INITIAL_STUB_INDEX_FIELD, INITIAL_STUB_INTERPOLATED_INDEX_FIELD); initialStub.ifPresent(stub -> builder.initialStub(stub));
public void test_collectIndices_stubCalcsTwoStubs_interpolated() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)) .finalStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, GBP_LIBOR_1M)) .build(); ImmutableSet.Builder<Index> builder = ImmutableSet.builder(); test.collectIndices(builder); assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_1W, GBP_LIBOR_3M)); }
public void test_collectIndices_stubCalcsTwoStubs() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_1W)) .finalStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_3M)) .build(); ImmutableSet.Builder<Index> builder = ImmutableSet.builder(); test.collectIndices(builder); assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_1W, GBP_LIBOR_3M)); }
iborRateBuilder.initialStub(parseStubCalculation(el, document)); }); stubsEl.findChild("finalStub").ifPresent(el -> {
.dayCount(ACT_360) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(EUR_LIBOR_3M, EUR_LIBOR_6M)) .build()) .build();
.dayCount(ACT_360) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(EUR_LIBOR_3M, EUR_LIBOR_6M)) .build()) .build();
.dayCount(ACT_360) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, SAT_SUN)) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(EUR_LIBOR_3M, EUR_LIBOR_6M)) .build()) .build();
.fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, EUTA)) .spread(ValueSchedule.of(0.001)) .initialStub(IborRateStubCalculation.ofFixedRate(0.05125)) .finalStub(IborRateStubCalculation.ofIborRate(EUR_EURIBOR_3M)) .build())
.build()) .firstRegularRate(0.028d) .initialStub(IborRateStubCalculation.ofFixedRate(0.030d)) .build();
.index(USD_LIBOR_6M) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(USD_LIBOR_3M, USD_LIBOR_6M)) .build()) .build();
.index(USD_LIBOR_6M) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(USD_LIBOR_3M, USD_LIBOR_6M)) .build()) .build();
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)); }
public void test_expand_stubCalcsTwoStubs_interpolated() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)) .finalStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, GBP_LIBOR_1M)) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB) .yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1M, GBP_LIBOR_3M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, 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_stubCalcsTwoStubs() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_1W)) .finalStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_3M)) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1W, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB) .yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void coverage() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_3M) .fixingDateOffset(MINUS_TWO_DAYS) .build(); coverImmutableBean(test); IborRateCalculation test2 = IborRateCalculation.builder() .dayCount(ACT_360) .index(GBP_LIBOR_6M) .resetPeriods(ResetSchedule.builder() .resetFrequency(P3M) .resetMethod(IborRateResetMethod.UNWEIGHTED) .businessDayAdjustment(BusinessDayAdjustment.NONE) .build()) .fixingDateOffset(MINUS_THREE_DAYS) .fixingRelativeTo(PERIOD_END) .negativeRateMethod(NOT_NEGATIVE) .firstRegularRate(0.028d) .initialStub(IborRateStubCalculation.NONE) .finalStub(IborRateStubCalculation.NONE) .gearing(ValueSchedule.of(2d)) .spread(ValueSchedule.of(-0.025d)) .build(); coverBeanEquals(test, test2); }
public void test_expand_singlePeriod_stubCalcsInitialStub_interpolated() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_2M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(SINGLE_ACCRUAL_SCHEDULE_STUB, SINGLE_ACCRUAL_SCHEDULE_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1)); }