public virtual void test_of_positiveNegative()
{
assertThrowsIllegalArg(() => FxSingle.of(GBP_P1000, USD_P1600, DATE_2015_06_30));
assertThrowsIllegalArg(() => FxSingle.of(GBP_M1000, USD_M1600, DATE_2015_06_30));
assertThrowsIllegalArg(() => FxSingle.of(CurrencyAmount.zero(GBP), USD_M1600, DATE_2015_06_30));
assertThrowsIllegalArg(() => FxSingle.of(CurrencyAmount.zero(GBP), USD_P1600, DATE_2015_06_30));
}
public virtual void test_of_wrongCounterCurrency()
{
FxSingle nearLeg = FxSingle.of(USD_P1550, EUR_P1590.negated(), DATE_2011_11_21);
FxSingle farLeg = FxSingle.of(GBP_M1000, EUR_P1590, DATE_2011_12_21);
assertThrowsIllegalArg(() => FxSwap.of(nearLeg, farLeg));
}
public virtual void test_of_rate_bothZero()
{
FxSingle test = FxSingle.of(CurrencyAmount.zero(GBP), FxRate.of(USD, GBP, 1.6d), DATE_2015_06_30);
assertEquals(test.BaseCurrencyAmount, CurrencyAmount.zero(GBP));
assertEquals(test.CounterCurrencyAmount.Amount, CurrencyAmount.zero(USD).Amount, 1e-12);
assertEquals(test.PaymentDate, DATE_2015_06_30);
assertEquals(test.CurrencyPair, CurrencyPair.of(GBP, USD));
assertEquals(test.ReceiveCurrencyAmount, CurrencyAmount.of(USD, 0d));
}
public virtual void test_of_rate_switchOrder()
{
FxSingle test = FxSingle.of(USD_M1600, FxRate.of(USD, GBP, 1d / 1.6d), DATE_2015_06_30);
assertEquals(test.BaseCurrencyAmount, GBP_P1000);
assertEquals(test.CounterCurrencyAmount, USD_M1600);
assertEquals(test.PaymentDate, DATE_2015_06_30);
assertEquals(test.CurrencyPair, CurrencyPair.of(GBP, USD));
assertEquals(test.ReceiveCurrencyAmount, GBP_P1000);
}
public virtual void test_of_rate_withAdjustment()
{
FxSingle test = FxSingle.of(GBP_P1000, FxRate.of(GBP, USD, 1.6d), DATE_2015_06_30, BDA);
assertEquals(test.BaseCurrencyAmount, GBP_P1000);
assertEquals(test.CounterCurrencyAmount, USD_M1600);
assertEquals(test.PaymentDate, DATE_2015_06_30);
assertEquals(test.PaymentDateAdjustment, BDA);
assertEquals(test.CurrencyPair, CurrencyPair.of(GBP, USD));
assertEquals(test.ReceiveCurrencyAmount, GBP_P1000);
}
public virtual void test_of_bothZero()
{
FxSingle test = FxSingle.of(CurrencyAmount.zero(GBP), CurrencyAmount.zero(USD), DATE_2015_06_30);
assertEquals(test.BaseCurrencyAmount, CurrencyAmount.zero(GBP));
assertEquals(test.CounterCurrencyAmount, CurrencyAmount.zero(USD));
assertEquals(test.PaymentDate, DATE_2015_06_30);
assertEquals(test.CurrencyPair, CurrencyPair.of(GBP, USD));
assertEquals(test.PayCurrencyAmount, CurrencyAmount.zero(GBP));
assertEquals(test.ReceiveCurrencyAmount, CurrencyAmount.zero(USD));
}
public virtual void test_ofForwardPoints_withAdjustment()
{
double nearRate = 1.6;
double fwdPoint = 0.1;
FxSwap test = FxSwap.ofForwardPoints(GBP_P1000, FxRate.of(GBP, USD, nearRate), fwdPoint, DATE_2011_11_21, DATE_2011_12_21, BDA);
FxSingle nearLegExp = FxSingle.of(GBP_P1000, CurrencyAmount.of(USD, -1000.0 * nearRate), DATE_2011_11_21, BDA);
FxSingle farLegExp = FxSingle.of(GBP_M1000, CurrencyAmount.of(USD, 1000.0 * (nearRate + fwdPoint)), DATE_2011_12_21, BDA);
assertEquals(test.NearLeg, nearLegExp);
assertEquals(test.FarLeg, farLegExp);
}
//-------------------------------------------------------------------------
public virtual void test_of_rightOrderPayments()
{
FxSingle test = FxSingle.of(Payment.of(GBP_P1000, DATE_2015_06_30), Payment.of(USD_M1600, DATE_2015_06_29), BDA);
assertEquals(test.BaseCurrencyPayment, Payment.of(GBP_P1000, DATE_2015_06_30));
assertEquals(test.CounterCurrencyPayment, Payment.of(USD_M1600, DATE_2015_06_29));
assertEquals(test.BaseCurrencyAmount, GBP_P1000);
assertEquals(test.CounterCurrencyAmount, USD_M1600);
assertEquals(test.PaymentDate, DATE_2015_06_30);
assertEquals(test.PaymentDateAdjustment, BDA);
assertEquals(test.CurrencyPair, CurrencyPair.of(GBP, USD));
assertEquals(test.PayCurrencyAmount, USD_M1600);
assertEquals(test.ReceiveCurrencyAmount, GBP_P1000);
assertEquals(test.CrossCurrency, true);
assertEquals(test.allPaymentCurrencies(), ImmutableSet.of(GBP, USD));
assertEquals(test.allCurrencies(), ImmutableSet.of(GBP, USD));
}
/// <summary>
/// Creates an {@code FxSwap} using two FX rates, near and far, specifying a date adjustment.
/// <para>
/// The FX rate at the near date is specified as {@code nearRate}.
/// The FX rate at the far date is specified as {@code farRate}.
/// The FX rates must have the same currency pair.
/// </para>
/// <para>
/// The two currencies are specified by the FX rates.
/// The amount must be specified using one of the currencies of the near FX rate.
/// The near date must be before the far date.
/// Conventions will be used to determine the base and counter currency.
///
/// </para>
/// </summary>
/// <param name="amount"> the amount being exchanged, positive if being received in the near leg, negative if being paid </param>
/// <param name="nearRate"> the near FX rate </param>
/// <param name="farRate"> the far FX rate </param>
/// <param name="nearDate"> the near value date </param>
/// <param name="farDate"> the far value date </param>
/// <returns> the FX swap </returns>
/// <exception cref="IllegalArgumentException"> if the FX rate and amount do not have a currency in common,
/// or if the FX rate currencies differ </exception>
public static FxSwap of(CurrencyAmount amount, FxRate nearRate, LocalDate nearDate, FxRate farRate, LocalDate farDate)
{
Currency currency1 = amount.Currency;
if (!nearRate.Pair.contains(currency1))
{
throw new System.ArgumentException(Messages.format("FxRate '{}' and CurrencyAmount '{}' must have a currency in common", nearRate, amount));
}
if (!nearRate.Pair.toConventional().Equals(farRate.Pair.toConventional()))
{
throw new System.ArgumentException(Messages.format("FxRate '{}' and FxRate '{}' must contain the same currencies", nearRate, farRate));
}
FxSingle nearLeg = FxSingle.of(amount, nearRate, nearDate);
FxSingle farLeg = FxSingle.of(amount.negated(), farRate, farDate);
return(of(nearLeg, farLeg));
}
public override object build <T1>(Type beanType, BeanBuilder <T1> builder)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: org.joda.beans.impl.BufferingBeanBuilder<?> bld = (org.joda.beans.impl.BufferingBeanBuilder<?>) builder;
BufferingBeanBuilder <object> bld = (BufferingBeanBuilder <object>)builder;
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.concurrent.ConcurrentMap<org.joda.beans.MetaProperty<?>, Object> buffer = bld.getBuffer();
ConcurrentMap <MetaProperty <object>, object> buffer = bld.Buffer;
BusinessDayAdjustment bda = (BusinessDayAdjustment)buffer.getOrDefault(PAYMENT_ADJUSTMENT_DATE, null);
if (buffer.containsKey(BASE_CURRENCY_AMOUNT) && buffer.containsKey(COUNTER_CURRENCY_AMOUNT) && buffer.containsKey(PAYMENT_DATE))
{
CurrencyAmount baseAmount = (CurrencyAmount)builder.get(BASE_CURRENCY_AMOUNT);
CurrencyAmount counterAmount = (CurrencyAmount)builder.get(COUNTER_CURRENCY_AMOUNT);
LocalDate paymentDate = (LocalDate)builder.get(PAYMENT_DATE);
return(bda != null?FxSingle.of(baseAmount, counterAmount, paymentDate, bda) : FxSingle.of(baseAmount, counterAmount, paymentDate));
}
else
{
Payment basePayment = (Payment)buffer.get(BASE_CURRENCY_PAYMENT);
Payment counterPayment = (Payment)buffer.get(COUNTER_CURRENCY_PAYMENT);
return(bda != null?FxSingle.of(basePayment, counterPayment, bda) : FxSingle.of(basePayment, counterPayment));
}
}
internal static FxSingle sut2()
{
return(FxSingle.of(GBP_M1000, EUR_P1600, DATE_2015_06_29));
}
//-------------------------------------------------------------------------
internal static FxSingle sut()
{
return(FxSingle.of(GBP_P1000, USD_M1600, DATE_2015_06_30));
}
public virtual void test_of_rate_wrongCurrency()
{
assertThrowsIllegalArg(() => FxSingle.of(GBP_P1000, FxRate.of(USD, EUR, 1.45d), DATE_2015_06_30));
}
public virtual void test_of_sameCurrency()
{
assertThrowsIllegalArg(() => FxSingle.of(GBP_P1000, GBP_M1000, DATE_2015_06_30));
}
public virtual void test_of_sameSign()
{
FxSingle farLeg = FxSingle.of(GBP_M1000.negated(), USD_P1550.negated(), DATE_2011_12_21);
assertThrowsIllegalArg(() => FxSwap.of(NEAR_LEG, farLeg));
}
public virtual void test_of_wrongBaseCurrency()
{
FxSingle nearLeg = FxSingle.of(EUR_P1590, USD_M1600, DATE_2011_11_21);
assertThrowsIllegalArg(() => FxSwap.of(nearLeg, FAR_LEG));
}