/**
* Builder of Ibor-like coupon from the fixing date and the index. The payment and accrual dates
* are the one of the fixing period.
*
* @param notional Coupon notional.
* @param fixingDate The coupon fixing date.
* @param index The coupon Ibor index.
* @param calendar The holiday calendar for the ibor index.
* @return The Ibor coupon.
*/
public static CouponIborDefinition from(
final double notional,
final ZonedDateTime fixingDate,
final IborIndex index,
final Calendar calendar) {
ArgumentChecker.notNull(fixingDate, "fixing date");
ArgumentChecker.notNull(index, "index");
final ZonedDateTime fixingPeriodStartDate =
ScheduleCalculator.getAdjustedDate(fixingDate, index.getSpotLag(), calendar);
final ZonedDateTime fixingPeriodEndDate =
ScheduleCalculator.getAdjustedDate(
fixingPeriodStartDate,
index.getTenor(),
index.getBusinessDayConvention(),
calendar,
index.isEndOfMonth());
final double fixingPeriodAccrualFactor =
index
.getDayCount()
.getDayCountFraction(fixingPeriodStartDate, fixingPeriodEndDate, calendar);
return new CouponIborDefinition(
index.getCurrency(),
fixingPeriodEndDate,
fixingPeriodStartDate,
fixingPeriodEndDate,
fixingPeriodAccrualFactor,
notional,
fixingDate,
index,
calendar);
}
static {
LEGS_DEFINITION[0] =
AnnuityDefinitionBuilder.couponFixed(
EUR,
SETTLEMENT_DATE,
MATURITY_DATE,
EUR1YEURIBOR6M.getFixedLegPeriod(),
TARGET,
EUR1YEURIBOR6M.getFixedLegDayCount(),
EUR1YEURIBOR6M.getBusinessDayConvention(),
EUR1YEURIBOR6M.isEndOfMonth(),
NOTIONAL,
SPREAD,
IS_PAYER_SPREAD,
STUB,
0);
LEGS_DEFINITION[1] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR3M.getTenor(),
NOTIONAL,
EURIBOR3M,
IS_PAYER_SPREAD,
EURIBOR3M.getDayCount(),
EURIBOR3M.getBusinessDayConvention(),
EURIBOR3M.isEndOfMonth(),
TARGET,
STUB,
0);
LEGS_DEFINITION[2] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR6M.getTenor(),
NOTIONAL,
EURIBOR6M,
!IS_PAYER_SPREAD,
EURIBOR6M.getDayCount(),
EURIBOR6M.getBusinessDayConvention(),
EURIBOR6M.isEndOfMonth(),
TARGET,
STUB,
0);
}
/**
* Compute the end date of a period from the start date, a period and a Ibor index. The index is
* used for the conventions.
*
* @param startDate The period start date.
* @param tenor The period tenor.
* @param index The Ibor index.
* @param calendar The holiday calendar.
* @return The end date.
*/
public static ZonedDateTime getAdjustedDate(
final ZonedDateTime startDate,
final Period tenor,
final IborIndex index,
final Calendar calendar) {
ArgumentChecker.notNull(index, "Index");
return getAdjustedDate(
startDate, tenor, index.getBusinessDayConvention(), calendar, index.isEndOfMonth());
}
@Override
protected void buildMessage(
final FudgeSerializer serializer, final MutableFudgeMsg message, final IborIndex object) {
message.add(SPOT_LAG_FIELD, object.getSpotLag());
message.add(DAY_COUNT_FIELD, object.getDayCount().getConventionName());
message.add(
BUSINESS_DAY_CONVENTION_FIELD, object.getBusinessDayConvention().getConventionName());
message.add(EOM_FIELD, object.isEndOfMonth());
message.add(TENOR_FIELD, object.getTenor().toString());
message.add(NAME_FIELD, object.getName());
message.add(CURRENCY_FIELD, object.getCurrency().getCode());
}
/**
* Compute a schedule of adjusted dates from a start date, total tenor and a Ibor index.
*
* @param startDate The start date.
* @param tenorTotal The total tenor.
* @param stubShort In case the the periods do not fit exactly between start and end date, is the
* remaining interval shorter (true) or longer (false) than the requested period.
* @param fromEnd The dates in the schedule can be computed from the end date (true) or from the
* start date (false).
* @param index The related ibor index. The period tenor, business day convention, calendar and
* EOM rule of the index are used.
* @param calendar The holiday calendar.
* @return The adjusted dates schedule (not including the start date).
*/
public static ZonedDateTime[] getAdjustedDateSchedule(
final ZonedDateTime startDate,
final Period tenorTotal,
final boolean stubShort,
final boolean fromEnd,
final IborIndex index,
final Calendar calendar) {
return getAdjustedDateSchedule(
startDate,
tenorTotal,
index.getTenor(),
stubShort,
fromEnd,
index.getBusinessDayConvention(),
calendar,
index.isEndOfMonth());
}
@Test
/** Tests the present value for curves with seasonal adjustment. */
public void presentValueSeasonality() {
MarketBundle marketSeason = MarketDataSets.createMarket2(PRICING_DATE);
int tenorYear = 5;
double notional = 100000000;
ZonedDateTime settleDate =
ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
ZonedDateTime paymentDate =
ScheduleCalculator.getAdjustedDate(
settleDate,
Period.ofYears(tenorYear),
BUSINESS_DAY,
CALENDAR_USD,
USDLIBOR3M.isEndOfMonth());
double weightSettle =
1.0
- (settleDate.getDayOfMonth() - 1.0)
/ settleDate.getMonthOfYear().getLastDayOfMonth(settleDate.isLeapYear());
double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition =
CouponInflationZeroCouponInterpolationDefinition.from(
settleDate, paymentDate, notional, PRICE_INDEX_US, indexStart, MONTH_LAG, false);
CouponInflationZeroCouponInterpolation zeroCouponUsd =
zeroCouponUsdDefinition.toDerivative(PRICING_DATE, "not used");
CurrencyAmount pvInflation = METHOD.presentValue(zeroCouponUsd, marketSeason);
double df =
MARKET
.getCurve(zeroCouponUsd.getCurrency())
.getDiscountFactor(zeroCouponUsd.getPaymentTime());
double indexMonth0 =
marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
double indexMonth1 =
marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
double finalIndex =
zeroCouponUsdDefinition.getWeight() * indexMonth0
+ (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
double pvExpected = (finalIndex / indexStart - 1) * df * notional;
assertEquals(
"PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(), 1E-2);
}
/**
* Constructor of a Ibor-like floating coupon from the coupon details and the Ibor index. The
* payment currency is the index currency. The fixing dates and accrual factors are inferred from
* the index.
*
* @param currency The coupon currency.
* @param paymentDate The coupon payment date.
* @param accrualStartDate The start date of the accrual period.
* @param accrualEndDate The end date of the accrual period.
* @param paymentAccrualFactor The accrual factor of the accrual period.
* @param notional The coupon notional.
* @param fixingDate The coupon fixing date.
* @param index The coupon Ibor index. Should of the same currency as the payment.
* @param calendar The holiday calendar for the ibor index.
*/
public CouponIborDefinition(
final Currency currency,
final ZonedDateTime paymentDate,
final ZonedDateTime accrualStartDate,
final ZonedDateTime accrualEndDate,
final double paymentAccrualFactor,
final double notional,
final ZonedDateTime fixingDate,
final IborIndex index,
final Calendar calendar) {
super(
currency,
paymentDate,
accrualStartDate,
accrualEndDate,
paymentAccrualFactor,
notional,
fixingDate);
ArgumentChecker.notNull(index, "index");
ArgumentChecker.notNull(calendar, "calendar");
ArgumentChecker.isTrue(
currency.equals(index.getCurrency()), "index currency different from payment currency");
_index = index;
_fixingPeriodStartDate =
ScheduleCalculator.getAdjustedDate(fixingDate, _index.getSpotLag(), calendar);
_fixingPeriodEndDate =
ScheduleCalculator.getAdjustedDate(
_fixingPeriodStartDate,
index.getTenor(),
index.getBusinessDayConvention(),
calendar,
index.isEndOfMonth());
_fixingPeriodAccrualFactor =
index
.getDayCount()
.getDayCountFraction(_fixingPeriodStartDate, _fixingPeriodEndDate, calendar);
_calendar = calendar;
}