//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedIborCapFloorLeg test1 = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4).payReceive(RECEIVE).build();
coverImmutableBean(test1);
ResolvedIborCapFloorLeg test2 = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_2, PERIOD_3).payReceive(PAY).build();
coverBeanEquals(test1, test2);
}
// collect the set of indices
private static ImmutableSet <Index> buildIndices(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg)
{
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
builder.add(capFloorLeg.Index);
if (payLeg != null)
{
payLeg.collectIndices(builder);
}
return(builder.build());
}
// collect the set of currencies
private static ImmutableSet <Currency> buildCurrencies(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg)
{
ImmutableSet.Builder <Currency> builder = ImmutableSet.builder();
builder.add(capFloorLeg.Currency);
if (payLeg != null)
{
builder.add(payLeg.Currency);
}
return(builder.build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedIborCapFloor test1 = ResolvedIborCapFloor.of(CAPFLOOR_LEG, PAY_LEG);
coverImmutableBean(test1);
ResolvedIborCapFloorLeg capFloor = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1).payReceive(PAY).build();
ResolvedIborCapFloor test2 = ResolvedIborCapFloor.of(capFloor);
coverBeanEquals(test1, test2);
}
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());
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private ResolvedIborCapFloor(ResolvedIborCapFloorLeg capFloorLeg, com.opengamma.strata.product.swap.ResolvedSwapLeg payLeg)
private ResolvedIborCapFloor(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg)
{
JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg");
if (payLeg != null)
{
ArgChecker.isFalse(payLeg.PayReceive.Equals(capFloorLeg.PayReceive), "Legs must have different Pay/Receive flag, but both were {}", payLeg.PayReceive);
}
this.capFloorLeg = capFloorLeg;
this.payLeg = payLeg;
this.currencies = buildCurrencies(capFloorLeg, payLeg);
this.indices = buildIndices(capFloorLeg, payLeg);
}
public virtual void test_builder()
{
ResolvedIborCapFloorLeg test = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4).payReceive(RECEIVE).build();
assertEquals(test.CapletFloorletPeriods, ImmutableList.of(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4));
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.StartDate, PERIOD_1.StartDate);
assertEquals(test.EndDate, PERIOD_4.EndDate);
assertEquals(test.FinalPeriod, PERIOD_4);
assertEquals(test.FinalFixingDateTime, PERIOD_4.FixingDateTime);
assertEquals(test.Currency, EUR);
assertEquals(test.Index, EUR_EURIBOR_3M);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ResolvedIborCapFloorLeg other = (ResolvedIborCapFloorLeg)obj;
return(JodaBeanUtils.equal(payReceive, other.payReceive) && JodaBeanUtils.equal(capletFloorletPeriods, other.capletFloorletPeriods));
}
return(false);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 2124672084: // capFloorLeg
this.capFloorLeg = (ResolvedIborCapFloorLeg)newValue;
break;
case -995239866: // payLeg
this.payLeg = (ResolvedSwapLeg)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_resolve_floor()
{
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
LocalDate fixingDate = RATE_CALCULATION.FixingDateOffset.adjust(start, REF_DATA);
periods[i] = IborCapletFloorletPeriod.builder().floorlet(STRIKES[i]).currency(GBP).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(-NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, fixingDate, REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(PAY).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
public virtual void test_resolve_cap()
{
IborRateCalculation rateCalc = IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingRelativeTo(FixingRelativeTo.PERIOD_END).fixingDateOffset(EUR_EURIBOR_3M.FixingDateOffset).build();
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(rateCalc).capSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
periods[i] = IborCapletFloorletPeriod.builder().caplet(CAP.InitialValue).currency(EUR).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, rateCalc.FixingDateOffset.adjust(end, REF_DATA), REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(RECEIVE).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
/// <summary>
/// Obtains an instance from a cap/floor leg and a pay leg.
/// </summary>
/// <param name="capFloorLeg"> the cap/floor leg </param>
/// <param name="payLeg"> the pay leg </param>
/// <returns> the cap/floor </returns>
public static ResolvedIborCapFloor of(ResolvedIborCapFloorLeg capFloorLeg, ResolvedSwapLeg payLeg)
{
ArgChecker.notNull(capFloorLeg, "capFloorLeg");
ArgChecker.notNull(payLeg, "payLeg");
return(new ResolvedIborCapFloor(capFloorLeg, payLeg));
}
private readonly ImmutableSet <Index> indices; // not a property, derived and cached from input data
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from a cap/floor leg with no pay leg.
/// <para>
/// The pay leg is absent in the resulting cap/floor.
///
/// </para>
/// </summary>
/// <param name="capFloorLeg"> the cap/floor leg </param>
/// <returns> the cap/floor </returns>
public static ResolvedIborCapFloor of(ResolvedIborCapFloorLeg capFloorLeg)
{
ArgChecker.notNull(capFloorLeg, "capFloorLeg");
return(new ResolvedIborCapFloor(capFloorLeg, null));
}
public virtual void test_serialization()
{
ResolvedIborCapFloorLeg test = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4).payReceive(RECEIVE).build();
assertSerialization(test);
}
