/// <summary>
/// Obtains a template based on the specified periods and convention.
/// <para>
/// The periods from the spot date to the start date and to the end date are specified.
/// </para>
/// <para>
/// For example, a '2 x 5' FRA has a period to the start date of 2 months and
/// a period to the end date of 5 months.
///
/// </para>
/// </summary>
/// <param name="periodToStart"> the period between the spot date and the start date </param>
/// <param name="periodToEnd"> the period between the spot date and the end date </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static FraTemplate of(Period periodToStart, Period periodToEnd, FraConvention convention)
{
ArgChecker.notNull(periodToStart, "periodToStart");
ArgChecker.notNull(periodToEnd, "periodToEnd");
ArgChecker.notNull(convention, "convention");
return(FraTemplate.builder().periodToStart(periodToStart).periodToEnd(periodToEnd).convention(convention).build());
}
public virtual void test_builder_defaults()
{
FraTemplate test = FraTemplate.builder().periodToStart(Period.ofMonths(2)).convention(FRA_GBP_LIBOR_3M).build();
assertEquals(test.PeriodToStart, Period.ofMonths(2));
assertEquals(test.PeriodToEnd, Period.ofMonths(5)); // defaulted
assertEquals(test.Convention, FRA_GBP_LIBOR_3M);
}
public virtual void test_of_PeriodPeriodConvention()
{
FraTemplate test = FraTemplate.of(Period.ofMonths(2), Period.ofMonths(4), FRA_GBP_LIBOR_3M);
assertEquals(test.PeriodToStart, Period.ofMonths(2));
assertEquals(test.PeriodToEnd, Period.ofMonths(4));
assertEquals(test.Convention, FRA_GBP_LIBOR_3M);
}
//-------------------------------------------------------------------------
public virtual void test_of_PeriodIndex()
{
FraTemplate test = FraTemplate.of(Period.ofMonths(2), GBP_LIBOR_3M);
assertEquals(test.PeriodToStart, Period.ofMonths(2));
assertEquals(test.PeriodToEnd, Period.ofMonths(5)); // defaulted
assertEquals(test.Convention, FRA_GBP_LIBOR_3M);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FraTemplate test = FraTemplate.of(Period.ofMonths(2), GBP_LIBOR_3M);
coverImmutableBean(test);
FraTemplate test2 = FraTemplate.of(Period.ofMonths(3), Period.ofMonths(6), FraConvention.of(USD_LIBOR_3M));
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
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 override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FraTemplate other = (FraTemplate)obj;
return(JodaBeanUtils.equal(periodToStart, other.periodToStart) && JodaBeanUtils.equal(periodToEnd, other.periodToEnd) && JodaBeanUtils.equal(convention, other.convention));
}
return(false);
}
public virtual void test_builder_insufficientInfo()
{
assertThrowsIllegalArg(() => FraTemplate.builder().convention(FRA_GBP_LIBOR_3M).build());
assertThrowsIllegalArg(() => FraTemplate.builder().periodToStart(Period.ofMonths(2)).build());
}
public virtual void test_serialization()
{
FraTemplate test = FraTemplate.of(Period.ofMonths(2), GBP_LIBOR_3M);
assertSerialization(test);
}
