@Override public void collectCurrencies(ImmutableSet.Builder<Currency> builder) { builder.add(getCurrency()); calculation.collectCurrencies(builder); notionalSchedule.getFxReset().ifPresent(fxReset -> builder.add(fxReset.getReferenceCurrency())); }
private String notional(SwapLeg leg) { if (leg instanceof RateCalculationSwapLeg) { RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg) leg; NotionalSchedule notionalSchedule = rcLeg.getNotionalSchedule(); ValueSchedule amount = notionalSchedule.getAmount(); double notional = amount.getInitialValue(); String vary = !amount.getSteps().isEmpty() || amount.getStepSequence().isPresent() ? " variable" : ""; Currency currency = notionalSchedule.getFxReset().map(fxr -> fxr.getReferenceCurrency()).orElse(rcLeg.getCurrency()); return SummarizerUtils.amount(currency, notional) + vary; } if (leg instanceof RatePeriodSwapLeg) { RatePeriodSwapLeg rpLeg = (RatePeriodSwapLeg) leg; return SummarizerUtils.amount(rpLeg.getPaymentPeriods().get(0).getNotionalAmount()); } return ""; }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case -885469925: // payReceive return ((RateCalculationSwapLeg) bean).getPayReceive(); case 304659814: // accrualSchedule return ((RateCalculationSwapLeg) bean).getAccrualSchedule(); case -1499086147: // paymentSchedule return ((RateCalculationSwapLeg) bean).getPaymentSchedule(); case 1447860727: // notionalSchedule return ((RateCalculationSwapLeg) bean).getNotionalSchedule(); case -934682935: // calculation return ((RateCalculationSwapLeg) bean).getCalculation(); case 3575610: // type return ((RateCalculationSwapLeg) bean).getType(); case -2129778896: // startDate return ((RateCalculationSwapLeg) bean).getStartDate(); case -1607727319: // endDate return ((RateCalculationSwapLeg) bean).getEndDate(); case 575402001: // currency return ((RateCalculationSwapLeg) bean).getCurrency(); } return super.propertyGet(bean, propertyName, quiet); }
/** * Converts this swap leg to the equivalent {@code ResolvedSwapLeg}. * <p> * An {@link ResolvedSwapLeg} represents the same data as this leg, but with * a complete schedule of dates defined using {@link RatePaymentPeriod}. * * @return the equivalent resolved swap leg * @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data * @throws RuntimeException if unable to resolve due to an invalid swap schedule or definition */ @Override public ResolvedSwapLeg resolve(ReferenceData refData) { DayCount dayCount = calculation.getDayCount(); Schedule resolvedAccruals = accrualSchedule.createSchedule(refData); Schedule resolvedPayments = paymentSchedule.createSchedule(resolvedAccruals, refData); List<RateAccrualPeriod> accrualPeriods = calculation.createAccrualPeriods(resolvedAccruals, resolvedPayments, refData); List<NotionalPaymentPeriod> payPeriods = paymentSchedule.createPaymentPeriods( resolvedAccruals, resolvedPayments, accrualPeriods, dayCount, notionalSchedule, payReceive, refData); LocalDate startDate = accrualPeriods.get(0).getStartDate(); ImmutableList<SwapPaymentEvent> payEvents = notionalSchedule.createEvents(payPeriods, startDate, refData); return new ResolvedSwapLeg(getType(), payReceive, payPeriods, payEvents, getCurrency()); }
assertEquals(test.getStartDate(), AdjustableDate.of(DATE_01_05, bda)); assertEquals(test.getEndDate(), AdjustableDate.of(DATE_04_05, bda)); assertEquals(test.getCurrency(), GBP); assertEquals(test.getPayReceive(), PAY); assertEquals(test.getAccrualSchedule(), accrualSchedule);
assertEquals(test.getStartDate(), AdjustableDate.of(DATE_14_06_09, bda)); assertEquals(test.getEndDate(), AdjustableDate.of(DATE_19_06_09, bda)); assertEquals(test.getCurrency(), GBP); assertEquals(test.getPayReceive(), PAY); assertEquals(test.getAccrualSchedule(), accrualSchedule);
assertEquals(test.getStartDate(), AdjustableDate.of(DATE_14_06_09, bda)); assertEquals(test.getEndDate(), AdjustableDate.of(DATE_19_06_09, bda)); assertEquals(test.getCurrency(), GBP); assertEquals(test.getPayReceive(), RECEIVE); assertEquals(test.getAccrualSchedule(), accrualSchedule);
assertEquals(test.getStartDate(), AdjustableDate.of(DATE_14_06_09, bda)); assertEquals(test.getEndDate(), AdjustableDate.of(DATE_19_06_09, bda)); assertEquals(test.getCurrency(), GBP); assertEquals(test.getPayReceive(), RECEIVE); assertEquals(test.getAccrualSchedule(), accrualSchedule);