@Override public ImmutableList<RateAccrualPeriod> createAccrualPeriods( Schedule accrualSchedule, Schedule paymentSchedule, ReferenceData refData) { // resolve data by schedule DoubleArray resolvedGearings = firstNonNull(gearing, ALWAYS_1).resolveValues(accrualSchedule); DoubleArray resolvedSpreads = firstNonNull(spread, ALWAYS_0).resolveValues(accrualSchedule); // resolve against reference data once DateAdjuster fixingDateAdjuster = fixingDateOffset.resolve(refData); Function<SchedulePeriod, Schedule> resetScheduleFn = getResetPeriods().map(rp -> rp.createSchedule(accrualSchedule.getRollConvention(), refData)).orElse(null); Function<LocalDate, IborIndexObservation> iborObservationFn = index.resolve(refData); // build accrual periods Optional<SchedulePeriod> scheduleInitialStub = accrualSchedule.getInitialStub(); Optional<SchedulePeriod> scheduleFinalStub = accrualSchedule.getFinalStub(); ImmutableList.Builder<RateAccrualPeriod> accrualPeriods = ImmutableList.builder(); for (int i = 0; i < accrualSchedule.size(); i++) { SchedulePeriod period = accrualSchedule.getPeriod(i); RateComputation rateComputation = createRateComputation( period, fixingDateAdjuster, resetScheduleFn, iborObservationFn, i, scheduleInitialStub, scheduleFinalStub, refData); double yearFraction = period.yearFraction(dayCount, accrualSchedule); accrualPeriods.add(new RateAccrualPeriod( period, yearFraction, rateComputation, resolvedGearings.get(i), resolvedSpreads.get(i), negativeRateMethod)); } return accrualPeriods.build(); }
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)); }
DateAdjuster fixingDateAdjuster = calculation.getFixingDateOffset().resolve(refData); DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData); Function<LocalDate, IborIndexObservation> obsFn = calculation.getIndex().resolve(refData); ImmutableList.Builder<IborCapletFloorletPeriod> periodsBuild = ImmutableList.builder(); for (int i = 0; i < adjustedSchedule.size(); i++) {