//-------------------------------------------------------------------------
public virtual void test_builder()
{
ResolvedIborFuture test = sut();
assertEquals(test.Currency, PRODUCT.Currency);
assertEquals(test.Notional, PRODUCT.Notional);
assertEquals(test.AccrualFactor, PRODUCT.AccrualFactor);
assertEquals(test.LastTradeDate, PRODUCT.LastTradeDate);
assertEquals(test.Index, PRODUCT.Index);
assertEquals(test.Rounding, PRODUCT.Rounding);
assertEquals(test.IborRate, IborRateComputation.of(PRODUCT.Index, PRODUCT.LastTradeDate, REF_DATA));
}
public virtual void test_builder_defaults()
{
ResolvedIborFuture test = ResolvedIborFuture.builder().securityId(SECURITY_ID).currency(GBP).notional(NOTIONAL).iborRate(IborRateComputation.of(GBP_LIBOR_2M, LAST_TRADE_DATE, REF_DATA)).build();
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.AccrualFactor, ACCRUAL_FACTOR_2M);
assertEquals(test.LastTradeDate, LAST_TRADE_DATE);
assertEquals(test.Index, GBP_LIBOR_2M);
assertEquals(test.Rounding, Rounding.none());
assertEquals(test.IborRate, IborRateComputation.of(GBP_LIBOR_2M, LAST_TRADE_DATE, REF_DATA));
}
//-------------------------------------------------------------------------
public virtual void test_resolve_Ibor()
{
Fra fra = Fra.builder().buySell(BUY).notional(NOTIONAL_1M).startDate(date(2015, 6, 15)).endDate(date(2015, 9, 15)).paymentDate(AdjustableDate.of(date(2015, 6, 20), BDA_MOD_FOLLOW)).fixedRate(FIXED_RATE).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).build();
ResolvedFra test = fra.resolve(REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL_1M, 0d);
assertEquals(test.StartDate, date(2015, 6, 15));
assertEquals(test.EndDate, date(2015, 9, 15));
assertEquals(test.PaymentDate, date(2015, 6, 22));
assertEquals(test.FixedRate, FIXED_RATE, 0d);
assertEquals(test.FloatingRate, IborRateComputation.of(GBP_LIBOR_3M, date(2015, 6, 11), REF_DATA));
assertEquals(test.YearFraction, ACT_365F.yearFraction(date(2015, 6, 15), date(2015, 9, 15)), 0d);
assertEquals(test.Discounting, ISDA);
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
ResolvedFra test = sut();
assertEquals(test.PaymentDate, date(2015, 6, 16));
assertEquals(test.StartDate, date(2015, 6, 15));
assertEquals(test.EndDate, date(2015, 9, 15));
assertEquals(test.YearFraction, 0.25d, 0d);
assertEquals(test.FixedRate, 0.25d, 0d);
assertEquals(test.FloatingRate, IborRateComputation.of(GBP_LIBOR_3M, date(2015, 6, 12), REF_DATA));
assertEquals(test.Currency, GBP);
assertEquals(test.Notional, NOTIONAL_1M, 0d);
assertEquals(test.Discounting, ISDA);
assertEquals(test.allIndices(), ImmutableSet.of(GBP_LIBOR_3M));
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
IborFixingDeposit @base = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
ResolvedIborFixingDeposit test = @base.resolve(REF_DATA);
LocalDate expectedEndDate = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA);
double expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate);
IborRateComputation expectedObservation = IborRateComputation.of(GBP_LIBOR_6M, GBP_LIBOR_6M.FixingDateOffset.adjust(START_DATE, REF_DATA), REF_DATA);
assertEquals(test.Currency, GBP);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, expectedEndDate);
assertEquals(test.FloatingRate, expectedObservation);
assertEquals(test.Notional, -NOTIONAL);
assertEquals(test.FixedRate, RATE);
assertEquals(test.YearFraction, expectedYearFraction);
}
public virtual void test_builder_datesInOrder()
{
assertThrowsIllegalArg(() => ResolvedFra.builder().notional(NOTIONAL_1M).paymentDate(date(2015, 6, 15)).startDate(date(2015, 6, 15)).endDate(date(2015, 6, 14)).fixedRate(0.25d).floatingRate(IborRateComputation.of(GBP_LIBOR_3M, date(2015, 6, 12), REF_DATA)).build());
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
IborFuture test = sut();
ResolvedIborFuture expected = ResolvedIborFuture.builder().securityId(SECURITY_ID).currency(USD).notional(NOTIONAL).accrualFactor(ACCRUAL_FACTOR).iborRate(IborRateComputation.of(USD_LIBOR_3M, LAST_TRADE_DATE, REF_DATA)).rounding(ROUNDING).build();
assertEquals(test.resolve(REF_DATA), expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedIborFixingDeposit test1 = ResolvedIborFixingDeposit.builder().currency(GBP).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).yearFraction(YEAR_FRACTION).floatingRate(RATE_COMP).fixedRate(RATE).build();
coverImmutableBean(test1);
ResolvedIborFixingDeposit test2 = ResolvedIborFixingDeposit.builder().currency(GBP).notional(-100000000d).startDate(START_DATE).endDate(LocalDate.of(2015, 4, 20)).yearFraction(0.25).floatingRate(IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA)).fixedRate(0.0375).build();
coverBeanEquals(test1, test2);
}
internal static IborCapletFloorletPeriod sut2()
{
return(IborCapletFloorletPeriod.builder().notional(-NOTIONAL).startDate(START.plusDays(1)).endDate(END.plusDays(1)).floorlet(STRIKE).iborRate(IborRateComputation.of(USD_LIBOR_6M, LocalDate.of(2013, 2, 15), REF_DATA)).build());
}
//-------------------------------------------------------------------------
public virtual void test_createRateComputation_NONE()
{
IborRateStubCalculation test = IborRateStubCalculation.NONE;
assertEquals(test.createRateComputation(DATE, GBP_LIBOR_3M, REF_DATA), IborRateComputation.of(GBP_LIBOR_3M, DATE, REF_DATA));
}
public virtual void test_builder_noCurrency()
{
ResolvedIborFuture test = ResolvedIborFuture.builder().securityId(SECURITY_ID).notional(NOTIONAL).iborRate(IborRateComputation.of(GBP_LIBOR_2M, LAST_TRADE_DATE, REF_DATA)).rounding(ROUNDING).build();
assertEquals(GBP, test.Currency);
}
//-------------------------------------------------------------------------
internal static ResolvedFra sut()
{
return(ResolvedFra.builder().paymentDate(date(2015, 6, 16)).startDate(date(2015, 6, 15)).endDate(date(2015, 9, 15)).yearFraction(0.25d).fixedRate(0.25d).floatingRate(IborRateComputation.of(GBP_LIBOR_3M, date(2015, 6, 12), REF_DATA)).currency(GBP).notional(NOTIONAL_1M).discounting(ISDA).build());
}
public virtual void test_builder_fail()
{
// two currencies
IborCapletFloorletPeriod periodGbp = IborCapletFloorletPeriod.builder().caplet(STRIKE).notional(NOTIONAL).currency(GBP).startDate(LocalDate.of(2011, 6, 17)).endDate(LocalDate.of(2011, 9, 19)).unadjustedStartDate(LocalDate.of(2011, 6, 17)).unadjustedEndDate(LocalDate.of(2011, 9, 17)).paymentDate(LocalDate.of(2011, 9, 21)).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA)).yearFraction(0.2611).build();
assertThrowsIllegalArg(() => ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, periodGbp).payReceive(RECEIVE).build());
// two indices
IborCapletFloorletPeriod periodLibor = IborCapletFloorletPeriod.builder().caplet(STRIKE).notional(NOTIONAL).currency(EUR).startDate(LocalDate.of(2011, 6, 17)).endDate(LocalDate.of(2011, 9, 19)).unadjustedStartDate(LocalDate.of(2011, 6, 17)).unadjustedEndDate(LocalDate.of(2011, 9, 17)).paymentDate(LocalDate.of(2011, 9, 21)).iborRate(IborRateComputation.of(GBP_LIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA)).yearFraction(0.2611).build();
assertThrowsIllegalArg(() => ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, periodLibor).payReceive(RECEIVE).build());
}
//-------------------------------------------------------------------------
public virtual void test_expand_gearingSpreadEverythingElse()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_THREE_DAYS).fixingRelativeTo(PERIOD_END).negativeRateMethod(NOT_NEGATIVE).gearing(ValueSchedule.of(1d, ValueStep.of(2, ValueAdjustment.ofReplace(2d)))).spread(ValueSchedule.of(0d, ValueStep.of(1, ValueAdjustment.ofReplace(-0.025d)))).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_01_31, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_02_28, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).spread(-0.025d).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_04_02, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).gearing(2d).spread(-0.025d).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_firstRateFixedInitialStubSpecified()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_1W)).firstRate(0.024d).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1W, DATE_01_06, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_firstRegularRateFixedTwoStubs()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).firstRegularRate(0.028d).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(FixedRateComputation.of(0.028d)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB).yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
//-------------------------------------------------------------------------
public virtual void test_expand_firstFixingDateOffsetNoStub()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).firstFixingDateOffset(MINUS_ONE_DAY).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_03, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_stubCalcsTwoStubs_interpolated()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)).finalStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, GBP_LIBOR_1M)).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB).yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1M, GBP_LIBOR_3M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
internal static ResolvedFra sut2()
{
return(ResolvedFra.builder().paymentDate(date(2015, 6, 17)).startDate(date(2015, 6, 16)).endDate(date(2015, 9, 16)).yearFraction(0.26d).fixedRate(0.27d).floatingRate(IborRateComputation.of(GBP_LIBOR_2M, date(2015, 6, 12), REF_DATA)).currency(USD).notional(NOTIONAL_2M).discounting(FraDiscountingMethod.NONE).build());
}
public virtual void test_resolve_twoAccrualsPerPayment_iborRate_varyingNotional_notionalExchange()
{
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_06_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P2M).paymentDateOffset(PLUS_TWO_DAYS).compoundingMethod(STRAIGHT).build()).notionalSchedule(NotionalSchedule.builder().currency(GBP).amount(ValueSchedule.of(1000d, ValueStep.of(1, ValueAdjustment.ofReplace(1500d)))).initialExchange(true).intermediateExchange(true).finalExchange(true).build()).calculation(IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).build()).build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder().paymentDate(DATE_03_07).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).yearFraction(ACT_365F.yearFraction(DATE_01_06, DATE_02_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_02, REF_DATA)).build(), RateAccrualPeriod.builder().startDate(DATE_02_05).endDate(DATE_03_05).yearFraction(ACT_365F.yearFraction(DATE_02_05, DATE_03_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1000d).compoundingMethod(STRAIGHT).build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder().paymentDate(DATE_05_08).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).yearFraction(ACT_365F.yearFraction(DATE_03_05, DATE_04_07)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build(), RateAccrualPeriod.builder().startDate(DATE_04_07).endDate(DATE_05_06).unadjustedStartDate(DATE_04_05).unadjustedEndDate(DATE_05_05).yearFraction(ACT_365F.yearFraction(DATE_04_07, DATE_05_06)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_04_03, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1500d).compoundingMethod(STRAIGHT).build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder().paymentDate(DATE_06_09).accrualPeriods(RateAccrualPeriod.builder().startDate(DATE_05_06).endDate(DATE_06_05).unadjustedStartDate(DATE_05_05).yearFraction(ACT_365F.yearFraction(DATE_05_06, DATE_06_05)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_05_01, REF_DATA)).build()).dayCount(ACT_365F).currency(GBP).notional(-1500d).compoundingMethod(STRAIGHT).build();
// events (only one intermediate exchange)
NotionalExchange nexInitial = NotionalExchange.of(CurrencyAmount.of(GBP, 1000d), DATE_01_06);
NotionalExchange nexIntermediate = NotionalExchange.of(CurrencyAmount.of(GBP, 500d), DATE_03_07);
NotionalExchange nexFinal = NotionalExchange.of(CurrencyAmount.of(GBP, -1500d), DATE_06_09);
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(IBOR).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).paymentEvents(nexInitial, nexIntermediate, nexFinal).build());
}