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);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (FixedIborSwapTemplate)newValue;
break;
case -938107365: // rateId
this.rateId_Renamed = (ObservableId)newValue;
break;
case 291232890: // additionalSpread
this.additionalSpread_Renamed = (double?)newValue.Value;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case 3076014: // date
this.date_Renamed = (CurveNodeDate)newValue;
break;
case -263699392: // dateOrder
this.dateOrder_Renamed = (CurveNodeDateOrder)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (FxSwapTemplate)newValue;
break;
case -1054985843: // fxRateId
this.fxRateId_Renamed = (FxRateId)newValue;
break;
case -566044884: // farForwardPointsId
this.farForwardPointsId_Renamed = (ObservableId)newValue;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case 3076014: // date
this.date_Renamed = (CurveNodeDate)newValue;
break;
case -263699392: // dateOrder
this.dateOrder_Renamed = (CurveNodeDateOrder)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (CdsTemplate)newValue;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case -518800962: // observableId
this.observableId_Renamed = (ObservableId)newValue;
break;
case 866287159: // legalEntityId
this.legalEntityId_Renamed = (StandardId)newValue;
break;
case 2049149709: // quoteConvention
this.quoteConvention_Renamed = (CdsQuoteConvention)newValue;
break;
case 747425396: // fixedRate
this.fixedRate_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(CdsIsdaCreditCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.label_Renamed = beanToCopy.Label;
this.observableId_Renamed = beanToCopy.ObservableId;
this.legalEntityId_Renamed = beanToCopy.LegalEntityId;
this.quoteConvention_Renamed = beanToCopy.QuoteConvention;
this.fixedRate_Renamed = beanToCopy.fixedRate;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(FixedIborSwapCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.rateId_Renamed = beanToCopy.RateId;
this.additionalSpread_Renamed = beanToCopy.AdditionalSpread;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
/// <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;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(FxSwapCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.fxRateId_Renamed = beanToCopy.FxRateId;
this.farForwardPointsId_Renamed = beanToCopy.FarForwardPointsId;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(XCcyIborIborSwapCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.fxRateId_Renamed = beanToCopy.FxRateId;
this.spreadId_Renamed = beanToCopy.SpreadId;
this.additionalSpread_Renamed = beanToCopy.AdditionalSpread;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
private IborFixingDepositCurveNode(IborFixingDepositTemplate template, ObservableId rateId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(rateId, "rateId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.rateId = rateId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
private DummyFraCurveNode(Period periodToStart, Period periodToEnd, ObservableId rateId, double spread, string label, CurveNodeDateOrder order)
{
JodaBeanUtils.notNull(periodToStart, "periodToStart");
JodaBeanUtils.notNull(periodToEnd, "periodToEnd");
JodaBeanUtils.notNull(rateId, "rateId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(order, "order");
this.periodToStart = periodToStart;
this.periodToEnd = periodToEnd;
this.rateId = rateId;
this.spread = spread;
this.label = label;
this.order = order;
}
private FxSwapCurveNode(FxSwapTemplate template, FxRateId fxRateId, ObservableId farForwardPointsId, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(fxRateId, "fxRateId");
JodaBeanUtils.notNull(farForwardPointsId, "farForwardPointsId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.fxRateId = fxRateId;
this.farForwardPointsId = farForwardPointsId;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
private CdsIsdaCreditCurveNode(CdsTemplate template, string label, ObservableId observableId, StandardId legalEntityId, CdsQuoteConvention quoteConvention, double?fixedRate)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(observableId, "observableId");
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(quoteConvention, "quoteConvention");
this.template = template;
this.label = label;
this.observableId = observableId;
this.legalEntityId = legalEntityId;
this.quoteConvention = quoteConvention;
this.fixedRate = fixedRate;
validate();
}
private XCcyIborIborSwapCurveNode(XCcyIborIborSwapTemplate template, FxRateId fxRateId, ObservableId spreadId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(fxRateId, "fxRateId");
JodaBeanUtils.notNull(spreadId, "spreadId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.fxRateId = fxRateId;
this.spreadId = spreadId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
private DepositIsdaCreditCurveNode(string label, ObservableId observableId, Tenor tenor, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, DayCount dayCount)
{
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(observableId, "observableId");
JodaBeanUtils.notNull(tenor, "tenor");
JodaBeanUtils.notNull(spotDateOffset, "spotDateOffset");
JodaBeanUtils.notNull(businessDayAdjustment, "businessDayAdjustment");
JodaBeanUtils.notNull(dayCount, "dayCount");
this.label = label;
this.observableId = observableId;
this.tenor = tenor;
this.spotDateOffset = spotDateOffset;
this.businessDayAdjustment = businessDayAdjustment;
this.dayCount = dayCount;
}
//-------------------------------------------------------------------------
// loads a single fixing series CSV file
private static ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> parseSingle(CharSource resource)
{
IDictionary <ObservableId, LocalDateDoubleTimeSeriesBuilder> builders = new Dictionary <ObservableId, LocalDateDoubleTimeSeriesBuilder>();
try
{
CsvFile csv = CsvFile.of(resource, true);
foreach (CsvRow row in csv.rows())
{
string referenceStr = row.getField(REFERENCE_FIELD);
string dateStr = row.getField(DATE_FIELD);
string valueStr = row.getField(VALUE_FIELD);
Index index = LoaderUtils.findIndex(referenceStr);
ObservableId id = IndexQuoteId.of(index);
double value = double.Parse(valueStr);
LocalDate date;
if (index is PriceIndex)
{
try
{
YearMonth ym = LoaderUtils.parseYearMonth(dateStr);
date = ym.atEndOfMonth();
}
catch (Exception)
{
date = LoaderUtils.parseDate(dateStr);
if (date.DayOfMonth != date.lengthOfMonth())
{
throw new System.ArgumentException(Messages.format("Fixing Series CSV loader for price index must have date at end of month: {}", resource));
}
}
}
else
{
date = LoaderUtils.parseDate(dateStr);
}
LocalDateDoubleTimeSeriesBuilder builder = builders.computeIfAbsent(id, k => LocalDateDoubleTimeSeries.builder());
builder.put(date, value);
}
}
catch (Exception ex)
{
throw new System.ArgumentException(Messages.format("Error processing resource as CSV file: {}", resource), ex);
}
return(MapStream.of(builders).mapValues(builder => builder.build()).toMap());
}
private CdsIndexIsdaCreditCurveNode(CdsTemplate template, string label, ObservableId observableId, StandardId cdsIndexId, IList <StandardId> legalEntityIds, CdsQuoteConvention quoteConvention, double?fixedRate)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(observableId, "observableId");
JodaBeanUtils.notNull(cdsIndexId, "cdsIndexId");
JodaBeanUtils.notNull(legalEntityIds, "legalEntityIds");
JodaBeanUtils.notNull(quoteConvention, "quoteConvention");
this.template = template;
this.label = label;
this.observableId = observableId;
this.cdsIndexId = cdsIndexId;
this.legalEntityIds = ImmutableList.copyOf(legalEntityIds);
this.quoteConvention = quoteConvention;
this.fixedRate = fixedRate;
validate();
}
public LocalDateDoubleTimeSeries getTimeSeries(ObservableId id)
{
return(TIME_SERIES);
}
/// <summary>
/// Sets the identifier of the market data value that provides the rate. </summary>
/// <param name="rateId"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder rateId(ObservableId rateId)
{
JodaBeanUtils.notNull(rateId, "rateId");
this.rateId_Renamed = rateId;
return(this);
}
/// <summary>
/// Returns a curve node for a Fixed-Ibor interest rate swap using the
/// specified instrument template, rate key, spread and label.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <param name="label"> the label to use for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static FixedIborSwapCurveNode of(FixedIborSwapTemplate template, ObservableId rateId, double additionalSpread, string label)
{
return(new FixedIborSwapCurveNode(template, rateId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT));
}
/// <summary>
/// Returns a curve node with points upfront convention.
/// </summary>
/// <param name="template"> the template </param>
/// <param name="observableId"> the observable ID </param>
/// <param name="legalEntityId"> the legal entity ID </param>
/// <param name="fixedRate"> the fixed rate </param>
/// <returns> the curve node </returns>
public static CdsIsdaCreditCurveNode ofPointsUpfront(CdsTemplate template, ObservableId observableId, StandardId legalEntityId, double?fixedRate)
{
return(builder().template(template).observableId(observableId).legalEntityId(legalEntityId).quoteConvention(CdsQuoteConvention.POINTS_UPFRONT).fixedRate(fixedRate).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns a curve node for a Fixed-Ibor interest rate swap using the
/// specified instrument template and rate.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template used for building the instrument for the node </param>
/// <param name="rateId"> the identifier of the market rate used when building the instrument for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static FixedIborSwapCurveNode of(FixedIborSwapTemplate template, ObservableId rateId)
{
return(of(template, rateId, 0d));
}
/// <summary>
/// Returns a curve node for a Fixed-Ibor interest rate swap using the
/// specified instrument template, rate key and spread.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static FixedIborSwapCurveNode of(FixedIborSwapTemplate template, ObservableId rateId, double additionalSpread)
{
return(builder().template(template).rateId(rateId).additionalSpread(additionalSpread).build());
}
public LocalDateDoubleTimeSeries getTimeSeries(ObservableId id)
{
return(underlying.getTimeSeries(id));
}
public LocalDateDoubleTimeSeries getTimeSeries(ObservableId id)
{
LocalDateDoubleTimeSeries timeSeries = underlying1.getTimeSeries(id);
return(!timeSeries.Empty ? timeSeries : underlying2.getTimeSeries(id));
}
/// <summary>
/// Returns a curve node with quoted spread convention.
/// </summary>
/// <param name="template"> the template </param>
/// <param name="observableId"> the observable ID </param>
/// <param name="legalEntityId"> the legal entity ID </param>
/// <param name="fixedRate"> the fixed rate </param>
/// <returns> the curve node </returns>
public static CdsIsdaCreditCurveNode ofQuotedSpread(CdsTemplate template, ObservableId observableId, StandardId legalEntityId, double?fixedRate)
{
return(builder().template(template).observableId(observableId).legalEntityId(legalEntityId).quoteConvention(CdsQuoteConvention.QUOTED_SPREAD).fixedRate(fixedRate).build());
}
/// <summary>
/// Returns a curve node for an Ibor deposit using the specified template, rate key, spread and label.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <param name="label"> the label to use for the node, if null or empty an appropriate default label will be used </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFixingDepositCurveNode of(IborFixingDepositTemplate template, ObservableId rateId, double additionalSpread, string label)
{
return(new IborFixingDepositCurveNode(template, rateId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT));
}
/// <summary>
/// Returns a curve node for an Ibor deposit using the specified template, rate key and spread.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFixingDepositCurveNode of(IborFixingDepositTemplate template, ObservableId rateId, double additionalSpread)
{
return(builder().template(template).rateId(rateId).additionalSpread(additionalSpread).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns a curve node for an Ibor deposit using the specified template and rate key.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template used for building the instrument for the node </param>
/// <param name="rateId"> the identifier of the market rate used when building the instrument for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFixingDepositCurveNode of(IborFixingDepositTemplate template, ObservableId rateId)
{
return(of(template, rateId, 0d));
}
/// <summary>
/// Sets the identifier of the market data value that provides the quoted value. </summary>
/// <param name="observableId"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder observableId(ObservableId observableId)
{
JodaBeanUtils.notNull(observableId, "observableId");
this.observableId_Renamed = observableId;
return(this);
}
