/** * Resolves the value and adjustments against a specific schedule. * <p> * This converts a schedule into a list of values, one for each schedule period. * * @param schedule the schedule * @return the values, one for each schedule period */ public DoubleArray resolveValues(Schedule schedule) { return resolveValues(schedule.getPeriods(), schedule.getRollConvention()); }
@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); // build accrual periods ImmutableList.Builder<RateAccrualPeriod> accrualPeriods = ImmutableList.builder(); for (int i = 0; i < accrualSchedule.size(); i++) { SchedulePeriod period = accrualSchedule.getPeriod(i); double yearFraction = period.yearFraction(dayCount, accrualSchedule); RateComputation rateComputation = createRateComputation(period, paymentSchedule, refData); accrualPeriods.add(new RateAccrualPeriod( period, yearFraction, rateComputation, resolvedGearings.get(i), resolvedSpreads.get(i), negativeRateMethod)); } return accrualPeriods.build(); }
@Override public ImmutableList<RateAccrualPeriod> createAccrualPeriods( Schedule accrualSchedule, Schedule paymentSchedule, ReferenceData refData) { // resolve data by schedule DoubleArray resolvedGearings = firstNonNull(gearing, ALWAYS_1).resolveValues(accrualSchedule); // build accrual periods ImmutableList.Builder<RateAccrualPeriod> accrualPeriods = ImmutableList.builder(); for (int i = 0; i < accrualSchedule.size(); i++) { SchedulePeriod period = accrualSchedule.getPeriod(i); // inflation does not use a day count, so year fraction is 1d accrualPeriods.add(new RateAccrualPeriod( period, 1d, createRateComputation(period, i), resolvedGearings.get(i), 0d, NegativeRateMethod.ALLOW_NEGATIVE)); } return accrualPeriods.build(); }
@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_resolveValues_indexBased() { ValueStep step1 = ValueStep.of(1, ValueAdjustment.ofReplace(300d)); ValueStep step2 = ValueStep.of(2, ValueAdjustment.ofReplace(400d)); // no steps ValueSchedule test0 = ValueSchedule.of(200d, ImmutableList.of()); assertEquals(test0.resolveValues(SCHEDULE), DoubleArray.of(200d, 200d, 200d)); // step1 ValueSchedule test1a = ValueSchedule.of(200d, ImmutableList.of(step1)); assertEquals(test1a.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 300d)); // step2 ValueSchedule test1b = ValueSchedule.of(200d, ImmutableList.of(step2)); assertEquals(test1b.resolveValues(SCHEDULE), DoubleArray.of(200d, 200d, 400d)); // step1 and step2 ValueSchedule test2 = ValueSchedule.of(200d, ImmutableList.of(step1, step2)); assertEquals(test2.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 400d)); }
public void test_resolveValues_dateBased() { ValueStep step1 = ValueStep.of(date(2014, 2, 1), ValueAdjustment.ofReplace(300d)); ValueStep step2 = ValueStep.of(date(2014, 3, 1), ValueAdjustment.ofReplace(400d)); // no steps ValueSchedule test0 = ValueSchedule.of(200d, ImmutableList.of()); assertEquals(test0.resolveValues(SCHEDULE), DoubleArray.of(200d, 200d, 200d)); // step1 ValueSchedule test1a = ValueSchedule.of(200d, ImmutableList.of(step1)); assertEquals(test1a.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 300d)); // step2 ValueSchedule test1b = ValueSchedule.of(200d, ImmutableList.of(step2)); assertEquals(test1b.resolveValues(SCHEDULE), DoubleArray.of(200d, 200d, 400d)); // step1 and step2 ValueSchedule test2 = ValueSchedule.of(200d, ImmutableList.of(step1, step2)); assertEquals(test2.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 400d)); }
private List<SwapPaymentPeriod> createPaymentPeriods(Schedule resolvedPayments, ReferenceData refData) { // resolve amount schedule against payment schedule DoubleArray amounts = amount.resolveValues(resolvedPayments); // resolve against reference data once DateAdjuster paymentDateAdjuster = paymentSchedule.getPaymentDateOffset().resolve(refData); // build up payment periods using schedule ImmutableList.Builder<SwapPaymentPeriod> paymentPeriods = ImmutableList.builder(); for (int index = 0; index < resolvedPayments.size(); index++) { SchedulePeriod paymentPeriod = resolvedPayments.getPeriod(index); LocalDate baseDate = paymentSchedule.getPaymentRelativeTo().selectBaseDate(paymentPeriod); LocalDate paymentDate = paymentDateAdjuster.adjust(baseDate); double amount = payReceive.normalize(amounts.get(index)); Payment payment = Payment.of(CurrencyAmount.of(currency, amount), paymentDate); paymentPeriods.add(KnownAmountSwapPaymentPeriod.of(payment, paymentPeriod)); } return paymentPeriods.build(); }
public void test_resolveValues_dateBased_matchAdjusted() { ValueStep step1 = ValueStep.of(date(2014, 2, 1), ValueAdjustment.ofReplace(300d)); ValueStep step2 = ValueStep.of(date(2014, 3, 2), ValueAdjustment.ofReplace(400d)); // no steps ValueSchedule test0 = ValueSchedule.of(200d, ImmutableList.of()); assertEquals(test0.resolveValues(SCHEDULE), DoubleArray.of(200d, 200d, 200d)); // step1 ValueSchedule test1a = ValueSchedule.of(200d, ImmutableList.of(step1)); assertEquals(test1a.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 300d)); // step2 ValueSchedule test1b = ValueSchedule.of(200d, ImmutableList.of(step2)); assertEquals(test1b.resolveValues(SCHEDULE), DoubleArray.of(200d, 200d, 400d)); // step1 and step2 ValueSchedule test2 = ValueSchedule.of(200d, ImmutableList.of(step1, step2)); assertEquals(test2.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 400d)); }
public void test_resolveValues_dateBased_indexZeroValid() { ValueStep step = ValueStep.of(date(2014, 1, 1), ValueAdjustment.ofReplace(300d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step)); assertEquals(test.resolveValues(SCHEDULE), DoubleArray.of(300d, 300d, 300d)); }
public void test_resolveValues_indexBased_indexTooBig() { ValueStep step = ValueStep.of(3, ValueAdjustment.ofReplace(300d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step)); assertThrowsIllegalArg(() -> test.resolveValues(SCHEDULE)); }
public void test_resolveValues_indexBased_duplicateDefinitionValid() { ValueStep step1 = ValueStep.of(1, ValueAdjustment.ofReplace(300d)); ValueStep step2 = ValueStep.of(1, ValueAdjustment.ofReplace(300d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step1, step2)); assertEquals(test.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 300d)); }
public void test_resolveValues_dateBased_invalidChangeValue() { ValueStep step = ValueStep.of(date(2014, 4, 1), ValueAdjustment.ofReplace(300d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step)); assertThrowsIllegalArg(() -> test.resolveValues(SCHEDULE), "ValueStep date does not match a period boundary.*"); }
public void test_resolveValues_dateBased_invalidDateBefore() { ValueStep step = ValueStep.of(date(2013, 12, 31), ValueAdjustment.ofReplace(300d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step)); assertThrowsIllegalArg(() -> test.resolveValues(SCHEDULE), "ValueStep date is before the start of the schedule.*"); }
public void test_resolveValues_dateBased_invalidDateAfter() { ValueStep step = ValueStep.of(date(2014, 4, 3), ValueAdjustment.ofReplace(300d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step)); assertThrowsIllegalArg(() -> test.resolveValues(SCHEDULE), "ValueStep date is after the end of the schedule.*"); }
public void test_resolveValues_sequence() { ValueStepSequence seq = ValueStepSequence.of( date(2014, 2, 1), date(2014, 3, 1), Frequency.P1M, ValueAdjustment.ofDeltaAmount(100)); ValueSchedule test = ValueSchedule.of(200d, seq); assertEquals(test.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 400d)); }
public void test_resolveValues_indexBased_duplicateDefinitionInvalid() { ValueStep step1 = ValueStep.of(1, ValueAdjustment.ofReplace(300d)); ValueStep step2 = ValueStep.of(1, ValueAdjustment.ofReplace(400d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step1, step2)); assertThrowsIllegalArg(() -> test.resolveValues(SCHEDULE)); }
@Override public ResolvedIborCapFloorLeg resolve(ReferenceData refData) { Schedule adjustedSchedule = paymentSchedule.createSchedule(refData); DoubleArray cap = getCapSchedule().isPresent() ? capSchedule.resolveValues(adjustedSchedule) : null; DoubleArray floor = getFloorSchedule().isPresent() ? floorSchedule.resolveValues(adjustedSchedule) : null; DoubleArray notionals = notional.resolveValues(adjustedSchedule); DateAdjuster fixingDateAdjuster = calculation.getFixingDateOffset().resolve(refData); DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData);
public void test_resolveValues_dateBased_ignoreExcess() { ValueStep step1 = ValueStep.of(date(2014, 2, 1), ValueAdjustment.ofReplace(300d)); ValueStep step2 = ValueStep.of(date(2014, 2, 15), ValueAdjustment.ofReplace(300d)); // no change to value ValueStep step3 = ValueStep.of(date(2014, 3, 1), ValueAdjustment.ofReplace(400d)); ValueStep step4 = ValueStep.of(date(2014, 3, 15), ValueAdjustment.ofDeltaAmount(0d)); // no change to value ValueStep step5 = ValueStep.of(date(2014, 4, 1), ValueAdjustment.ofMultiplier(1d)); ValueSchedule test = ValueSchedule.of(200d, ImmutableList.of(step1, step2, step3, step4, step5)); assertEquals(test.resolveValues(SCHEDULE), DoubleArray.of(200d, 300d, 400d)); }
public void test_resolveValues_sequenceAndSteps() { ValueStepSequence seq = ValueStepSequence.of( date(2014, 2, 1), date(2014, 3, 1), Frequency.P1M, ValueAdjustment.ofDeltaAmount(100)); ValueStep step1 = ValueStep.of(date(2014, 1, 1), ValueAdjustment.ofReplace(350d)); ValueSchedule test = ValueSchedule.builder().initialValue(200d).steps(step1).stepSequence(seq).build(); assertEquals(test.resolveValues(SCHEDULE), DoubleArray.of(350d, 450d, 550d)); }
public void test_resolveValues_sequenceAndStepClash() { ValueStepSequence seq = ValueStepSequence.of( date(2014, 2, 1), date(2014, 3, 1), Frequency.P1M, ValueAdjustment.ofDeltaAmount(100)); ValueStep step1 = ValueStep.of(date(2014, 2, 1), ValueAdjustment.ofReplace(350d)); ValueSchedule test = ValueSchedule.builder().initialValue(200d).steps(step1).stepSequence(seq).build(); assertThrowsIllegalArg(() -> test.resolveValues(SCHEDULE)); }