@Override public RateAccrualPeriod build() { return new RateAccrualPeriod( startDate, endDate, unadjustedStartDate, unadjustedEndDate, yearFraction, rateComputation, gearing, spread, negativeRateMethod); }
@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); // 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(); }
double resolvedRate = resolvedRates.get(0); RateComputation rateComputation = FixedOvernightCompoundedAnnualRateComputation.of(resolvedRate, yearFraction); RateAccrualPeriod accrualPeriod = new RateAccrualPeriod(period, yearFraction, rateComputation); return ImmutableList.of(accrualPeriod); rateComputation = FixedRateComputation.of(resolvedRates.get(i)); accrualPeriods.add(new RateAccrualPeriod(period, yearFraction, rateComputation));
@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(); }