public static Either <Error, Maturity> GetMaturity(this Tenor tenor) { var multiplier = (tenor.ToString()[0]) switch { 'M' => 1D / 12, _ => 1, }; var right = int.Parse(tenor.ToString().Substring(1)); return(Maturity.TryCreate(right * multiplier)); }
// writes the rows for a single CurrencyParameterSensitivity private void write(string reference, CurveSensitivitiesType type, CurveSensitivities curveSens, CurrencyParameterSensitivity paramSens, IList <string> additionalHeaders, bool containsDates, CsvOutput csv) { IList <string> additionalCells = supplier.values(additionalHeaders, curveSens, paramSens); for (int i = 0; i < paramSens.ParameterCount; i++) { ParameterMetadata pmd = paramSens.getParameterMetadata(i); Tenor tenor = ((TenoredParameterMetadata)pmd).Tenor; double value = paramSens.Sensitivity.get(i); csv.writeCell(reference); csv.writeCell(type.Name); csv.writeCell(tenor.ToString()); if (containsDates) { csv.writeCell(pmd is DatedParameterMetadata ? ((DatedParameterMetadata)pmd).Date.ToString() : ""); } csv.writeCell(paramSens.Currency.Code); csv.writeCell(decimal.valueOf(value).toPlainString()); csv.writeLine(additionalCells); } }
//------------------------------------------------------------------------- /// <summary> /// Obtains an instance using the tenor. /// </summary> /// <param name="date"> the date associated with the parameter </param> /// <param name="tenor"> the tenor associated with the parameter </param> /// <returns> the parameter metadata based on the tenor </returns> public static TenorDateParameterMetadata of(LocalDate date, Tenor tenor) { ArgChecker.notNull(date, "date"); ArgChecker.notNull(tenor, "tenor"); return(new TenorDateParameterMetadata(date, tenor, tenor.ToString())); }
public virtual void test_swapIndicies() { ImmutableMap <string, SwapIndex> mapAll = SwapIndices.ENUM_LOOKUP.lookupAll(); ImmutableList <SwapIndex> indexAll = mapAll.values().asList(); ImmutableList <string> nameAll = mapAll.Keys.asList(); int size = indexAll.size(); for (int i = 0; i < size; ++i) { // check no duplication for (int j = i + 1; j < size; ++j) { assertFalse(nameAll.get(i).Equals(nameAll.get(j))); assertFalse(indexAll.get(i).Equals(indexAll.get(j))); } } foreach (string name in nameAll) { SwapIndex index = mapAll.get(name); assertEquals(SwapIndex.of(name), index); assertEquals(index.Active, true); FixedIborSwapTemplate temp = index.Template; FixedIborSwapConvention conv = temp.Convention; Tenor tenor = temp.Tenor; LocalTime time = index.FixingTime; ZoneId zone = index.FixingZone; // test consistency between name and template assertTrue(name.Contains(tenor.ToString())); if (name.StartsWith("USD", StringComparison.Ordinal)) { assertTrue(name.Contains("1100") || name.Contains("1500")); assertTrue(conv.Equals(FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M)); assertTrue(zone.Equals(NEY_YORK)); } if (name.StartsWith("GBP", StringComparison.Ordinal)) { assertTrue(name.Contains("1100")); if (tenor.Equals(Tenor.TENOR_1Y)) { assertTrue(conv.Equals(FixedIborSwapConventions.GBP_FIXED_1Y_LIBOR_3M)); } else { assertTrue(conv.Equals(FixedIborSwapConventions.GBP_FIXED_6M_LIBOR_6M)); } assertTrue(zone.Equals(LONDON)); } if (name.StartsWith("EUR", StringComparison.Ordinal)) { assertTrue(name.Contains("1100") || name.Contains("1200")); if (tenor.Equals(Tenor.TENOR_1Y)) { assertTrue(conv.Equals(FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_3M)); } else { assertTrue(conv.Equals(FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_6M)); } assertTrue(zone.Equals(FRANKFURT)); } if (name.Contains("1100")) { assertTrue(time.Equals(LocalTime.of(11, 0))); } if (name.Contains("1200")) { assertTrue(time.Equals(LocalTime.of(12, 0))); } if (name.Contains("1500")) { assertTrue(time.Equals(LocalTime.of(15, 0))); } assertEquals(index.calculateFixingDateTime(date(2015, 6, 30)), date(2015, 6, 30).atTime(time).atZone(zone)); } }
//------------------------------------------------------------------------- /// <summary> /// Obtains an instance using the tenor. /// </summary> /// <param name="tenor"> the tenor associated with the parameter </param> /// <returns> the parameter metadata based on the tenor </returns> public static TenorParameterMetadata of(Tenor tenor) { ArgChecker.notNull(tenor, "tenor"); return(new TenorParameterMetadata(tenor, tenor.ToString())); }