public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case 3493088: // rate
this.rate_Renamed = (ValueSchedule)newValue;
break;
case 1233359378: // initialStub
this.initialStub_Renamed = (FixedRateStubCalculation)newValue;
break;
case 355242820: // finalStub
this.finalStub_Renamed = (FixedRateStubCalculation)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(FixedRateCalculation beanToCopy)
{
this.dayCount_Renamed = beanToCopy.DayCount;
this.rate_Renamed = beanToCopy.Rate;
this.initialStub_Renamed = beanToCopy.initialStub;
this.finalStub_Renamed = beanToCopy.finalStub;
}
public ImmutableList <RateAccrualPeriod> createAccrualPeriods(Schedule accrualSchedule, Schedule paymentSchedule, ReferenceData refData)
{
// avoid null stub definitions if there are stubs
FixedRateStubCalculation initialStub = firstNonNull(this.initialStub, FixedRateStubCalculation.NONE);
FixedRateStubCalculation finalStub = firstNonNull(this.finalStub, FixedRateStubCalculation.NONE);
Optional <SchedulePeriod> scheduleInitialStub = accrualSchedule.InitialStub;
Optional <SchedulePeriod> scheduleFinalStub = accrualSchedule.FinalStub;
// resolve data by schedule
DoubleArray resolvedRates = rate.resolveValues(accrualSchedule);
// build accrual periods
ImmutableList.Builder <RateAccrualPeriod> accrualPeriods = ImmutableList.builder();
for (int i = 0; i < accrualSchedule.size(); i++)
{
SchedulePeriod period = accrualSchedule.getPeriod(i);
double yearFraction = period.yearFraction(dayCount, accrualSchedule);
// handle stubs
RateComputation rateComputation;
if (scheduleInitialStub.Present && scheduleInitialStub.get() == period)
{
rateComputation = initialStub.createRateComputation(resolvedRates.get(i));
}
else if (scheduleFinalStub.Present && scheduleFinalStub.get() == period)
{
rateComputation = finalStub.createRateComputation(resolvedRates.get(i));
}
else
{
rateComputation = FixedRateComputation.of(resolvedRates.get(i));
}
accrualPeriods.add(new RateAccrualPeriod(period, yearFraction, rateComputation));
}
return(accrualPeriods.build());
}
private FixedRateCalculation(DayCount dayCount, ValueSchedule rate, FixedRateStubCalculation initialStub, FixedRateStubCalculation finalStub)
{
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(rate, "rate");
this.dayCount = dayCount;
this.rate = rate;
this.initialStub = initialStub;
this.finalStub = finalStub;
}
public virtual void test_ofKnownAmount()
{
FixedRateStubCalculation test = FixedRateStubCalculation.ofKnownAmount(GBP_P1000);
assertEquals(test.FixedRate, double?.empty());
assertEquals(test.KnownAmount, GBP_P1000);
assertEquals(test.FixedRate, false);
assertEquals(test.KnownAmount, true);
}
public virtual void test_builder()
{
FixedRateCalculation test = FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).initialStub(FixedRateStubCalculation.ofFixedRate(0.1d)).finalStub(FixedRateStubCalculation.ofFixedRate(0.2d)).build();
assertEquals(test.Rate, ValueSchedule.of(0.025d));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.InitialStub, FixedRateStubCalculation.ofFixedRate(0.1d));
assertEquals(test.FinalStub, FixedRateStubCalculation.ofFixedRate(0.2d));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedRateStubCalculation test = FixedRateStubCalculation.ofFixedRate(0.025d);
coverImmutableBean(test);
FixedRateStubCalculation test2 = FixedRateStubCalculation.ofKnownAmount(GBP_P1000);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_ofFixedRate()
{
FixedRateStubCalculation test = FixedRateStubCalculation.ofFixedRate(0.025d);
assertEquals(test.FixedRate, double?.of(0.025d));
assertEquals(test.KnownAmount, null);
assertEquals(test.FixedRate, true);
assertEquals(test.KnownAmount, false);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FixedRateStubCalculation other = (FixedRateStubCalculation)obj;
return(JodaBeanUtils.equal(fixedRate, other.fixedRate) && JodaBeanUtils.equal(knownAmount, other.knownAmount));
}
return(false);
}
public virtual void test_resolve_knownAmountStub()
{
// test case
CurrencyAmount knownAmount = CurrencyAmount.of(GBP, 150d);
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_02_03).endDate(DATE_04_03).firstRegularStartDate(DATE_02_05).lastRegularEndDate(DATE_03_05).frequency(P1M).stubConvention(StubConvention.BOTH).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).notionalSchedule(NotionalSchedule.of(GBP, 1000d)).calculation(FixedRateCalculation.builder().dayCount(ACT_365F).rate(ValueSchedule.of(0.025d)).initialStub(FixedRateStubCalculation.ofKnownAmount(knownAmount)).finalStub(FixedRateStubCalculation.ofFixedRate(0.1d)).build()).build();
// expected
KnownAmountNotionalSwapPaymentPeriod pp1 = KnownAmountNotionalSwapPaymentPeriod.builder().payment(Payment.of(knownAmount, DATE_02_07)).startDate(DATE_02_03).endDate(DATE_02_05).unadjustedStartDate(DATE_02_03).notionalAmount(CurrencyAmount.of(GBP, -1000d)).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(FixedRateComputation.of(0.025d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_04_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_03).unadjustedEndDate(DATE_04_03).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_03)).rateComputation(FixedRateComputation.of(0.1d)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(pp1, rpp2, rpp3).build());
}
public virtual void test_serialization()
{
FixedRateStubCalculation test = FixedRateStubCalculation.ofFixedRate(0.025d);
assertSerialization(test);
}
public virtual void test_createRateComputation_knownAmount()
{
FixedRateStubCalculation test = FixedRateStubCalculation.ofKnownAmount(GBP_P1000);
assertEquals(test.createRateComputation(3d), KnownAmountRateComputation.of(GBP_P1000));
}
public virtual void test_createRateComputation_fixedRate()
{
FixedRateStubCalculation test = FixedRateStubCalculation.ofFixedRate(0.025d);
assertEquals(test.createRateComputation(3d), FixedRateComputation.of(0.025d));
}
//-------------------------------------------------------------------------
public virtual void test_createRateComputation_NONE()
{
FixedRateStubCalculation test = FixedRateStubCalculation.NONE;
assertEquals(test.createRateComputation(3d), FixedRateComputation.of(3d));
}
//-------------------------------------------------------------------------
public virtual void test_builder_invalid_fixedAndKnown()
{
assertThrowsIllegalArg(() => FixedRateStubCalculation.meta().builder().set(FixedRateStubCalculation.meta().fixedRate(), 0.025d).set(FixedRateStubCalculation.meta().knownAmount(), GBP_P1000).build());
}
/// <summary>
/// Sets the initial stub, optional.
/// <para>
/// The initial stub of a swap may have a different rate from the regular accrual periods.
/// This property allows the stub rate to be specified, either as a known amount or a rate.
/// If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
/// If this property is present and there is no initial stub, it is ignored.
/// </para>
/// </summary>
/// <param name="initialStub"> the new value </param>
/// <returns> this, for chaining, not null </returns>
public Builder initialStub(FixedRateStubCalculation initialStub)
{
this.initialStub_Renamed = initialStub;
return(this);
}
/// <summary>
/// Sets the final stub, optional.
/// <para>
/// The final stub of a swap may have a different rate from the regular accrual periods.
/// This property allows the stub rate to be specified, either as a known amount or a rate.
/// If this property is not present, then the rate derived from the {@code rate} property applies during the stub.
/// If this property is present and there is no initial stub, it is ignored.
/// </para>
/// </summary>
/// <param name="finalStub"> the new value </param>
/// <returns> this, for chaining, not null </returns>
public Builder finalStub(FixedRateStubCalculation finalStub)
{
this.finalStub_Renamed = finalStub;
return(this);
}