// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
FraTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
ResolvedFra resolvedFra = trade.Product.resolve(refData);
return(((IborRateComputation)resolvedFra.FloatingRate).FixingDate);
}
// calculate the end date
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData)
{
FraTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
ResolvedFra resolvedFra = trade.Product.resolve(refData);
return(resolvedFra.EndDate);
}
private static Trade trade(string counterparty, double notional)
{
TradeInfo tradeInfo = TradeInfo.builder().counterparty(StandardId.of("cpty", counterparty)).build();
Fra fra = Fra.builder().buySell(BUY).notional(notional).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).paymentDate(AdjustableDate.of(date(2015, 8, 7))).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
return(FraTrade.builder().info(tradeInfo).product(fra).build());
}
public virtual void test_createTrade_periods_adjust_payOffset()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).paymentDateOffset(PLUS_TWO_DAYS).build();
LocalDate tradeDate = LocalDate.of(2016, 8, 11);
FraTrade test = @base.createTrade(tradeDate, Period.ofMonths(1), Period.ofMonths(4), BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2016, 9, 12)).endDate(date(2016, 12, 12)).paymentDate(AdjustableDate.of(date(2016, 9, 14), PLUS_TWO_DAYS.Adjustment)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade_periods()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).build();
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
FraTrade test = @base.createTrade(tradeDate, Period.ofMonths(3), Period.ofMonths(6), BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
FraTemplate @base = FraTemplate.of(Period.ofMonths(3), Period.ofMonths(6), FRA_GBP_LIBOR_3M);
LocalDate tradeDate = LocalDate.of(2015, 5, 4); // trade date is a holiday!
FraTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_createTrade_paymentOffset()
{
FraConvention convention = ((ImmutableFraConvention)FRA_GBP_LIBOR_3M).toBuilder().paymentDateOffset(PLUS_TWO_DAYS).build();
FraTemplate @base = FraTemplate.of(Period.ofMonths(3), Period.ofMonths(6), convention);
LocalDate tradeDate = LocalDate.of(2015, 5, 4); // trade date is a holiday!
FraTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).paymentDate(AdjustableDate.of(date(2015, 8, 7), PLUS_TWO_DAYS.Adjustment)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_toTrade_dates_paymentOffset()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).paymentDateOffset(PLUS_TWO_DAYS).build();
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 5);
LocalDate endDate = date(2015, 11, 5);
LocalDate paymentDate = date(2015, 8, 7);
FraTrade test = @base.toTrade(tradeDate, startDate, endDate, paymentDate, BUY, NOTIONAL_2M, 0.25d);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).paymentDate(AdjustableDate.of(paymentDate, PLUS_TWO_DAYS.Adjustment)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_metadata_last_fixing()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, 0.0d).build();
FraTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedFra resolved = trade.Product.resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation)(resolved.FloatingRate)).FixingDate;
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_5M);
}
public virtual void test_trade()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
FraTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = BDA_MOD_FOLLOW.adjust(OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_START), REF_DATA);
LocalDate endDateExpected = BDA_MOD_FOLLOW.adjust(OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_END), REF_DATA);
Fra productExpected = Fra.builder().buySell(BuySell.SELL).currency(GBP).dayCount(ACT_365F).startDate(startDateExpected).endDate(endDateExpected).paymentDate(AdjustableDate.of(startDateExpected)).notional(1.0d).index(GBP_LIBOR_3M).fixedRate(rate + SPREAD).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(valuationDate).build();
assertEquals(trade.Product, productExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'buyerPartyReference'
// 'sellerPartyReference'
// 'adjustedTerminationDate'
// 'paymentDate'
// 'fixingDateOffset'
// 'dayCountFraction'
// 'notional'
// 'fixedRate'
// 'floatingRateIndex'
// 'indexTenor+'
// 'fraDiscounting'
// ignored elements:
// 'Product.model?'
// 'buyerAccountReference?'
// 'sellerAccountReference?'
// 'calculationPeriodNumberOfDays'
// 'additionalPayment*'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement fraEl = tradeEl.getChild("fra");
Fra.Builder fraBuilder = Fra.builder();
// buy/sell and counterparty
fraBuilder.buySell(document.parseBuyerSeller(fraEl, tradeInfoBuilder));
// start date
fraBuilder.startDate(document.parseDate(fraEl.getChild("adjustedEffectiveDate")));
// end date
fraBuilder.endDate(document.parseDate(fraEl.getChild("adjustedTerminationDate")));
// payment date
fraBuilder.paymentDate(document.parseAdjustableDate(fraEl.getChild("paymentDate")));
// fixing offset
fraBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(fraEl.getChild("fixingDateOffset")));
// dateRelativeTo required to refer to adjustedEffectiveDate, so ignored here
// day count
fraBuilder.dayCount(document.parseDayCountFraction(fraEl.getChild("dayCountFraction")));
// notional
CurrencyAmount notional = document.parseCurrencyAmount(fraEl.getChild("notional"));
fraBuilder.currency(notional.Currency);
fraBuilder.notional(notional.Amount);
// fixed rate
fraBuilder.fixedRate(document.parseDecimal(fraEl.getChild("fixedRate")));
// index
IList <Index> indexes = document.parseIndexes(fraEl);
switch (indexes.Count)
{
case 1:
fraBuilder.index((IborIndex)indexes[0]);
break;
case 2:
fraBuilder.index((IborIndex)indexes[0]);
fraBuilder.indexInterpolated((IborIndex)indexes[1]);
break;
default:
throw new FpmlParseException("Expected one or two indexes, but found " + indexes.Count);
}
// discounting
fraBuilder.discounting(FraDiscountingMethod.of(fraEl.getChild("fraDiscounting").Content));
return(FraTrade.builder().info(tradeInfoBuilder.build()).product(fraBuilder.build()).build());
}
//-----------------------------------------------------------------------
// create a FRA trade
private static Trade createTrade1()
{
Fra fra = Fra.builder().buySell(BuySell.SELL).index(IborIndices.USD_LIBOR_3M).startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2014, 12, 12)).fixedRate(0.0125).notional(10_000_000).build();
return(FraTrade.builder().product(fra).info(TradeInfo.builder().id(StandardId.of("example", "1")).addAttribute(AttributeType.DESCRIPTION, "0x3 FRA").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 14)).build()).build());
}
