private LocalDate calculateEnd(LocalDate referenceDate, ReferenceData refData) { return template.getIndex().calculateMaturityFromEffective(referenceDate, refData); }
/** * Creates an instance from an index and fixing date. * <p> * The reference data is used to find the maturity date from the fixing date. * * @param index the index * @param fixingDate the fixing date * @param refData the reference data to use when resolving holiday calendars * @return the rate observation */ public static IborIndexObservation of( IborIndex index, LocalDate fixingDate, ReferenceData refData) { LocalDate effectiveDate = index.calculateEffectiveFromFixing(fixingDate, refData); LocalDate maturityDate = index.calculateMaturityFromEffective(effectiveDate, refData); double yearFraction = index.getDayCount().yearFraction(effectiveDate, maturityDate); return new IborIndexObservation(index, fixingDate, effectiveDate, maturityDate, yearFraction); }
public void test_metadata_end() { IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL); LocalDate date = LocalDate.of(2015, 10, 20); LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(date, REF_DATA); LocalDate maturityDate = TEMPLATE.getIndex().calculateMaturityFromEffective(referenceDate, REF_DATA); ParameterMetadata metadata = node.metadata(date, REF_DATA); assertEquals(metadata.getLabel(), LABEL); assertTrue(metadata instanceof YearMonthDateParameterMetadata); assertEquals(((YearMonthDateParameterMetadata) metadata).getDate(), maturityDate); assertEquals(((YearMonthDateParameterMetadata) metadata).getYearMonth(), YearMonth.from(referenceDate)); }
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_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_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)); }
double fixStartTime = DayCounts.ACT_ACT_ISDA.relativeYearFraction(REFERENCE_DATE, SPOT_DATE); double fixEndTime = DayCounts.ACT_ACT_ISDA.relativeYearFraction( REFERENCE_DATE, EURIBOR3M.calculateMaturityFromEffective(SPOT_DATE, REF_DATA)); double factor = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, tradeLastTime, fixStartTime, fixEndTime); double expectedFactor = 1.000079130767980;
GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART1, REF_DATA)); double beta1 = (1d + fixedYearFraction1 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP1.getObservation())) LocalDate fixingSTART2 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING2, REF_DATA); double fixedYearFraction2 = GBP_LIBOR_3M.getDayCount().relativeYearFraction(fixingSTART2, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART2, REF_DATA)); double beta2 = (1d + fixedYearFraction2 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(GBP_LIBOR_3M_COMP2.getObservation()))