = (IborRateSwapLegConvention)newValue;
                    break;

                case -778843179:         // flatLeg
                    this.flatLeg_Renamed = (IborRateSwapLegConvention)newValue;
                    break;

                case 746995843:         // spotDateOffset
                    this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
Пример #3
0
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(ImmutableIborIborSwapConvention beanToCopy)
 {
     this.name_Renamed           = beanToCopy.Name;
     this.spreadLeg_Renamed      = beanToCopy.SpreadLeg;
     this.flatLeg_Renamed        = beanToCopy.FlatLeg;
     this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
 }
Пример #4
0
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 100346066:         // index
                    this.index_Renamed = (PriceIndex)newValue;
                    break;

                case 106898:         // lag
                    this.lag_Renamed = (Period)newValue;
                    break;

                case -1409010088:         // indexCalculationMethod
                    this.indexCalculationMethod_Renamed = (PriceIndexCalculationMethod)newValue;
                    break;

                case -159410813:         // notionalExchange
                    this.notionalExchange_Renamed = (bool?)newValue.Value;
                    break;

                case -716438393:         // paymentDateOffset
                    this.paymentDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                case 896049114:         // accrualBusinessDayAdjustment
                    this.accrualBusinessDayAdjustment_Renamed = (BusinessDayAdjustment)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
        private static IborIndex parseIborIndex(CsvRow row)
        {
            string            name      = row.getValue(NAME_FIELD);
            Currency          currency  = Currency.parse(row.getValue(CURRENCY_FIELD));
            bool              active    = bool.Parse(row.getValue(ACTIVE_FIELD));
            DayCount          dayCount  = DayCount.of(row.getValue(DAY_COUNT_FIELD));
            HolidayCalendarId fixingCal = HolidayCalendarId.of(row.getValue(FIXING_CALENDAR_FIELD));
            int offsetDays = int.Parse(row.getValue(OFFSET_DAYS_FIELD));
            HolidayCalendarId offsetCal        = HolidayCalendarId.of(row.getValue(OFFSET_CALENDAR_FIELD));
            HolidayCalendarId effectiveCal     = HolidayCalendarId.of(row.getValue(EFFECTIVE_DATE_CALENDAR_FIELD));
            Tenor             tenor            = Tenor.parse(row.getValue(TENOR_FIELD));
            LocalTime         time             = LocalTime.parse(row.getValue(FIXING_TIME_FIELD), TIME_FORMAT);
            ZoneId            zoneId           = ZoneId.of(row.getValue(FIXING_ZONE_FIELD));
            DayCount          fixedLegDayCount = DayCount.of(row.getValue(FIXED_LEG_DAY_COUNT));

            // interpret CSV
            DaysAdjustment fixingOffset    = DaysAdjustment.ofBusinessDays(-offsetDays, offsetCal, BusinessDayAdjustment.of(PRECEDING, fixingCal)).normalized();
            DaysAdjustment effectiveOffset = DaysAdjustment.ofBusinessDays(offsetDays, offsetCal, BusinessDayAdjustment.of(FOLLOWING, effectiveCal)).normalized();

            // convention can be two different things
            PeriodAdditionConvention periodAdditionConvention = PeriodAdditionConvention.extendedEnum().find(row.getField(TENOR_CONVENTION_FIELD)).orElse(PeriodAdditionConventions.NONE);
            BusinessDayConvention    tenorBusinessConvention  = BusinessDayConvention.extendedEnum().find(row.getField(TENOR_CONVENTION_FIELD)).orElse(isEndOfMonth(periodAdditionConvention) ? MODIFIED_FOLLOWING : FOLLOWING);
            BusinessDayAdjustment    adj             = BusinessDayAdjustment.of(tenorBusinessConvention, effectiveCal);
            TenorAdjustment          tenorAdjustment = TenorAdjustment.of(tenor, periodAdditionConvention, adj);

            // build result
            return(ImmutableIborIndex.builder().name(name).currency(currency).active(active).dayCount(dayCount).fixingCalendar(fixingCal).fixingDateOffset(fixingOffset).effectiveDateOffset(effectiveOffset).maturityDateOffset(tenorAdjustment).fixingTime(time).fixingZone(zoneId).defaultFixedLegDayCount(fixedLegDayCount).build());
        }
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 102727412:         // label
                    this.label_Renamed = (string)newValue;
                    break;

                case -518800962:         // observableId
                    this.observableId_Renamed = (ObservableId)newValue;
                    break;

                case 110246592:         // tenor
                    this.tenor_Renamed = (Tenor)newValue;
                    break;

                case 746995843:         // spotDateOffset
                    this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                case -1065319863:         // businessDayAdjustment
                    this.businessDayAdjustment_Renamed = (BusinessDayAdjustment)newValue;
                    break;

                case 1905311443:         // dayCount
                    this.dayCount_Renamed = (DayCount)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
Пример #7
0
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(ImmutableOvernightIborSwapConvention beanToCopy)
 {
     this.name_Renamed           = beanToCopy.Name;
     this.overnightLeg_Renamed   = beanToCopy.OvernightLeg;
     this.iborLeg_Renamed        = beanToCopy.IborLeg;
     this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
 }
        private static DaysAdjustment expiryDateOffset(DaysAdjustment spotDateOffset)
        {
            ArgChecker.isTrue(spotDateOffset.Adjustment.Equals(BusinessDayAdjustment.NONE), "BusinessDayAdjustment in spotDateOffset must be NONE if expiryDateOffset is created from spotDateOffset");
            DaysAdjustment adj = spotDateOffset.toBuilder().days(-spotDateOffset.Days).build();

            return(adj);
        }
        public virtual void test_volatilities()
        {
            BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification @base = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).strikeInterpolator(DOUBLE_QUADRATIC).build();
            LocalDate     date       = LocalDate.of(2017, 9, 25);
            ZonedDateTime dateTime   = date.atStartOfDay().atZone(ZoneId.of("Europe/London"));
            DoubleArray   parameters = DoubleArray.of(0.19, 0.15, 0.13, 0.14, 0.14, 0.11, 0.09, 0.09, 0.11, 0.09, 0.07, 0.07);
            BlackFxOptionSurfaceVolatilities computed = @base.volatilities(dateTime, parameters, REF_DATA);
            DaysAdjustment expOffset = DaysAdjustment.ofBusinessDays(-2, NY_LO);

            double[] expiries = new double[STRIKES.Count * TENORS.Count];
            double[] strikes  = new double[STRIKES.Count * TENORS.Count];
            ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
            for (int i = 0; i < TENORS.Count; ++i)
            {
                double expiry = ACT_365F.relativeYearFraction(date, expOffset.adjust(BDA.adjust(SPOT_OFFSET.adjust(date, REF_DATA).plus(TENORS[i]), REF_DATA), REF_DATA));
                for (int j = 0; j < STRIKES.Count; ++j)
                {
                    paramMetadata.add(FxVolatilitySurfaceYearFractionParameterMetadata.of(expiry, SimpleStrike.of(STRIKES[j]), GBP_USD));
                    expiries[STRIKES.Count * i + j] = expiry;
                    strikes[STRIKES.Count * i + j]  = STRIKES[j];
                }
            }
            InterpolatedNodalSurface         surface  = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F).withParameterMetadata(paramMetadata.build()), DoubleArray.ofUnsafe(expiries), DoubleArray.ofUnsafe(strikes), parameters, GridSurfaceInterpolator.of(PCHIP, DOUBLE_QUADRATIC));
            BlackFxOptionSurfaceVolatilities expected = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, dateTime, surface);

            assertEquals(computed, expected);
        }
        //-------------------------------------------------------------------------
        /// <summary>
        /// Converts an FpML 'RelativeDateOffset' to a {@code DaysAdjustment}.
        /// </summary>
        /// <param name="baseEl">  the FpML adjustable date element </param>
        /// <returns> the days adjustment </returns>
        /// <exception cref="RuntimeException"> if unable to parse </exception>
        public DaysAdjustment parseRelativeDateOffsetDays(XmlElement baseEl)
        {
            // FpML content: ('periodMultiplier', 'period', 'dayType?',
            //                'businessDayConvention', 'BusinessCentersOrReference.model?'
            //                'dateRelativeTo', 'adjustedDate')
            // The 'dateRelativeTo' element is not used here
            // The 'adjustedDate' element is ignored
            Period period = parsePeriod(baseEl);

            if (period.toTotalMonths() != 0)
            {
                throw new FpmlParseException("Expected days-based period but found " + period);
            }
            Optional <XmlElement> dayTypeEl = baseEl.findChild("dayType");
            bool calendarDays = period.Zero || (dayTypeEl.Present && dayTypeEl.get().Content.Equals("Calendar"));
            BusinessDayConvention fixingBdc = convertBusinessDayConvention(baseEl.getChild("businessDayConvention").Content);
            HolidayCalendarId     calendar  = parseBusinessCenters(baseEl);

            if (calendarDays)
            {
                return(DaysAdjustment.ofCalendarDays(period.Days, BusinessDayAdjustment.of(fixingBdc, calendar)));
            }
            else
            {
                return(DaysAdjustment.ofBusinessDays(period.Days, calendar));
            }
        }
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 1574023291:         // securityId
                    this.securityId_Renamed = (SecurityId)newValue;
                    break;

                case 1585636160:         // notional
                    this.notional_Renamed = (Payment)newValue;
                    break;

                case 1905311443:         // dayCount
                    this.dayCount_Renamed = (DayCount)newValue;
                    break;

                case -1895216418:         // yieldConvention
                    this.yieldConvention_Renamed = (BillYieldConvention)newValue;
                    break;

                case 866287159:         // legalEntityId
                    this.legalEntityId_Renamed = (LegalEntityId)newValue;
                    break;

                case 135924714:         // settlementDateOffset
                    this.settlementDateOffset_Renamed = (DaysAdjustment)newValue;
                    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(ImmutableFixedOvernightSwapConvention beanToCopy)
 {
     this.name_Renamed           = beanToCopy.Name;
     this.fixedLeg_Renamed       = beanToCopy.FixedLeg;
     this.floatingLeg_Renamed    = beanToCopy.FloatingLeg;
     this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
 }
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(ImmutableFxSwapConvention beanToCopy)
 {
     this.currencyPair_Renamed          = beanToCopy.CurrencyPair;
     this.name_Renamed                  = beanToCopy.name;
     this.spotDateOffset_Renamed        = beanToCopy.SpotDateOffset;
     this.businessDayAdjustment_Renamed = beanToCopy.businessDayAdjustment;
 }
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 3373707:         // name
                    this.name_Renamed = (string)newValue;
                    break;

                case -391537158:         // fixedLeg
                    this.fixedLeg_Renamed = (FixedRateSwapLegConvention)newValue;
                    break;

                case -1177101272:         // floatingLeg
                    this.floatingLeg_Renamed = (OvernightRateSwapLegConvention)newValue;
                    break;

                case 746995843:         // spotDateOffset
                    this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
Пример #15
0
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 3373707:         // name
                    this.name_Renamed = (string)newValue;
                    break;

                case 1774606250:         // overnightLeg
                    this.overnightLeg_Renamed = (OvernightRateSwapLegConvention)newValue;
                    break;

                case 1610246066:         // iborLeg
                    this.iborLeg_Renamed = (IborRateSwapLegConvention)newValue;
                    break;

                case 746995843:         // spotDateOffset
                    this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 1005147787:         // currencyPair
                    this.currencyPair_Renamed = (CurrencyPair)newValue;
                    break;

                case 3373707:         // name
                    this.name_Renamed = (string)newValue;
                    break;

                case 746995843:         // spotDateOffset
                    this.spotDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                case -1065319863:         // businessDayAdjustment
                    this.businessDayAdjustment_Renamed = (BusinessDayAdjustment)newValue;
                    break;

                default:
                    throw new NoSuchElementException("Unknown property: " + propertyName);
                }
                return(this);
            }
            public override Builder set(string propertyName, object newValue)
            {
                switch (propertyName.GetHashCode())
                {
                case 100346066:         // index
                    this.index_Renamed = (FxIndex)newValue;
                    break;

                case 727652476:         // referenceCurrency
                    this.referenceCurrency_Renamed = (Currency)newValue;
                    break;

                case 232554996:         // fixingRelativeTo
                    this.fixingRelativeTo_Renamed = (FxResetFixingRelativeTo)newValue;
                    break;

                case 873743726:         // fixingDateOffset
                    this.fixingDateOffset_Renamed = (DaysAdjustment)newValue;
                    break;

                case -931164883:         // initialNotionalValue
                    this.initialNotionalValue_Renamed = (double?)newValue;
                    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(ImmutableFxIndex beanToCopy)
 {
     this.name_Renamed               = beanToCopy.Name;
     this.currencyPair_Renamed       = beanToCopy.CurrencyPair;
     this.fixingCalendar_Renamed     = beanToCopy.FixingCalendar;
     this.fixingDateOffset_Renamed   = beanToCopy.FixingDateOffset;
     this.maturityDateOffset_Renamed = beanToCopy.MaturityDateOffset;
 }
Пример #19
0
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(ImmutableThreeLegBasisSwapConvention beanToCopy)
 {
     this.name_Renamed              = beanToCopy.Name;
     this.spreadLeg_Renamed         = beanToCopy.SpreadLeg;
     this.spreadFloatingLeg_Renamed = beanToCopy.SpreadFloatingLeg;
     this.flatFloatingLeg_Renamed   = beanToCopy.FlatFloatingLeg;
     this.spotDateOffset_Renamed    = beanToCopy.SpotDateOffset;
 }
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(FxResetCalculation beanToCopy)
 {
     this.index_Renamed                = beanToCopy.Index;
     this.referenceCurrency_Renamed    = beanToCopy.ReferenceCurrency;
     this.fixingRelativeTo_Renamed     = beanToCopy.FixingRelativeTo;
     this.fixingDateOffset_Renamed     = beanToCopy.FixingDateOffset;
     this.initialNotionalValue_Renamed = beanToCopy.initialNotionalValue;
 }
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(ImmutableTermDepositConvention beanToCopy)
 {
     this.currency_Renamed = beanToCopy.Currency;
     this.name_Renamed     = beanToCopy.Name;
     this.businessDayAdjustment_Renamed = beanToCopy.BusinessDayAdjustment;
     this.dayCount_Renamed       = beanToCopy.DayCount;
     this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset;
 }
Пример #22
0
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(InflationRateSwapLegConvention beanToCopy)
 {
     this.index_Renamed = beanToCopy.Index;
     this.lag_Renamed   = beanToCopy.Lag;
     this.indexCalculationMethod_Renamed       = beanToCopy.IndexCalculationMethod;
     this.notionalExchange_Renamed             = beanToCopy.NotionalExchange;
     this.paymentDateOffset_Renamed            = beanToCopy.paymentDateOffset;
     this.accrualBusinessDayAdjustment_Renamed = beanToCopy.accrualBusinessDayAdjustment;
 }
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(DepositIsdaCreditCurveNode beanToCopy)
 {
     this.label_Renamed                 = beanToCopy.Label;
     this.observableId_Renamed          = beanToCopy.ObservableId;
     this.tenor_Renamed                 = beanToCopy.Tenor;
     this.spotDateOffset_Renamed        = beanToCopy.SpotDateOffset;
     this.businessDayAdjustment_Renamed = beanToCopy.BusinessDayAdjustment;
     this.dayCount_Renamed              = beanToCopy.DayCount;
 }
Пример #24
0
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(BillSecurity beanToCopy)
 {
     this.info_Renamed                 = beanToCopy.Info;
     this.notional_Renamed             = beanToCopy.Notional;
     this.dayCount_Renamed             = beanToCopy.DayCount;
     this.yieldConvention_Renamed      = beanToCopy.YieldConvention;
     this.legalEntityId_Renamed        = beanToCopy.LegalEntityId;
     this.settlementDateOffset_Renamed = beanToCopy.SettlementDateOffset;
 }
 private ImmutableFxSwapConvention(CurrencyPair currencyPair, string name, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment)
 {
     JodaBeanUtils.notNull(currencyPair, "currencyPair");
     JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
     this.currencyPair          = currencyPair;
     this.name                  = name;
     this.spotDateOffset        = spotDateOffset;
     this.businessDayAdjustment = businessDayAdjustment;
 }
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 protected internal Builder(ResolvedBill beanToCopy)
 {
     this.securityId_Renamed           = beanToCopy.SecurityId;
     this.notional_Renamed             = beanToCopy.Notional;
     this.dayCount_Renamed             = beanToCopy.DayCount;
     this.yieldConvention_Renamed      = beanToCopy.YieldConvention;
     this.legalEntityId_Renamed        = beanToCopy.LegalEntityId;
     this.settlementDateOffset_Renamed = beanToCopy.SettlementDateOffset;
 }
Пример #27
0
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(ImmutableIborFixingDepositConvention beanToCopy)
 {
     this.index_Renamed                 = beanToCopy.Index;
     this.name_Renamed                  = beanToCopy.name;
     this.currency_Renamed              = beanToCopy.currency;
     this.dayCount_Renamed              = beanToCopy.dayCount;
     this.spotDateOffset_Renamed        = beanToCopy.spotDateOffset;
     this.businessDayAdjustment_Renamed = beanToCopy.businessDayAdjustment;
     this.fixingDateOffset_Renamed      = beanToCopy.fixingDateOffset;
 }
Пример #28
0
 private ImmutableIborFixingDepositConvention(IborIndex index, string name, Currency currency, DayCount dayCount, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, DaysAdjustment fixingDateOffset)
 {
     JodaBeanUtils.notNull(index, "index");
     this.index                 = index;
     this.name                  = name;
     this.currency              = currency;
     this.dayCount              = dayCount;
     this.spotDateOffset        = spotDateOffset;
     this.businessDayAdjustment = businessDayAdjustment;
     this.fixingDateOffset      = fixingDateOffset;
 }
 /// <summary>
 /// Restricted copy constructor. </summary>
 /// <param name="beanToCopy">  the bean to copy from, not null </param>
 internal Builder(IborCapFloorLeg beanToCopy)
 {
     this.payReceive_Renamed        = beanToCopy.PayReceive;
     this.paymentSchedule_Renamed   = beanToCopy.PaymentSchedule;
     this.paymentDateOffset_Renamed = beanToCopy.PaymentDateOffset;
     this.currency_Renamed          = beanToCopy.Currency;
     this.notional_Renamed          = beanToCopy.Notional;
     this.calculation_Renamed       = beanToCopy.Calculation;
     this.capSchedule_Renamed       = beanToCopy.capSchedule;
     this.floorSchedule_Renamed     = beanToCopy.floorSchedule;
 }
Пример #30
0
 private ImmutableIborIborSwapConvention(string name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset)
 {
     JodaBeanUtils.notNull(name, "name");
     JodaBeanUtils.notNull(spreadLeg, "spreadLeg");
     JodaBeanUtils.notNull(flatLeg, "flatLeg");
     JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
     this.name           = name;
     this.spreadLeg      = spreadLeg;
     this.flatLeg        = flatLeg;
     this.spotDateOffset = spotDateOffset;
     validate();
 }