LocalDate endFixingDate = calendar.previous(endFixingDateP1); LocalDate onRateEndDate = computation.calculateMaturityFromFixing(endFixingDate); LocalDate onRateStartDate = computation.calculateEffectiveFromFixing(startFixingDate); LocalDate lastNonCutOffMatDate = onRateEndDate; int cutoffOffset = computation.getRateCutOffDays() > 1 ? computation.getRateCutOffDays() : 1; for (int i = 0; i < cutoffOffset; i++) { currentFixingDate = calendar.previous(currentFixingDate); cutOffEffectiveDate = computation.calculateEffectiveFromFixing(currentFixingDate); lastNonCutOffMatDate = computation.calculateMaturityFromEffective(cutOffEffectiveDate); double accrualFactor = index.getDayCount().yearFraction(cutOffEffectiveDate, lastNonCutOffMatDate);
public void test_calculate() { OvernightAveragedRateComputation test = OvernightAveragedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals( test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }
private double rateForward(OvernightAveragedRateComputation computation, OvernightIndexRates rates) { OvernightIndex index = computation.getIndex(); HolidayCalendar calendar = computation.getFixingCalendar(); LocalDate startFixingDate = computation.getStartDate(); LocalDate endFixingDateP1 = computation.getEndDate(); LocalDate endFixingDate = calendar.previous(endFixingDateP1); LocalDate onRateEndDate = computation.calculateMaturityFromFixing(endFixingDate); LocalDate onRateStartDate = computation.calculateEffectiveFromFixing(startFixingDate); LocalDate onRateNoCutOffEndDate = onRateEndDate; int cutoffOffset = computation.getRateCutOffDays() > 1 ? computation.getRateCutOffDays() : 1; double accumulatedInterest = 0.0d; double accrualFactorTotal = index.getDayCount().yearFraction(onRateStartDate, onRateEndDate); if (cutoffOffset > 1) { // Cut-off period LocalDate currentFixingDate = endFixingDate; OvernightIndexObservation lastIndexObs = null; double cutOffAccrualFactorTotal = 0d; for (int i = 1; i < cutoffOffset; i++) { currentFixingDate = calendar.previous(currentFixingDate); lastIndexObs = computation.observeOn(currentFixingDate); onRateNoCutOffEndDate = lastIndexObs.getMaturityDate(); cutOffAccrualFactorTotal += lastIndexObs.getYearFraction(); } double forwardRateCutOff = rates.rate(lastIndexObs); accumulatedInterest += cutOffAccrualFactorTotal * forwardRateCutOff; } // Approximated part accumulatedInterest += approximatedInterest(computation.observeOn(onRateStartDate), onRateNoCutOffEndDate, rates); // final rate return accumulatedInterest / accrualFactorTotal; }