/** * Resolves this schedule using the specified reference data. * <p> * Calling this method binds the reference data and roll convention, returning a * function that can convert a {@code SchedulePeriod} to an {@code FxReset}. * <p> * The reset schedule is created within the bounds of the specified accrual period. * The reset frequency is added repeatedly to the unadjusted start date of the period * in order to generate the schedule, potentially leaving a short final stub. * The dates are adjusted using the specified roll convention and the business * day adjustment of this class. * * @param rollConvention the applicable roll convention * @param refData the reference data to use when resolving * @return the reset schedule * @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data * @throws RuntimeException if the schedule is invalid */ Function<SchedulePeriod, Schedule> createSchedule(RollConvention rollConvention, ReferenceData refData) { return accrualPeriod -> accrualPeriod.subSchedule( resetFrequency, rollConvention, StubConvention.SHORT_FINAL, businessDayAdjustment).createSchedule(refData); }
public void test_subSchedule_3monthIn3Month() { SchedulePeriod test = SchedulePeriod.of(JUN_17, SEP_17); Schedule schedule = test.subSchedule(P3M, RollConventions.DAY_17, StubConvention.NONE, BusinessDayAdjustment.NONE) .createSchedule(REF_DATA); assertEquals(schedule.size(), 1); assertEquals(schedule.getPeriod(0), SchedulePeriod.of(JUN_17, SEP_17)); }
public void test_subSchedule_2monthIn3Month_shortInitial() { SchedulePeriod test = SchedulePeriod.of(JUN_17, SEP_17); Schedule schedule = test.subSchedule(P2M, RollConventions.DAY_17, StubConvention.SHORT_INITIAL, BusinessDayAdjustment.NONE) .createSchedule(REF_DATA); assertEquals(schedule.size(), 2); assertEquals(schedule.getPeriod(0), SchedulePeriod.of(JUN_17, JUL_17)); assertEquals(schedule.getPeriod(1), SchedulePeriod.of(JUL_17, SEP_17)); assertEquals(schedule.getFrequency(), P2M); assertEquals(schedule.getRollConvention(), RollConventions.DAY_17); }
public void test_subSchedule_2monthIn3Month_shortFinal() { SchedulePeriod test = SchedulePeriod.of(JUN_17, SEP_17); Schedule schedule = test.subSchedule(P2M, RollConventions.DAY_17, StubConvention.SHORT_FINAL, BusinessDayAdjustment.NONE) .createSchedule(REF_DATA); assertEquals(schedule.size(), 2); assertEquals(schedule.getPeriod(0), SchedulePeriod.of(JUN_17, AUG_17)); assertEquals(schedule.getPeriod(1), SchedulePeriod.of(AUG_17, SEP_17)); assertEquals(schedule.getFrequency(), P2M); assertEquals(schedule.getRollConvention(), RollConventions.DAY_17); }
public void test_subSchedule_1monthIn3Month() { SchedulePeriod test = SchedulePeriod.of(JUN_17, SEP_17); Schedule schedule = test.subSchedule(P1M, RollConventions.DAY_17, StubConvention.NONE, BusinessDayAdjustment.NONE) .createSchedule(REF_DATA); assertEquals(schedule.size(), 3); assertEquals(schedule.getPeriod(0), SchedulePeriod.of(JUN_17, JUL_17)); assertEquals(schedule.getPeriod(1), SchedulePeriod.of(JUL_17, AUG_17)); assertEquals(schedule.getPeriod(2), SchedulePeriod.of(AUG_17, SEP_17)); assertEquals(schedule.getFrequency(), P1M); assertEquals(schedule.getRollConvention(), RollConventions.DAY_17); }