public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3575610: // type
this.type_Renamed = (SwapLegType)newValue;
break;
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case -2129778896: // startDate
this.startDate_Renamed = (AdjustableDate)newValue;
break;
case -1607727319: // endDate
this.endDate_Renamed = (AdjustableDate)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)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(SwapLegAmount beanToCopy)
{
this.amount_Renamed = beanToCopy.Amount;
this.payReceive_Renamed = beanToCopy.PayReceive;
this.type_Renamed = beanToCopy.Type;
this.currency_Renamed = beanToCopy.Currency;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1413853096: // amount
this.amount_Renamed = (CurrencyAmount)newValue;
break;
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case 3575610: // type
this.type_Renamed = (SwapLegType)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case 304659814: // accrualSchedule
this.accrualSchedule_Renamed = (PeriodicSchedule)newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule_Renamed = (PaymentSchedule)newValue;
break;
case 1447860727: // notionalSchedule
this.notionalSchedule_Renamed = (NotionalSchedule)newValue;
break;
case -934682935: // calculation
this.calculation_Renamed = (RateCalculation)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case 304659814: // accrualSchedule
this.accrualSchedule_Renamed = (PeriodicSchedule)newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule_Renamed = (PaymentSchedule)newValue;
break;
case -1413853096: // amount
this.amount_Renamed = (ValueSchedule)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)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(MockSwapLeg beanToCopy)
{
this.type_Renamed = beanToCopy.Type;
this.payReceive_Renamed = beanToCopy.PayReceive;
this.startDate_Renamed = beanToCopy.StartDate;
this.endDate_Renamed = beanToCopy.EndDate;
this.currency_Renamed = beanToCopy.Currency;
}
private MockSwapLeg(SwapLegType type, PayReceive payReceive, AdjustableDate startDate, AdjustableDate endDate, Currency currency)
{
this.type = type;
this.payReceive = payReceive;
this.startDate = startDate;
this.endDate = endDate;
this.currency = currency;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(RateCalculationSwapLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.accrualSchedule_Renamed = beanToCopy.AccrualSchedule;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.notionalSchedule_Renamed = beanToCopy.NotionalSchedule;
this.calculation_Renamed = beanToCopy.Calculation;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(KnownAmountSwapLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.accrualSchedule_Renamed = beanToCopy.AccrualSchedule;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.amount_Renamed = beanToCopy.Amount;
this.currency_Renamed = beanToCopy.Currency;
}
// parse a single leg
private static RateCalculationSwapLeg parseLeg(CsvRow row, string leg, FloatingRateIndex index, DayCount defaultFixedLegDayCount)
{
PayReceive payReceive = LoaderUtils.parsePayReceive(getValue(row, leg, DIRECTION_FIELD));
PeriodicSchedule accrualSch = parseAccrualSchedule(row, leg);
PaymentSchedule paymentSch = parsePaymentSchedule(row, leg, accrualSch.Frequency);
NotionalSchedule notionalSch = parseNotionalSchedule(row, leg);
RateCalculation calc = parseRateCalculation(row, leg, index, defaultFixedLegDayCount, accrualSch.BusinessDayAdjustment, notionalSch.Currency);
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSch).paymentSchedule(paymentSch).notionalSchedule(notionalSch).calculation(calc).build());
}
private BulletPayment(PayReceive payReceive, CurrencyAmount value, AdjustableDate date)
{
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(value, "value");
JodaBeanUtils.notNull(date, "date");
this.payReceive = payReceive;
this.value = value;
this.date = date;
validate();
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(IborCapFloorLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.paymentSchedule_Renamed = beanToCopy.PaymentSchedule;
this.paymentDateOffset_Renamed = beanToCopy.PaymentDateOffset;
this.currency_Renamed = beanToCopy.Currency;
this.notional_Renamed = beanToCopy.Notional;
this.calculation_Renamed = beanToCopy.Calculation;
this.capSchedule_Renamed = beanToCopy.capSchedule;
this.floorSchedule_Renamed = beanToCopy.floorSchedule;
}
private SwapLegAmount(CurrencyAmount amount, PayReceive payReceive, SwapLegType type, Currency currency)
{
JodaBeanUtils.notNull(amount, "amount");
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(type, "type");
JodaBeanUtils.notNull(currency, "currency");
this.amount = amount;
this.payReceive = payReceive;
this.type = type;
this.currency = currency;
}
private RateCalculationSwapLeg(PayReceive payReceive, PeriodicSchedule accrualSchedule, PaymentSchedule paymentSchedule, NotionalSchedule notionalSchedule, RateCalculation calculation)
{
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
JodaBeanUtils.notNull(notionalSchedule, "notionalSchedule");
JodaBeanUtils.notNull(calculation, "calculation");
this.payReceive = payReceive;
this.accrualSchedule = accrualSchedule;
this.paymentSchedule = paymentSchedule;
this.notionalSchedule = notionalSchedule;
this.calculation = calculation;
}
private KnownAmountSwapLeg(PayReceive payReceive, PeriodicSchedule accrualSchedule, PaymentSchedule paymentSchedule, ValueSchedule amount, Currency currency)
{
JodaBeanUtils.notNull(payReceive, "payReceive");
JodaBeanUtils.notNull(accrualSchedule, "accrualSchedule");
JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
JodaBeanUtils.notNull(amount, "amount");
JodaBeanUtils.notNull(currency, "currency");
this.payReceive = payReceive;
this.accrualSchedule = accrualSchedule;
this.paymentSchedule = paymentSchedule;
this.amount = amount;
this.currency = currency;
}
//-------------------------------------------------------------------------
public SwapTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread)
{
Optional <LocalDate> tradeDate = tradeInfo.TradeDate;
if (tradeDate.Present)
{
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
SwapLeg leg1 = spreadLeg.toLeg(startDate, endDate, PayReceive.ofPay(buySell.Buy), notional, spread);
SwapLeg leg2 = flatLeg.toLeg(startDate, endDate, PayReceive.ofPay(buySell.Sell), notional);
return(SwapTrade.builder().info(tradeInfo).product(Swap.of(leg1, leg2)).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private IborCapFloorLeg(com.opengamma.strata.product.common.PayReceive payReceive, com.opengamma.strata.basics.schedule.PeriodicSchedule paymentSchedule, com.opengamma.strata.basics.date.DaysAdjustment paymentDateOffset, com.opengamma.strata.basics.currency.Currency currency, com.opengamma.strata.basics.value.ValueSchedule notional, com.opengamma.strata.product.swap.IborRateCalculation calculation, com.opengamma.strata.basics.value.ValueSchedule capSchedule, com.opengamma.strata.basics.value.ValueSchedule floorSchedule)
private IborCapFloorLeg(PayReceive payReceive, PeriodicSchedule paymentSchedule, DaysAdjustment paymentDateOffset, Currency currency, ValueSchedule notional, IborRateCalculation calculation, ValueSchedule capSchedule, ValueSchedule floorSchedule)
{
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.paymentSchedule = ArgChecker.notNull(paymentSchedule, "paymentSchedule");
this.paymentDateOffset = ArgChecker.notNull(paymentDateOffset, "paymentDateOffset");
this.currency = currency != null ? currency : calculation.Index.Currency;
this.notional = notional;
this.calculation = ArgChecker.notNull(calculation, "calculation");
this.capSchedule = capSchedule;
this.floorSchedule = floorSchedule;
ArgChecker.isTrue(!this.PaymentSchedule.StubConvention.Present || this.PaymentSchedule.StubConvention.get().Equals(StubConvention.NONE), "Stub period is not allowed");
ArgChecker.isFalse(this.CapSchedule.Present == this.FloorSchedule.Present, "One of cap schedule and floor schedule should be empty");
ArgChecker.isTrue(this.Calculation.Index.Tenor.Period.Equals(this.PaymentSchedule.Frequency.Period), "Payment frequency period should be the same as index tenor period");
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private ResolvedCmsLeg(com.opengamma.strata.product.common.PayReceive payReceive, java.util.List<CmsPeriod> cmsPeriods)
private ResolvedCmsLeg(PayReceive payReceive, IList <CmsPeriod> cmsPeriods)
{
this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
this.cmsPeriods = ImmutableList.copyOf(cmsPeriods);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ISet <Currency> currencies = this.cmsPeriods.Select(CmsPeriod::getCurrency).collect(Collectors.toSet());
ArgChecker.isTrue(currencies.Count == 1, "Leg must have a single currency, found: " + currencies);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ISet <SwapIndex> swapIndices = this.cmsPeriods.Select(CmsPeriod::getIndex).collect(Collectors.toSet());
ArgChecker.isTrue(swapIndices.Count == 1, "Leg must have a single swap index: " + swapIndices);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unchecked") @Override public Builder set(String propertyName, Object newValue)
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case 2121598281: // cmsPeriods
this.cmsPeriods_Renamed = (IList <CmsPeriod>)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case -1499086147: // paymentSchedule
this.paymentSchedule_Renamed = (PeriodicSchedule)newValue;
break;
case -716438393: // paymentDateOffset
this.paymentDateOffset_Renamed = (DaysAdjustment)newValue;
break;
case 575402001: // currency
this.currency_Renamed = (Currency)newValue;
break;
case 1585636160: // notional
this.notional_Renamed = (ValueSchedule)newValue;
break;
case -934682935: // calculation
this.calculation_Renamed = (IborRateCalculation)newValue;
break;
case -596212599: // capSchedule
this.capSchedule_Renamed = (ValueSchedule)newValue;
break;
case -1562227005: // floorSchedule
this.floorSchedule_Renamed = (ValueSchedule)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -885469925: // payReceive
this.payReceive_Renamed = (PayReceive)newValue;
break;
case 111972721: // value
this.value_Renamed = (CurrencyAmount)newValue;
break;
case 3076014: // date
this.date_Renamed = (AdjustableDate)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
// parses the swap
internal Swap parseSwap(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement swapEl = tradeEl.getChild("swap");
ImmutableList <XmlElement> legEls = swapEl.getChildren("swapStream");
ImmutableList.Builder <SwapLeg> legsBuilder = ImmutableList.builder();
foreach (XmlElement legEl in legEls)
{
// calculation
XmlElement calcPeriodAmountEl = legEl.getChild("calculationPeriodAmount");
XmlElement calcEl = calcPeriodAmountEl.findChild("calculation").orElse(XmlElement.ofChildren("calculation", ImmutableList.of()));
PeriodicSchedule accrualSchedule = parseSwapAccrualSchedule(legEl, document);
PaymentSchedule paymentSchedule = parseSwapPaymentSchedule(legEl, calcEl, document);
// known amount or rate calculation
Optional <XmlElement> knownAmountOptEl = calcPeriodAmountEl.findChild("knownAmountSchedule");
if (knownAmountOptEl.Present)
{
XmlElement knownAmountEl = knownAmountOptEl.get();
document.validateNotPresent(legEl, "stubCalculationPeriodAmount");
document.validateNotPresent(legEl, "resetDates");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
ValueSchedule amountSchedule = parseSchedule(knownAmountEl, document);
// build
legsBuilder.add(KnownAmountSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).amount(amountSchedule).currency(document.parseCurrency(knownAmountEl.getChild("currency"))).build());
}
else
{
document.validateNotPresent(calcEl, "fxLinkedNotionalSchedule");
document.validateNotPresent(calcEl, "futureValueNotional");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
NotionalSchedule notionalSchedule = parseSwapNotionalSchedule(legEl, calcEl, document);
RateCalculation calculation = parseSwapCalculation(legEl, calcEl, accrualSchedule, document);
// build
legsBuilder.add(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(calculation).build());
}
}
return(Swap.of(legsBuilder.build()));
}
public static MockSwapLeg of(SwapLegType type, PayReceive payReceive, LocalDate startDate, LocalDate endDate, Currency currency)
{
return(new MockSwapLeg(type, payReceive, AdjustableDate.of(startDate), AdjustableDate.of(endDate), currency));
}
// ibor 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());
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets whether the leg is pay or receive.
/// <para>
/// A value of 'Pay' implies that the resulting amount is paid to the counterparty.
/// A value of 'Receive' implies that the resulting amount is received from the counterparty.
/// </para>
/// </summary>
/// <param name="payReceive"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder payReceive(PayReceive payReceive)
{
JodaBeanUtils.notNull(payReceive, "payReceive");
this.payReceive_Renamed = payReceive;
return(this);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates a leg based on this convention.
/// <para>
/// This returns a leg based on the specified date.
/// The notional is unsigned, with pay/receive determining the direction of the leg.
/// If the leg is 'Pay', the fixed rate is paid to the counterparty.
/// If the leg is 'Receive', the fixed rate is received from the counterparty.
///
/// </para>
/// </summary>
/// <param name="startDate"> the start date </param>
/// <param name="endDate"> the end date </param>
/// <param name="payReceive"> determines if the leg is to be paid or received </param>
/// <param name="notional"> the business day adjustment to apply to accrual schedule dates </param>
/// <returns> the leg </returns>
public RateCalculationSwapLeg toLeg(LocalDate startDate, LocalDate endDate, PayReceive payReceive, double notional)
{
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(PeriodicSchedule.builder().startDate(startDate).endDate(endDate).frequency(Frequency.TERM).businessDayAdjustment(accrualBusinessDayAdjustment).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(paymentDateOffset).build()).calculation(InflationRateCalculation.builder().index(index).indexCalculationMethod(indexCalculationMethod).lag(lag).build()).notionalSchedule(NotionalSchedule.of(Currency, notional)).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Gets the first pay or receive leg of the swap.
/// <para>
/// This returns the first pay or receive leg of the swap, empty if no matching leg.
///
/// </para>
/// </summary>
/// <param name="payReceive"> the pay or receive flag </param>
/// <returns> the first matching leg of the swap </returns>
public Optional <SwapLeg> getLeg(PayReceive payReceive)
{
return(legs.Where(leg => leg.PayReceive == payReceive).First());
}
/// <summary>
/// Sets the payReceive. </summary>
/// <param name="payReceive"> the new value </param>
/// <returns> this, for chaining, not null </returns>
public Builder payReceive(PayReceive payReceive)
{
this.payReceive_Renamed = payReceive;
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedCmsLeg beanToCopy)
{
this.payReceive_Renamed = beanToCopy.PayReceive;
this.cmsPeriods_Renamed = beanToCopy.CmsPeriods;
}
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.of(fixedRate, THIRTY_U_360)).build());
}
