Optional<SchedulePeriod> finalStub = getFinalStub(); if (finalStub.isPresent()) { newSchedule.add(finalStub.get());
@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(); }
FixedRateStubCalculation finalStub = firstNonNull(this.finalStub, FixedRateStubCalculation.NONE); Optional<SchedulePeriod> scheduleInitialStub = accrualSchedule.getInitialStub(); Optional<SchedulePeriod> scheduleFinalStub = accrualSchedule.getFinalStub();
public void test_ofTerm() { Schedule test = Schedule.ofTerm(P1_STUB); assertEquals(test.size(), 1); assertEquals(test.isTerm(), true); assertEquals(test.isSinglePeriod(), true); assertEquals(test.getFrequency(), TERM); assertEquals(test.getRollConvention(), RollConventions.NONE); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P1_STUB)); assertEquals(test.getPeriod(0), P1_STUB); assertEquals(test.getStartDate(), P1_STUB.getStartDate()); assertEquals(test.getEndDate(), P1_STUB.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P1_STUB.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P1_STUB.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P1_STUB); assertEquals(test.getLastPeriod(), P1_STUB); assertEquals(test.getInitialStub(), Optional.empty()); assertEquals(test.getFinalStub(), Optional.empty()); assertEquals(test.getRegularPeriods(), ImmutableList.of(P1_STUB)); assertThrows(() -> test.getPeriod(1), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_04, JUL_17)); }
public void test_of_size2_initialStub() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P1_STUB, P2_NORMAL)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 2); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), false); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P1_STUB, P2_NORMAL)); assertEquals(test.getPeriod(0), P1_STUB); assertEquals(test.getPeriod(1), P2_NORMAL); assertEquals(test.getStartDate(), P1_STUB.getStartDate()); assertEquals(test.getEndDate(), P2_NORMAL.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P1_STUB.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P2_NORMAL.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P1_STUB); assertEquals(test.getLastPeriod(), P2_NORMAL); assertEquals(test.getInitialStub(), Optional.of(P1_STUB)); assertEquals(test.getFinalStub(), Optional.empty()); assertEquals(test.getRegularPeriods(), ImmutableList.of(P2_NORMAL)); assertThrows(() -> test.getPeriod(2), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_04, JUL_17, AUG_17)); }
public void test_size1_noStub() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P2_NORMAL)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 1); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), true); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P2_NORMAL)); assertEquals(test.getPeriod(0), P2_NORMAL); assertEquals(test.getStartDate(), P2_NORMAL.getStartDate()); assertEquals(test.getEndDate(), P2_NORMAL.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P2_NORMAL.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P2_NORMAL.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P2_NORMAL); assertEquals(test.getLastPeriod(), P2_NORMAL); assertEquals(test.getInitialStub(), Optional.empty()); assertEquals(test.getFinalStub(), Optional.empty()); assertEquals(test.getRegularPeriods(), ImmutableList.of(P2_NORMAL)); assertThrows(() -> test.getPeriod(1), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_17, AUG_17)); }
public void test_size1_stub() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P1_STUB)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 1); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), true); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P1_STUB)); assertEquals(test.getPeriod(0), P1_STUB); assertEquals(test.getStartDate(), P1_STUB.getStartDate()); assertEquals(test.getEndDate(), P1_STUB.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P1_STUB.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P1_STUB.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P1_STUB); assertEquals(test.getLastPeriod(), P1_STUB); assertEquals(test.getInitialStub(), Optional.of(P1_STUB)); assertEquals(test.getFinalStub(), Optional.empty()); assertEquals(test.getRegularPeriods(), ImmutableList.of()); assertThrows(() -> test.getPeriod(1), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_04, JUL_17)); }
public void test_of_size2_finalStub() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P3_NORMAL, P4_STUB)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 2); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), false); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P3_NORMAL, P4_STUB)); assertEquals(test.getPeriod(0), P3_NORMAL); assertEquals(test.getPeriod(1), P4_STUB); assertEquals(test.getStartDate(), P3_NORMAL.getStartDate()); assertEquals(test.getEndDate(), P4_STUB.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P3_NORMAL.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P4_STUB.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P3_NORMAL); assertEquals(test.getLastPeriod(), P4_STUB); assertEquals(test.getInitialStub(), Optional.empty()); assertEquals(test.getFinalStub(), Optional.of(P4_STUB)); assertEquals(test.getRegularPeriods(), ImmutableList.of(P3_NORMAL)); assertThrows(() -> test.getPeriod(2), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(AUG_17, SEP_17, SEP_30)); }
public void test_of_size2_noStub() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P2_NORMAL, P3_NORMAL)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 2); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), false); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P2_NORMAL, P3_NORMAL)); assertEquals(test.getPeriod(0), P2_NORMAL); assertEquals(test.getPeriod(1), P3_NORMAL); assertEquals(test.getStartDate(), P2_NORMAL.getStartDate()); assertEquals(test.getEndDate(), P3_NORMAL.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P2_NORMAL.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P3_NORMAL.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P2_NORMAL); assertEquals(test.getLastPeriod(), P3_NORMAL); assertEquals(test.getInitialStub(), Optional.empty()); assertEquals(test.getFinalStub(), Optional.empty()); assertEquals(test.getRegularPeriods(), ImmutableList.of(P2_NORMAL, P3_NORMAL)); assertThrows(() -> test.getPeriod(2), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_17, AUG_17, SEP_17)); }
public void test_of_size3_initialStub() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 3); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), false); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL)); assertEquals(test.getPeriod(0), P1_STUB); assertEquals(test.getPeriod(1), P2_NORMAL); assertEquals(test.getPeriod(2), P3_NORMAL); assertEquals(test.getStartDate(), P1_STUB.getStartDate()); assertEquals(test.getEndDate(), P3_NORMAL.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P1_STUB.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P3_NORMAL.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P1_STUB); assertEquals(test.getLastPeriod(), P3_NORMAL); assertEquals(test.getInitialStub(), Optional.of(P1_STUB)); assertEquals(test.getFinalStub(), Optional.empty()); assertEquals(test.getRegularPeriods(), ImmutableList.of(P2_NORMAL, P3_NORMAL)); assertThrows(() -> test.getPeriod(3), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_04, JUL_17, AUG_17, SEP_17)); }
public void test_of_size4_bothStubs() { Schedule test = Schedule.builder() .periods(ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL, P4_STUB)) .frequency(P1M) .rollConvention(DAY_17) .build(); assertEquals(test.size(), 4); assertEquals(test.isTerm(), false); assertEquals(test.isSinglePeriod(), false); assertEquals(test.getFrequency(), P1M); assertEquals(test.getRollConvention(), DAY_17); assertEquals(test.isEndOfMonthConvention(), false); assertEquals(test.getPeriods(), ImmutableList.of(P1_STUB, P2_NORMAL, P3_NORMAL, P4_STUB)); assertEquals(test.getPeriod(0), P1_STUB); assertEquals(test.getPeriod(1), P2_NORMAL); assertEquals(test.getPeriod(2), P3_NORMAL); assertEquals(test.getPeriod(3), P4_STUB); assertEquals(test.getStartDate(), P1_STUB.getStartDate()); assertEquals(test.getEndDate(), P4_STUB.getEndDate()); assertEquals(test.getUnadjustedStartDate(), P1_STUB.getUnadjustedStartDate()); assertEquals(test.getUnadjustedEndDate(), P4_STUB.getUnadjustedEndDate()); assertEquals(test.getFirstPeriod(), P1_STUB); assertEquals(test.getLastPeriod(), P4_STUB); assertEquals(test.getInitialStub(), Optional.of(P1_STUB)); assertEquals(test.getFinalStub(), Optional.of(P4_STUB)); assertEquals(test.getRegularPeriods(), ImmutableList.of(P2_NORMAL, P3_NORMAL)); assertThrows(() -> test.getPeriod(4), IndexOutOfBoundsException.class); assertEquals(test.getUnadjustedDates(), ImmutableList.of(JUL_04, JUL_17, AUG_17, SEP_17, SEP_30)); }
LocalDate lastRegular = lastRegularEndDate != null ? lastRegularEndDate : accrualSchedule.getFinalStub() .map(stub -> stub.getUnadjustedStartDate()) .orElse(accrualSchedule.getUnadjustedEndDate());