private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { IborFixingDepositTrade trade = template.createTrade(valuationDate, BuySell.BUY, 0d, 0d, refData); ResolvedIborFixingDeposit deposit = trade.getProduct().resolve(refData); return deposit.getEndDate(); }
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData) { IborFixingDepositTrade trade = template.createTrade(valuationDate, BuySell.BUY, 0d, 0d, refData); ResolvedIborFixingDeposit deposit = trade.getProduct().resolve(refData); return deposit.getFloatingRate().getFixingDate(); }
@Override public ResolvedIborFixingDepositTrade resolve(ReferenceData refData) { return ResolvedIborFixingDepositTrade.builder() .info(info) .product(product.resolve(refData)) .build(); }
public void test_resolve() { IborFixingDepositTrade test = IborFixingDepositTrade.of(TRADE_INFO, DEPOSIT); assertEquals(test.resolve(REF_DATA).getInfo(), TRADE_INFO); assertEquals(test.resolve(REF_DATA).getProduct(), DEPOSIT.resolve(REF_DATA)); }
public void test_parSpread_noFixing() { double parSpread = PRICER.parSpread(RDEPOSIT, IMM_PROV_NOFIX); IborFixingDeposit deposit0 = DEPOSIT.toBuilder().fixedRate(RATE + parSpread).build(); CurrencyAmount pv0 = PRICER.presentValue(deposit0.resolve(REF_DATA), IMM_PROV_NOFIX); assertEquals(pv0.getAmount(), 0, TOLERANCE_RATE); double parSpread2 = PRICER.parSpread(RDEPOSIT, IMM_PROV_NOFIX); assertEquals(parSpread, parSpread2, TOLERANCE_RATE); }
public void test_parRate() { double parRate = PRICER.parRate(RDEPOSIT, IMM_PROV_NOFIX); IborFixingDeposit deposit0 = DEPOSIT.toBuilder().fixedRate(parRate).build(); CurrencyAmount pv0 = PRICER.presentValue(deposit0.resolve(REF_DATA), IMM_PROV_NOFIX); assertEquals(pv0.getAmount(), 0, TOLERANCE_RATE); double parRate2 = PRICER.parRate(RDEPOSIT, IMM_PROV_NOFIX); assertEquals(parRate, parRate2, TOLERANCE_RATE); }
public void test_resolve() { IborFixingDeposit base = IborFixingDeposit.builder() .buySell(SELL) .notional(NOTIONAL) .startDate(START_DATE) .endDate(END_DATE) .businessDayAdjustment(BDA_MOD_FOLLOW) .index(GBP_LIBOR_6M) .fixedRate(RATE) .build(); ResolvedIborFixingDeposit test = base.resolve(REF_DATA); LocalDate expectedEndDate = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA); double expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate); IborRateComputation expectedObservation = IborRateComputation.of( GBP_LIBOR_6M, GBP_LIBOR_6M.getFixingDateOffset().adjust(START_DATE, REF_DATA), REF_DATA); assertEquals(test.getCurrency(), GBP); assertEquals(test.getStartDate(), START_DATE); assertEquals(test.getEndDate(), expectedEndDate); assertEquals(test.getFloatingRate(), expectedObservation); assertEquals(test.getNotional(), -NOTIONAL); assertEquals(test.getFixedRate(), RATE); assertEquals(test.getYearFraction(), expectedYearFraction); }
public void test_metadata_last_fixing() { IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING); ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build(); IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA); ResolvedIborFixingDeposit product = trade.getProduct().resolve(REF_DATA); LocalDate fixingDate = ((IborRateComputation) product.getFloatingRate()).getFixingDate(); DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA); assertEquals(((TenorDateParameterMetadata) metadata).getDate(), fixingDate); assertEquals(((TenorDateParameterMetadata) metadata).getTenor().getPeriod(), TEMPLATE.getDepositPeriod()); }