/// <summary>
/// Create a pay leg.
/// <para>
/// The pay leg created is periodic fixed rate payments without compounding.
/// The Ibor index is used to specify the payment frequency.
///
/// </para>
/// </summary>
/// <param name="index"> the Ibor index </param>
/// <param name="startDate"> the start date </param>
/// <param name="endDate"> the end date </param>
/// <param name="fixedRate"> the fixed rate </param>
/// <param name="notional"> the notional </param>
/// <param name="payRec"> pay or receive </param>
/// <returns> the instance </returns>
public static SwapLeg createFixedPayLegUnresolved(IborIndex index, LocalDate startDate, LocalDate endDate, double fixedRate, double notional, PayReceive payRec)
{
Frequency frequency = Frequency.of(index.Tenor.Period);
PeriodicSchedule accSchedule = PeriodicSchedule.of(startDate, endDate, frequency, BUSINESS_ADJ, StubConvention.NONE, RollConventions.NONE);
return(RateCalculationSwapLeg.builder().payReceive(payRec).accrualSchedule(accSchedule).calculation(FixedRateCalculation.of(fixedRate, ACT_360)).paymentSchedule(PaymentSchedule.builder().paymentFrequency(frequency).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(CurrencyAmount.of(EUR, notional))).build());
}
internal static Dsf sut2()
{
SwapLeg iborLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P1M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(1d)).finalExchange(true).initialExchange(true).build()).calculation(IborRateCalculation.builder().index(INDEX).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, SAT_SUN, BDA_P)).build()).build();
Swap swap2 = Swap.of(SWAP.getLeg(RECEIVE).get(), iborLeg);
return(Dsf.builder().securityId(SECURITY_ID2).notional(20000L).deliveryDate(LocalDate.of(2014, 9, 5)).lastTradeDate(LocalDate.of(2014, 9, 2)).underlyingSwap(swap2).build());
}
// fixed rate leg
private static SwapLeg iborLeg(LocalDate start, LocalDate end, IborIndex index, PayReceive payReceive, NotionalSchedule notional, StubConvention stubConvention)
{
Frequency freq = Frequency.of(index.Tenor.Period);
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(PeriodicSchedule.builder().startDate(start).endDate(end).frequency(freq).businessDayAdjustment(BDA_MF).stubConvention(stubConvention).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(freq).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(index).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, index.FixingCalendar, BDA_P)).build()).build());
}
public virtual void test_builder_notUnitNotional()
{
SwapLeg fixedLeg10 = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P6M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(USD, 10d)).calculation(FixedRateCalculation.builder().dayCount(THIRTY_U_360).rate(ValueSchedule.of(0.015)).build()).build();
SwapLeg knownAmountLeg = KnownAmountSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P6M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P6M).paymentDateOffset(DaysAdjustment.NONE).build()).amount(ValueSchedule.of(0.015)).currency(USD).build();
SwapLeg iborLeg500 = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(P1M).businessDayAdjustment(BDA_MF).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(USD).amount(ValueSchedule.of(500d)).finalExchange(true).initialExchange(true).build()).calculation(IborRateCalculation.builder().index(INDEX).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, SAT_SUN, BDA_P)).build()).build();
Swap swap1 = Swap.of(fixedLeg10, SWAP.getLeg(PAY).get());
Swap swap2 = Swap.of(SWAP.getLeg(RECEIVE).get(), iborLeg500);
Swap swap3 = Swap.of(knownAmountLeg, SWAP.getLeg(PAY).get());
assertThrowsIllegalArg(() => Dsf.builder().securityId(SECURITY_ID).notional(NOTIONAL).deliveryDate(DELIVERY_DATE).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap1).build());
assertThrowsIllegalArg(() => Dsf.builder().securityId(SECURITY_ID).notional(NOTIONAL).deliveryDate(DELIVERY_DATE).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap2).build());
// should succeed normally (no notional to validate on known amount leg)
Dsf.builder().securityId(SECURITY_ID).notional(NOTIONAL).deliveryDate(DELIVERY_DATE).lastTradeDate(LAST_TRADE_DATE).underlyingSwap(swap3).build();
}
// fixed rate leg
private static SwapLeg fixedLeg(LocalDate start, LocalDate end, Frequency frequency, PayReceive payReceive, NotionalSchedule notional, double fixedRate, StubConvention stubConvention)
{
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(PeriodicSchedule.builder().startDate(start).endDate(end).frequency(frequency).businessDayAdjustment(BDA_MF).stubConvention(stubConvention).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(frequency).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.builder().dayCount(THIRTY_U_360).rate(ValueSchedule.of(fixedRate)).build()).build());
}