/** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(TermDepositCurveNode beanToCopy) { this.template = beanToCopy.getTemplate(); this.rateId = beanToCopy.getRateId(); this.additionalSpread = beanToCopy.getAdditionalSpread(); this.label = beanToCopy.getLabel(); this.date = beanToCopy.getDate(); this.dateOrder = beanToCopy.getDateOrder(); }
/** * Returns a curve node for a term deposit using the specified instrument template and rate key. * <p> * A suitable default label will be created. * * @param template the template used for building the instrument for the node * @param rateId the identifier of the market rate used when building the instrument for the node * @return a node whose instrument is built from the template using a market rate */ public static TermDepositCurveNode of(TermDepositTemplate template, ObservableId rateId) { return of(template, rateId, 0d); }
@Override public ResolvedTermDepositTrade resolvedTrade(double quantity, MarketData marketData, ReferenceData refData) { return trade(quantity, marketData, refData).resolve(refData); }
public void test_builder_defaults() { TermDepositCurveNode test = TermDepositCurveNode.builder() .label(LABEL) .template(TEMPLATE) .rateId(QUOTE_ID) .additionalSpread(SPREAD) .build(); assertEquals(test.getLabel(), LABEL); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.getDate(), CurveNodeDate.END); }
public void test_of_noSpread() { TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), 0.0d); assertEquals(test.getTemplate(), TEMPLATE); }
public void test_metadata_fixed() { LocalDate nodeDate = VAL_DATE.plusMonths(1); TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate)); LocalDate valuationDate = LocalDate.of(2015, 1, 22); DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(metadata.getDate(), nodeDate); assertEquals(metadata.getLabel(), node.getLabel()); }
public void test_trade_noMarketData() { TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); MarketData marketData = MarketData.empty(valuationDate); assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class); }
/** * Returns a curve node for a term deposit using the specified instrument template, rate key and spread. * <p> * A suitable default label will be created. * * @param template the template defining the node instrument * @param rateId the identifier of the market data providing the rate for the node instrument * @param additionalSpread the additional spread amount added to the rate * @return a node whose instrument is built from the template using a market rate */ public static TermDepositCurveNode of(TermDepositTemplate template, ObservableId rateId, double additionalSpread) { return builder() .template(template) .rateId(rateId) .additionalSpread(additionalSpread) .build(); }
public void test_requirements() { TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); Set<ObservableId> set = test.requirements(); Iterator<ObservableId> itr = set.iterator(); assertEquals(itr.next(), QUOTE_ID); assertFalse(itr.hasNext()); }
public void test_initialGuess() { TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.exp(-rate * 0.25), 1.0e-12); }
public void test_metadata_end() { TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2015, 4, 27)); assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_3M); }
/** * Returns a copy of this node with the specified date. * * @param date the date to use * @return the node based on this node with the specified date */ public TermDepositCurveNode withDate(CurveNodeDate date) { return new TermDepositCurveNode(template, rateId, additionalSpread, label, date, dateOrder); }
public void test_builder() { TermDepositCurveNode test = TermDepositCurveNode.builder() .label(LABEL) .template(TEMPLATE) .rateId(QUOTE_ID) .additionalSpread(SPREAD) .date(CurveNodeDate.LAST_FIXING) .build(); assertEquals(test.getLabel(), LABEL); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.getDate(), CurveNodeDate.LAST_FIXING); }
public void test_of_withSpreadAndLabel() { TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL); assertEquals(test.getLabel(), LABEL); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); }
public void test_trade() { TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); TermDepositTrade trade = node.trade(1d, marketData, REF_DATA); LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA); LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD); TermDeposit depositExpected = TermDeposit.builder() .buySell(BuySell.BUY) .currency(EUR) .dayCount(ACT_360) .startDate(startDateExpected) .endDate(endDateExpected) .notional(1.0d) .businessDayAdjustment(BDA_MOD_FOLLOW) .rate(rate + SPREAD) .build(); TradeInfo tradeInfoExpected = TradeInfo.builder() .tradeDate(VAL_DATE) .build(); assertEquals(trade.getProduct(), depositExpected); assertEquals(trade.getInfo(), tradeInfoExpected); }
private static CurveNode curveTermDepositCurveNode( String conventionStr, String timeStr, String label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order) { Matcher matcher = SIMPLE_YMD_TIME_REGEX.matcher(timeStr.toUpperCase(Locale.ENGLISH)); if (!matcher.matches()) { throw new IllegalArgumentException(Messages.format("Invalid time format for Term Deposit: {}", timeStr)); } Period periodToEnd = Period.parse("P" + matcher.group(1)); TermDepositConvention convention = TermDepositConvention.of(conventionStr); TermDepositTemplate template = TermDepositTemplate.of(periodToEnd, convention); return TermDepositCurveNode.builder() .template(template) .rateId(quoteId) .additionalSpread(spread) .label(label) .date(date) .dateOrder(order) .build(); }
@Override public TermDepositCurveNode build() { preBuild(this); return new TermDepositCurveNode( template, rateId, additionalSpread, label, date, dateOrder); }
public void test_of_withSpread() { TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case -1321546630: // template return ((TermDepositCurveNode) bean).getTemplate(); case -938107365: // rateId return ((TermDepositCurveNode) bean).getRateId(); case 291232890: // additionalSpread return ((TermDepositCurveNode) bean).getAdditionalSpread(); case 102727412: // label return ((TermDepositCurveNode) bean).getLabel(); case 3076014: // date return ((TermDepositCurveNode) bean).getDate(); case -263699392: // dateOrder return ((TermDepositCurveNode) bean).getDateOrder(); } return super.propertyGet(bean, propertyName, quiet); }