public virtual void test_cashFlowEquivalentAndSensitivity_compounding()
{
RatePaymentPeriod iborCmp = RatePaymentPeriod.builder().paymentDate(PAYMENT2).accrualPeriods(IBOR1, IBOR2).dayCount(ACT_365F).currency(GBP).notional(-NOTIONAL).build();
ResolvedSwapLeg iborLegCmp = ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(iborCmp).build();
ResolvedSwap swap1 = ResolvedSwap.of(iborLegCmp, FIXED_LEG);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap1, PROVIDER));
RatePaymentPeriod fixedCmp = RatePaymentPeriod.builder().paymentDate(PAYMENT2).accrualPeriods(FIXED1, FIXED2).dayCount(ACT_365F).currency(GBP).notional(NOTIONAL).build();
ResolvedSwapLeg fixedLegCmp = ResolvedSwapLeg.builder().type(FIXED).payReceive(RECEIVE).paymentPeriods(fixedCmp).build();
ResolvedSwap swap2 = ResolvedSwap.of(IBOR_LEG, fixedLegCmp);
assertThrowsIllegalArg(() => CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap2, PROVIDER));
}
public virtual void test_of()
{
SwapPaymentPeriod pp = mock(typeof(SwapPaymentPeriod));
when(pp.Currency).thenReturn(Currency.GBP);
ResolvedSwapLeg leg = ResolvedSwapLeg.builder().type(SwapLegType.FIXED).payReceive(PayReceive.PAY).paymentPeriods(pp).build();
SwapLegAmount legAmount = SwapLegAmount.of(leg, CurrencyAmount.of(Currency.GBP, 10));
SwapLegAmount test = legAmount.convertedTo(Currency.USD, FxRate.of(Currency.GBP, Currency.USD, 1.6));
assertThat(test.Amount.Currency).isEqualTo(Currency.USD);
assertThat(test.Amount.Amount).isEqualTo(16.0);
assertThat(test.PayReceive).isEqualTo(legAmount.PayReceive);
assertThat(test.Type).isEqualTo(legAmount.Type);
assertThat(test.Currency).isEqualTo(legAmount.Currency);
}
public virtual void test_cashFlowEquivalent()
{
ResolvedSwap swap = ResolvedSwap.of(IBOR_LEG, FIXED_LEG);
ResolvedSwapLeg computed = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, PROVIDER);
ResolvedSwapLeg computedIborLeg = CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG, PROVIDER);
ResolvedSwapLeg computedFixedLeg = CashFlowEquivalentCalculator.cashFlowEquivalentFixedLeg(FIXED_LEG, PROVIDER);
assertEquals(computedFixedLeg.PaymentEvents, computed.PaymentEvents.subList(0, 2));
assertEquals(computedIborLeg.PaymentEvents, computed.PaymentEvents.subList(2, 6));
// expected payments from fixed leg
NotionalExchange fixedPayment1 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC1), PAYMENT1);
NotionalExchange fixedPayment2 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC2), PAYMENT2);
// expected payments from ibor leg
LocalDate fixingSTART1 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING1, REF_DATA);
double fixedYearFraction1 = GBP_LIBOR_3M.DayCount.relativeYearFraction(fixingSTART1, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART1, REF_DATA));
double beta1 = (1d + fixedYearFraction1 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP1.Observation)) * PROVIDER.discountFactor(GBP, PAYMENT1) / PROVIDER.discountFactor(GBP, fixingSTART1);
NotionalExchange iborPayment11 = NotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL * beta1 * PAY_YC1 / fixedYearFraction1), fixingSTART1);
NotionalExchange iborPayment12 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * PAY_YC1 / fixedYearFraction1), PAYMENT1);
LocalDate fixingSTART2 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING2, REF_DATA);
double fixedYearFraction2 = GBP_LIBOR_3M.DayCount.relativeYearFraction(fixingSTART2, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART2, REF_DATA));
double beta2 = (1d + fixedYearFraction2 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP2.Observation)) * PROVIDER.discountFactor(GBP, PAYMENT2) / PROVIDER.discountFactor(GBP, fixingSTART2);
NotionalExchange iborPayment21 = NotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL * beta2 * PAY_YC2 / fixedYearFraction2), fixingSTART2);
NotionalExchange iborPayment22 = NotionalExchange.of(CurrencyAmount.of(GBP, NOTIONAL * PAY_YC2 / fixedYearFraction2), PAYMENT2);
ResolvedSwapLeg expected = ResolvedSwapLeg.builder().type(OTHER).payReceive(RECEIVE).paymentEvents(fixedPayment1, fixedPayment2, iborPayment11, iborPayment12, iborPayment21, iborPayment22).build();
double eps = 1.0e-12;
assertEquals(computed.PaymentEvents.size(), expected.PaymentEvents.size());
for (int i = 0; i < 6; ++i)
{
NotionalExchange payCmp = (NotionalExchange)computed.PaymentEvents.get(i);
NotionalExchange payExp = (NotionalExchange)expected.PaymentEvents.get(i);
assertEquals(payCmp.Currency, payExp.Currency);
assertEquals(payCmp.PaymentDate, payExp.PaymentDate);
assertTrue(DoubleMath.fuzzyEquals(payCmp.PaymentAmount.Amount, payExp.PaymentAmount.Amount, NOTIONAL * eps));
}
}
