@Override public IborFutureTrade createTrade( LocalDate tradeDate, SecurityId securityId, YearMonth yearMonth, double quantity, double notional, double price, ReferenceData refData) { LocalDate referenceDate = calculateReferenceDateFromTradeDate(tradeDate, yearMonth, refData); LocalDate lastTradeDate = index.calculateFixingFromEffective(referenceDate, refData); return createTrade(tradeDate, securityId, quantity, notional, price, yearMonth, lastTradeDate, referenceDate); }
public void test_tibor_japan3m_dates() { IborIndex test = IborIndex.of("JPY-TIBOR-JAPAN-3M"); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29)); // weekend assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 15)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 15), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 15), REF_DATA), date(2015, 1, 15)); // input date is Sunday assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 16)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 16)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14)); // fixing time and zone assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 50)).atZone(ZoneId.of("Asia/Tokyo"))); }
public void test_euribor3m_dates() { IborIndex test = IborIndex.of("EUR-EURIBOR-3M"); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29)); // weekend assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 14)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14), REF_DATA), date(2015, 1, 14)); // input date is Sunday assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 15)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 13)); // fixing time and zone assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/Brussels"))); }
public void test_gbpLibor3m_dates() { IborIndex test = IborIndex.of("GBP-LIBOR-3M"); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2015, 1, 13)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2015, 1, 13)); // weekend assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 12)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2015, 1, 12)); // input date is Sunday assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 13)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 13)); // fixing time and zone assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/London"))); // resolve assertEquals(test.resolve(REF_DATA).apply(date(2014, 10, 13)), IborIndexObservation.of(test, date(2014, 10, 13), REF_DATA)); }
public void test_tibor_euroyen3m_dates() { IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M"); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29)); // weekend assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 15)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 15), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 15), REF_DATA), date(2015, 1, 15)); // input date is Sunday assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 16)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 16)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14)); // fixing time and zone assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 50)).atZone(ZoneId.of("Asia/Tokyo"))); }
public void test_usdLibor3m_dates() { IborIndex test = IborIndex.of("USD-LIBOR-3M"); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29)); // weekend assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 14)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14), REF_DATA), date(2015, 1, 14)); // effective date is US holiday assertEquals(test.calculateEffectiveFromFixing(date(2015, 1, 16), REF_DATA), date(2015, 1, 20)); assertEquals(test.calculateMaturityFromFixing(date(2015, 1, 16), REF_DATA), date(2015, 4, 20)); assertEquals(test.calculateFixingFromEffective(date(2015, 1, 20), REF_DATA), date(2015, 1, 16)); assertEquals(test.calculateMaturityFromEffective(date(2015, 1, 20), REF_DATA), date(2015, 4, 20)); // input date is Sunday, 13th is US holiday, but not UK holiday (can fix, but not be effective) assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 15)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14)); // fixing time and zone assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/London"))); // resolve assertEquals(test.resolve(REF_DATA).apply(date(2014, 10, 27)), IborIndexObservation.of(test, date(2014, 10, 27), REF_DATA)); }
LocalDate LAST_TRADING_DATE = EURIBOR3M.calculateFixingFromEffective(SPOT_DATE, REF_DATA); LocalDate REFERENCE_DATE = LocalDate.of(2010, 8, 18); double tradeLastTime = DayCounts.ACT_ACT_ISDA.relativeYearFraction(REFERENCE_DATE, LAST_TRADING_DATE);
LocalDate lastTradeDate = index.calculateFixingFromEffective(referenceDate, refData); YearMonth yearMonth = YearMonth.from(lastTradeDate); return createTrade(tradeDate, securityId, quantity, notional, price, yearMonth, lastTradeDate, referenceDate);
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);