findValue(row, leg, FIRST_RATE_FIELD) .map(s -> LoaderUtils.parseDoublePercent(s)) .ifPresent(v -> builder.firstRate(v)); findValue(row, leg, GEARING_FIELD) .map(s -> LoaderUtils.parseDouble(s))
public void test_expand_firstRateFixedInitialStubNotSpecified() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRate(0.024d) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(FixedRateComputation.of(0.024d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRateFixed() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRate(0.024d) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(FixedRateComputation.of(0.024d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRateFixedInitialStubSpecified() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_1W)) .firstRate(0.024d) // ignored .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1W, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRegularRateFixedInitialStub() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRegularRate(0.028d) .firstRate(0.024d) // ignored .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(FixedRateComputation.of(0.028d)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRegularRateFixed() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRegularRate(0.028d) .firstRate(0.024d) // ignored .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(FixedRateComputation.of(0.028d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRateFixedInitialStubSpecifiedNone() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.NONE) .firstRate(0.024d) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(FixedRateComputation.of(0.024d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }