private ResolvedCms(ResolvedCmsLeg cmsLeg, ResolvedSwapLeg payLeg)
{
JodaBeanUtils.notNull(cmsLeg, "cmsLeg");
this.cmsLeg = cmsLeg;
this.payLeg = payLeg;
validate();
}
public virtual void test_builder_multiCurrencyIndex()
{
CmsPeriod period3 = CmsPeriodTest.sut2();
assertThrowsIllegalArg(() => ResolvedCmsLeg.builder().payReceive(RECEIVE).cmsPeriods(PERIOD_1, period3).build());
CmsPeriod period4 = CmsPeriodTest.sutCoupon();
assertThrowsIllegalArg(() => ResolvedCmsLeg.builder().payReceive(RECEIVE).cmsPeriods(PERIOD_1, period4).build());
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ResolvedCmsLeg other = (ResolvedCmsLeg)obj;
return(JodaBeanUtils.equal(payReceive, other.payReceive) && JodaBeanUtils.equal(cmsPeriods, other.cmsPeriods));
}
return(false);
}
public virtual void test_resolve()
{
CmsLeg baseFloor = CmsLeg.builder().floorSchedule(FLOOR).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).build();
ResolvedCmsLeg resolvedFloor = baseFloor.resolve(REF_DATA);
LocalDate end1 = LocalDate.of(2016, 10, 21);
LocalDate fixing1 = EUR_EURIBOR_6M.calculateFixingFromEffective(START, REF_DATA);
LocalDate fixing2 = EUR_EURIBOR_6M.calculateFixingFromEffective(end1, REF_DATA);
LocalDate fixing3 = EUR_EURIBOR_6M.calculateFixingFromEffective(END, REF_DATA);
LocalDate endDate = SCHEDULE_EUR.calculatedEndDate().adjusted(REF_DATA);
CmsPeriod period1 = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.InitialValue).notional(-NOTIONAL.InitialValue).index(INDEX).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing1).paymentDate(end1).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing1)).build();
CmsPeriod period2 = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.Steps[0].Value.ModifyingValue).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing2).paymentDate(endDate).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
assertEquals(resolvedFloor.Currency, EUR);
assertEquals(resolvedFloor.StartDate, baseFloor.StartDate.adjusted(REF_DATA));
assertEquals(resolvedFloor.EndDate, baseFloor.EndDate.adjusted(REF_DATA));
assertEquals(resolvedFloor.Index, INDEX);
assertEquals(resolvedFloor.PayReceive, PAY);
assertEquals(resolvedFloor.CmsPeriods.size(), 2);
assertEquals(resolvedFloor.CmsPeriods.get(0), period1);
assertEquals(resolvedFloor.CmsPeriods.get(1), period2);
CmsLeg baseFloorEnd = CmsLeg.builder().floorSchedule(FLOOR).fixingRelativeTo(FixingRelativeTo.PERIOD_END).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).build();
ResolvedCmsLeg resolvedFloorEnd = baseFloorEnd.resolve(REF_DATA);
CmsPeriod period1End = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.InitialValue).notional(-NOTIONAL.InitialValue).index(INDEX).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing2).paymentDate(end1).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
CmsPeriod period2End = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.Steps[0].Value.ModifyingValue).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing3).paymentDate(endDate).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing3)).build();
assertEquals(resolvedFloorEnd.Currency, EUR);
assertEquals(resolvedFloorEnd.StartDate, baseFloor.StartDate.adjusted(REF_DATA));
assertEquals(resolvedFloorEnd.EndDate, baseFloor.EndDate.adjusted(REF_DATA));
assertEquals(resolvedFloorEnd.Index, INDEX);
assertEquals(resolvedFloorEnd.PayReceive, PAY);
assertEquals(resolvedFloorEnd.CmsPeriods.size(), 2);
assertEquals(resolvedFloorEnd.CmsPeriods.get(0), period1End);
assertEquals(resolvedFloorEnd.CmsPeriods.get(1), period2End);
CmsLeg baseCap = CmsLeg.builder().index(INDEX).capSchedule(CAP).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).paymentDateOffset(PAYMENT_OFFSET).build();
ResolvedCmsLeg resolvedCap = baseCap.resolve(REF_DATA);
CmsPeriod periodCap1 = CmsPeriod.builder().currency(EUR).notional(-NOTIONAL.InitialValue).index(INDEX).caplet(CAP.InitialValue).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing1).paymentDate(PAYMENT_OFFSET.adjust(end1, REF_DATA)).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing1)).build();
CmsPeriod periodCap2 = CmsPeriod.builder().currency(EUR).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).caplet(CAP.InitialValue).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing2).paymentDate(PAYMENT_OFFSET.adjust(endDate, REF_DATA)).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
assertEquals(resolvedCap.Currency, EUR);
assertEquals(resolvedCap.StartDate, baseCap.StartDate.adjusted(REF_DATA));
assertEquals(resolvedCap.EndDate, baseCap.EndDate.adjusted(REF_DATA));
assertEquals(resolvedCap.Index, INDEX);
assertEquals(resolvedCap.PayReceive, PAY);
assertEquals(resolvedCap.CmsPeriods.size(), 2);
assertEquals(resolvedCap.CmsPeriods.get(0), periodCap1);
assertEquals(resolvedCap.CmsPeriods.get(1), periodCap2);
}
public virtual void test_builder()
{
ResolvedCmsLeg test = sut();
assertEquals(test.CmsPeriods.size(), 2);
assertEquals(test.CmsPeriods.get(0), PERIOD_1);
assertEquals(test.CmsPeriods.get(1), PERIOD_2);
assertEquals(test.Currency, EUR);
assertEquals(test.StartDate, PERIOD_1.StartDate);
assertEquals(test.EndDate, PERIOD_2.EndDate);
assertEquals(test.Index, PERIOD_1.Index);
assertEquals(test.UnderlyingIndex, PERIOD_1.Index.Template.Convention.FloatingLeg.Index);
assertEquals(test.PayReceive, RECEIVE);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1356515323: // cmsLeg
this.cmsLeg = (ResolvedCmsLeg)newValue;
break;
case -995239866: // payLeg
this.payLeg = (ResolvedSwapLeg)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Obtains an instance from a CMS leg and a pay leg.
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="payLeg"> the pay leg </param>
/// <returns> the CMS </returns>
public static ResolvedCms of(ResolvedCmsLeg cmsLeg, ResolvedSwapLeg payLeg)
{
ArgChecker.notNull(cmsLeg, "cmsLeg");
ArgChecker.notNull(payLeg, "payLeg");
return(new ResolvedCms(cmsLeg, payLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from a CMS leg with no pay leg.
/// <para>
/// The pay leg is absent in the resulting CMS.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <returns> the CMS </returns>
public static ResolvedCms of(ResolvedCmsLeg cmsLeg)
{
return(new ResolvedCms(cmsLeg, null));
}
internal static ResolvedCmsLeg sut2()
{
return(ResolvedCmsLeg.builder().payReceive(PAY).cmsPeriods(CmsLegTest.sutFloor().resolve(REF_DATA).CmsPeriods).build());
}
//-------------------------------------------------------------------------
internal static ResolvedCmsLeg sut()
{
return(ResolvedCmsLeg.builder().payReceive(RECEIVE).cmsPeriods(PERIOD_1, PERIOD_2).build());
}
