@Override
public Coupon toDerivative(final ZonedDateTime dateTime) {
ArgumentChecker.notNull(dateTime, "date");
final LocalDate dayConversion = dateTime.toLocalDate();
ArgumentChecker.isTrue(
!dayConversion.isAfter(getFixingDate().toLocalDate()),
"Do not have any fixing data but are asking for a derivative at "
+ dateTime
+ " which is after fixing date "
+ getFixingDate());
ArgumentChecker.isTrue(
!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
final double fixingPeriodStartTime =
TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
final double fixingPeriodEndTime =
TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
return new CouponIbor(
getCurrency(),
paymentTime,
getPaymentYearFraction(),
getNotional(),
fixingTime,
getIndex(),
fixingPeriodStartTime,
fixingPeriodEndTime,
getFixingPeriodAccrualFactor());
}
@Test
public void testReturnsWithZeroesInSeries() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 3];
double random;
for (int i = 0; i < n - 2; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
times[n - 2] = LocalDate.ofEpochDay(n - 2);
data[n - 2] = 0;
times[n - 1] = LocalDate.ofEpochDay(n - 1);
data[n - 1] = RANDOM.nextDouble();
final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
final LocalDateDoubleTimeSeries returnTS =
ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n - 2), returns);
final TimeSeriesReturnCalculator strict =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.STRICT);
final LocalDateDoubleTimeSeries[] tsArray = new LocalDateDoubleTimeSeries[] {priceTS};
try {
strict.evaluate(tsArray);
Assert.fail();
} catch (final TimeSeriesException e) {
// Expected
}
final TimeSeriesReturnCalculator lenient =
new ContinuouslyCompoundedTimeSeriesReturnCalculator(CalculationMode.LENIENT);
assertTrue(lenient.evaluate(tsArray).equals(returnTS));
}
@Test
public void testReturnsWithDividendsAtDifferentTimes() {
final int n = 20;
final LocalDate[] times = new LocalDate[n];
final double[] data = new double[n];
final double[] returns = new double[n - 1];
double random;
for (int i = 0; i < n; i++) {
times[i] = LocalDate.ofEpochDay(i);
random = RANDOM.nextDouble();
data[i] = random;
if (i > 0) {
returns[i - 1] = Math.log(random / data[i - 1]);
}
}
final LocalDateDoubleTimeSeries dividendTS =
ImmutableLocalDateDoubleTimeSeries.of(
new LocalDate[] {LocalDate.ofEpochDay(300)}, new double[] {3});
final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
final LocalDateDoubleTimeSeries returnTS =
ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
assertTrue(
CALCULATOR
.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS})
.equals(returnTS));
}
/**
* Calculate the accrued premium at the start of a trade
*
* @param premiumLegSchedule
* @param stepinDate The trade effective date
* @return accrued premium
*/
private double calculateAccruedInterest(
final ISDAPremiumLegSchedule premiumLegSchedule, final LocalDate stepinDate) {
final int n = premiumLegSchedule.getNumPayments();
// stepinDate is before first accStart or after last accEnd
if (!stepinDate.isAfter(premiumLegSchedule.getAccStartDate(0))
|| !stepinDate.isBefore(premiumLegSchedule.getAccEndDate(n - 1))) {
return 0.0;
}
int index = premiumLegSchedule.getAccStartDateIndex(stepinDate);
if (index >= 0) {
return 0.0; // on accrual start date
}
index = -(index + 1); // binary search notation
if (index == 0) {
throw new MathException(
"Error in calculateAccruedInterest - check logic"); // this should never be hit
}
return _accuralDayCount.getDayCountFraction(
premiumLegSchedule.getAccStartDate(index - 1), stepinDate);
}
@Test
public void test() {
for (int i = 1; i < 30; i++) {
final LocalDate date = LocalDate.of(2013, 1, i);
assertEquals(LocalDate.of(2013, 1, 31), ADJUSTER.adjustInto(date));
}
}
@BeforeMethod
public void setUp() {
dates = new LocalDate[] {LocalDate.of(2012, 6, 30), LocalDate.of(2012, 7, 1)};
values = new double[] {1.1d, 2.2d};
ts = ImmutableLocalDateDoubleTimeSeries.of(dates, values);
empty = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES;
}
@Override
protected void onCreate(Bundle savedInstanceState) {
super.onCreate(savedInstanceState);
setContentView(R.layout.activity_main);
datePicker = (WeekDatePicker) findViewById(R.id.date_picker);
datePicker.setDateIndicator(LocalDate.now().plusDays(1), true);
datePicker.setLimits(LocalDate.now().minusWeeks(1), null);
}
@Override
public Coupon toDerivative(
final ZonedDateTime date,
final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries,
final String... yieldCurveNames) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
ArgumentChecker.isTrue(yieldCurveNames.length > 0, "at least one curve required");
ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
final double lastKnownFixingTime =
TimeCalculator.getTimeBetween(date, getLastKnownFixingDate());
final LocalDate dayConversion = date.toLocalDate();
final String discountingCurveName = yieldCurveNames[0];
final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
final LocalDate dayFixing = getReferenceEndDate()[1].toLocalDate();
if (dayConversion.isAfter(dayFixing)) {
final Double fixedEndIndex1 = priceIndexTimeSeries.getValue(getReferenceEndDate()[1]);
if (fixedEndIndex1 != null) {
final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDate()[0]);
final Double fixedEndIndex =
getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
final Double fixedRate = (fixedEndIndex / getIndexStartValue() - 1.0);
return new CouponFixed(
getCurrency(),
paymentTime,
discountingCurveName,
getPaymentYearFraction(),
getNotional(),
payOff(fixedRate));
}
}
final double[] referenceEndTime = new double[2];
referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDate[0]);
referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDate[1]);
final ZonedDateTime naturalPaymentDate =
getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
return new CapFloorInflationZeroCouponInterpolation(
getCurrency(),
paymentTime,
getPaymentYearFraction(),
getNotional(),
getPriceIndex(),
lastKnownFixingTime,
_indexStartValue,
referenceEndTime,
naturalPaymentEndTime,
_maturity,
_weight,
_strike,
_isCap);
}
private InterestRateSwapSecurity createFixedVsLibor3mSwap() {
InterestRateSwapNotional notional = new InterestRateSwapNotional(Currency.USD, 100_000_000);
PeriodFrequency freq6m = PeriodFrequency.of(Period.ofMonths(6));
PeriodFrequency freq3m = PeriodFrequency.of(Period.ofMonths(3));
Set<ExternalId> calendarUSNY =
Sets.newHashSet(ExternalId.of(ExternalSchemes.ISDA_HOLIDAY, "USNY"));
List<InterestRateSwapLeg> legs = new ArrayList<>();
FixedInterestRateSwapLeg payLeg = new FixedInterestRateSwapLeg();
payLeg.setNotional(notional);
payLeg.setDayCountConvention(DayCounts.THIRTY_U_360);
payLeg.setPaymentDateFrequency(freq6m);
payLeg.setPaymentDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setPaymentDateCalendars(calendarUSNY);
payLeg.setMaturityDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setAccrualPeriodFrequency(freq6m);
payLeg.setAccrualPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setAccrualPeriodCalendars(calendarUSNY);
payLeg.setRate(new Rate(0.0150));
payLeg.setPayReceiveType(PayReceiveType.PAY);
legs.add(payLeg);
FloatingInterestRateSwapLeg receiveLeg = new FloatingInterestRateSwapLeg();
receiveLeg.setNotional(notional);
receiveLeg.setDayCountConvention(DayCounts.ACT_360);
receiveLeg.setPaymentDateFrequency(freq3m);
receiveLeg.setPaymentDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setPaymentDateCalendars(calendarUSNY);
receiveLeg.setMaturityDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setAccrualPeriodFrequency(freq3m);
receiveLeg.setAccrualPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setAccrualPeriodCalendars(calendarUSNY);
receiveLeg.setResetPeriodFrequency(freq3m);
receiveLeg.setResetPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setResetPeriodCalendars(calendarUSNY);
receiveLeg.setFixingDateBusinessDayConvention(BusinessDayConventions.PRECEDING);
receiveLeg.setFixingDateCalendars(calendarUSNY);
receiveLeg.setFixingDateOffset(-2);
receiveLeg.setFloatingRateType(FloatingRateType.IBOR);
receiveLeg.setFloatingReferenceRateId(InterestRateMockSources.getLiborIndexId());
receiveLeg.setPayReceiveType(PayReceiveType.RECEIVE);
legs.add(receiveLeg);
return new InterestRateSwapSecurity(
ExternalIdBundle.of(ExternalId.of("UUID", GUIDGenerator.generate().toString())),
"Fixed vs Libor 3m",
LocalDate.of(2014, 9, 12), // effective date
LocalDate.of(2021, 9, 12), // maturity date,
legs);
}
/**
* Expiry date of Brent crude Futures: The business day preceding the 15th day of the contract
* month. See
* http://www.cmegroup.com/trading/energy/crude-oil/brent-crude-oil-last-day_contractSpecs_futures.html#prodType=AME
* Note: Logic to handle holidays in London is not handled currently
*
* @param n n'th expiry date after today
* @param today valuation date
* @param holidayCalendar holiday calendar
* @return True expiry date of the option
*/
@Override
public LocalDate getExpiryDate(
final int n, final LocalDate today, final Calendar holidayCalendar) {
ArgumentChecker.isTrue(n > 0, "n must be greater than zero; have {}", n);
ArgumentChecker.notNull(today, "today");
ArgumentChecker.notNull(holidayCalendar, "holiday calendar");
LocalDate expiryDate = getExpiryMonth(n, today);
while (!holidayCalendar.isWorkingDay(expiryDate)) {
expiryDate = expiryDate.minusDays(1);
}
return expiryDate;
}
// -------------------------------------------------------------------------
@Override
protected void doRun() {
ToolContext toolContext = getToolContext();
CommandLine commandLine = getCommandLine();
boolean verbose = commandLine.hasOption("verbose");
if ((commandLine.hasOption("today") && commandLine.hasOption("yesterday"))
|| (commandLine.hasOption("date") && commandLine.hasOption("today"))
|| (commandLine.hasOption("date") && commandLine.hasOption("yesterday"))) {
System.err.println("Can only return today OR yesterday OR date!");
System.exit(2);
}
String ccyStr = commandLine.getOptionValue("ccy");
try {
Currency ccy = Currency.of(ccyStr);
LocalDate date = null;
if (commandLine.hasOption("yesterday")) {
date = LocalDate.now().minusDays(1);
} else if (commandLine.hasOption("today")) {
date = LocalDate.now();
} else if (commandLine.hasOption("date")) {
try {
date =
(LocalDate)
DateTimeFormatter.BASIC_ISO_DATE.parse(commandLine.getOptionValue("date"));
} catch (Exception e) {
System.err.println("Could not parse date, should be YYYYMMDD format");
System.exit(2);
}
} else {
System.err.println("Must specify either today or yesterday option");
System.exit(2);
}
boolean isHoliday = toolContext.getHolidaySource().isHoliday(date, ccy);
if (isHoliday) {
if (verbose) {
System.out.println("Day was a holiday");
}
System.exit(0);
} else {
if (verbose) {
System.out.println("Day was not a holiday");
}
System.exit(1);
}
} catch (IllegalArgumentException iae) {
System.err.println("Invalid currency code");
System.exit(2);
}
}
@Test(dataProvider = "calendars")
public void test_badDateTimeFieldChrono(Chronology chrono) {
LocalDate refDate = LocalDate.of(1900, 1, 1);
ChronoLocalDateTime cdt = chrono.date(refDate).atTime(LocalTime.NOON);
for (Chronology[] clist : data_of_calendars()) {
Chronology chrono2 = clist[0];
ChronoLocalDateTime<?> cdt2 = chrono2.date(refDate).atTime(LocalTime.NOON);
TemporalField adjuster = new FixedDateTimeField(cdt2);
if (chrono != chrono2) {
try {
cdt.with(adjuster, 1);
Assert.fail(
"DateTimeField doSet should have thrown a ClassCastException"
+ cdt.getClass()
+ ", can not be cast to "
+ cdt2.getClass());
} catch (ClassCastException cce) {
// Expected exception; not an error
}
} else {
// Same chronology,
ChronoLocalDateTime<?> result = cdt.with(adjuster, 1);
assertEquals(result, cdt2, "DateTimeField doSet failed to replace date");
}
}
}
/**
* If effective date is present at the swap level, that is the value to use. If the effective date
* is null, then there must be effective dates defined on the legs. In this case return the
* minimum value between the two legs.
*
* @return effective date for the swap
*/
public LocalDate getEffectiveDate() {
if (_effectiveDate != null) {
return _effectiveDate;
} else {
LocalDate leg1 = getPayLeg().getEffectiveDate();
LocalDate leg2 = getReceiveLeg().getEffectiveDate();
if (leg1 == null || leg2 == null) {
throw new OpenGammaRuntimeException("Cannot find effective date on swap or both legs");
}
if (leg1.isBefore(leg2)) {
return leg1;
} else {
return leg2;
}
}
}
/**
* Computes the risky present value of a premium payment
*
* <p>This mimics the ISDA c code function <b>FeePaymentPVWithTimeLine<b>
*
* @param today
* @param valueDate
* @param stepinDate
* @param accStartDate
* @param accEndDate
* @param payAccOnDefault
* @return PV
*/
private double[] calculateSinglePeriodRPV01(
final LocalDate today,
final LocalDate accStartDate,
final LocalDate accEndDate,
final LocalDate paymentDate,
final int obsOffset,
final ISDACompliantDateYieldCurve yieldCurve,
final ISDACompliantDateCreditCurve hazardRateCurve) {
final double accTime = _accuralDayCount.getDayCountFraction(accStartDate, accEndDate);
double t = _curveDayCount.getDayCountFraction(today, paymentDate);
double tObsOffset = _curveDayCount.getDayCountFraction(today, accEndDate.plusDays(obsOffset));
// TODO Do we need this?
// Compensate Java shortcoming
if (Double.compare(t, -0.0) == 0) {
t = 0;
}
if (Double.compare(tObsOffset, -0.0) == 0) {
tObsOffset = 0;
}
final double survival = hazardRateCurve.getSurvivalProbability(tObsOffset);
final double discount = yieldCurve.getDiscountFactor(t);
return new double[] {accTime * discount * survival, accTime};
}
@Test
public void testCounterparty() {
FRASecurity security = ExposureFunctionTestHelper.getFRASecurity();
Trade trade =
new SimpleTrade(security, BigDecimal.ONE, COUNTERPARTY, LocalDate.now(), OffsetTime.now());
assertEquals(COUNTERPARTY_ID, EXPOSURE_FUNCTION.getIds(trade).get(0));
}
@Test(dataProvider = "calendars")
public void test_badWithAdjusterChrono(Chronology chrono) {
LocalDate refDate = LocalDate.of(1900, 1, 1);
ChronoLocalDateTime cdt = chrono.date(refDate).atTime(LocalTime.NOON);
for (Chronology[] clist : data_of_calendars()) {
Chronology chrono2 = clist[0];
ChronoLocalDateTime<?> cdt2 = chrono2.date(refDate).atTime(LocalTime.NOON);
TemporalAdjuster adjuster = new FixedAdjuster(cdt2);
if (chrono != chrono2) {
try {
cdt.with(adjuster);
Assert.fail(
"WithAdjuster should have thrown a ClassCastException, "
+ "required: "
+ cdt
+ ", supplied: "
+ cdt2);
} catch (ClassCastException cce) {
// Expected exception; not an error
}
} else {
// Same chronology,
ChronoLocalDateTime<?> result = cdt.with(adjuster);
assertEquals(result, cdt2, "WithAdjuster failed to replace date");
}
}
}
/**
* If termination date is present at the swap level, that is the value to use. If the termination
* date is null, then there must be termination dates defined on the legs. In this case return the
* maximum value between the two legs.
*
* @return termination date for the swap
*/
public LocalDate getUnadjustedMaturityDate() {
if (_unadjustedMaturityDate != null) {
return _unadjustedMaturityDate;
} else {
LocalDate leg1 = getPayLeg().getUnadjustedMaturityDate();
LocalDate leg2 = getReceiveLeg().getUnadjustedMaturityDate();
if (leg1 == null || leg2 == null) {
throw new OpenGammaRuntimeException("Cannot find termination date on swap or both legs");
}
if (leg1.isAfter(leg2)) {
return leg1;
} else {
return leg2;
}
}
}
@Test(dataProvider = "calendars")
public void test_badPlusPeriodUnitChrono(Chronology chrono) {
LocalDate refDate = LocalDate.of(1900, 1, 1);
ChronoLocalDateTime cdt = chrono.date(refDate).atTime(LocalTime.NOON);
for (Chronology[] clist : data_of_calendars()) {
Chronology chrono2 = clist[0];
ChronoLocalDateTime<?> cdt2 = chrono2.date(refDate).atTime(LocalTime.NOON);
TemporalUnit adjuster = new FixedPeriodUnit(cdt2);
if (chrono != chrono2) {
try {
cdt.plus(1, adjuster);
Assert.fail(
"PeriodUnit.doAdd plus should have thrown a ClassCastException"
+ cdt
+ ", can not be cast to "
+ cdt2);
} catch (ClassCastException cce) {
// Expected exception; not an error
}
} else {
// Same chronology,
ChronoLocalDateTime<?> result = cdt.plus(1, adjuster);
assertEquals(result, cdt2, "WithAdjuster failed to replace date");
}
}
}
@Test(expectedExceptions = TimeSeriesException.class)
public void testWithBadInputs() {
final LocalDateDoubleTimeSeries ts =
ImmutableLocalDateDoubleTimeSeries.of(
new LocalDate[] {LocalDate.ofEpochDay(1)}, new double[] {4});
CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {ts});
}
/**
* {@inheritDoc} If the fixing date is strictly before the conversion date and the fixing rate is
* not available, an exception is thrown; if the fixing rate is available a fixed coupon is
* returned. If the fixing date is equal to the conversion date, if the fixing rate is available a
* fixed coupon is returned, if not a coupon Ibor with spread is returned. If the fixing date is
* strictly after the conversion date, a coupon Ibor is returned. All the comparisons are between
* dates without time.
*/
@Override
public Coupon toDerivative(
final ZonedDateTime dateTime, final DoubleTimeSeries<ZonedDateTime> indexFixingTimeSeries) {
ArgumentChecker.notNull(dateTime, "date");
final LocalDate dayConversion = dateTime.toLocalDate();
ArgumentChecker.notNull(indexFixingTimeSeries, "Index fixing time series");
ArgumentChecker.isTrue(
!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
final LocalDate dayFixing = getFixingDate().toLocalDate();
if (dayConversion.equals(
dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if
// not, the floating coupon is created.
final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
if (fixedRate != null) {
return new CouponFixed(
getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
}
}
if (dayConversion.isAfter(dayFixing)) { // The fixing is required
final ZonedDateTime rezonedFixingDate =
getFixingDate().toLocalDate().atStartOfDay(ZoneOffset.UTC);
final Double fixedRate =
indexFixingTimeSeries.getValue(rezonedFixingDate); // TODO: remove time from fixing date.
if (fixedRate == null) {
throw new OpenGammaRuntimeException(
"Could not get fixing value for date " + getFixingDate());
}
return new CouponFixed(
getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
}
final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
final double fixingPeriodStartTime =
TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
final double fixingPeriodEndTime =
TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
return new CouponIbor(
getCurrency(),
paymentTime,
getPaymentYearFraction(),
getNotional(),
fixingTime,
getIndex(),
fixingPeriodStartTime,
fixingPeriodEndTime,
getFixingPeriodAccrualFactor());
}
@SuppressWarnings("deprecation")
public void testTrade_withPremium() {
SimpleTrade trade = new SimpleTrade();
trade.setUniqueId(UniqueId.of("A", "B"));
trade.setQuantity(BigDecimal.valueOf(12.34d));
trade.setSecurityLink(new SimpleSecurityLink(ObjectId.of("E", "F")));
trade.setCounterparty(new SimpleCounterparty(ExternalId.of("G", "H")));
trade.setTradeDate(LocalDate.of(2011, 1, 5));
trade.setTradeTime(OffsetTime.parse("14:30+02:00"));
// set premium
trade.setPremium(100.00);
trade.setPremiumCurrency(Currency.USD);
trade.setPremiumDate(LocalDate.of(2011, 1, 6));
trade.setPremiumTime(OffsetTime.parse("15:30+02:00"));
assertEncodeDecodeCycle(Trade.class, trade);
}
/**
* Gets trading months (not static as depends on current date).
*
* @param now the date today, not null
* @return the valid trading months, not null
*/
private Month[] getTradingMonths(final LocalDate now) {
// this may need improvements as the year end approaches
Set<Month> ret = new TreeSet<>();
ret.add(now.getMonth()); // this month
ret.add(now.getMonth().plus(1)); // next month
ret.add(now.getMonth().plus(2)); // next 2 months
// February, April, August, and October in next 23 months
ret.add(Month.FEBRUARY);
ret.add(Month.APRIL);
ret.add(Month.AUGUST);
ret.add(Month.OCTOBER);
// June and December falling in next 72 month period
ret.add(Month.JUNE);
ret.add(Month.DECEMBER);
// assuming this gives enough valid dates so dont go round to next 12 month period
return ret.toArray(new Month[0]);
}
public void getHistoricalTimeSeriesByExternalIdWithMetaData() throws Exception {
HistoricalTimeSeriesInfoSearchRequest request =
new HistoricalTimeSeriesInfoSearchRequest(IDENTIFIERS);
request.setValidityDate(LocalDate.now());
request.setDataSource(BBG_DATA_SOURCE);
request.setDataProvider(CMPL_DATA_PROVIDER);
request.setDataField(CLOSE_DATA_FIELD);
HistoricalTimeSeriesInfoSearchResult searchResult = new HistoricalTimeSeriesInfoSearchResult();
HistoricalTimeSeriesInfoDocument doc = new HistoricalTimeSeriesInfoDocument();
doc.setUniqueId(UID);
when(_mockResolver.resolve(
IDENTIFIERS,
LocalDate.now(),
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
null))
.thenReturn(new HistoricalTimeSeriesResolutionResult(doc.getInfo()));
doc.getInfo().setTimeSeriesObjectId(UID.getObjectId());
searchResult.getDocuments().add(doc);
when(_mockMaster.search(request)).thenReturn(searchResult);
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
hts.setUniqueId(UID);
hts.setTimeSeries(randomTimeSeries());
when(_mockMaster.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(null, null)))
.thenReturn(hts);
HistoricalTimeSeries test =
_tsSource.getHistoricalTimeSeries(
IDENTIFIERS, BBG_DATA_SOURCE, CMPL_DATA_PROVIDER, CLOSE_DATA_FIELD);
verify(_mockMaster, times(1))
.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(null, null));
assertEquals(UID, test.getUniqueId());
}
public static LocalDate[] getSettlementDateSchedule(
final LocalDate[] dates,
final Calendar calendar,
final BusinessDayConvention businessDayConvention,
final int settlementDays) {
ArgumentChecker.notEmpty(dates, "dates");
ArgumentChecker.notNull(calendar, "calendar");
final int n = dates.length;
final LocalDate[] result = new LocalDate[n];
for (int i = 0; i < n; i++) {
LocalDate date = businessDayConvention.adjustDate(calendar, dates[i].plusDays(1));
for (int j = 0; j < settlementDays; j++) {
date = businessDayConvention.adjustDate(calendar, date.plusDays(1));
}
result[i] = date;
}
return result;
}
public void testTrade() {
SimpleTrade trade = new SimpleTrade();
trade.setUniqueId(UniqueId.of("A", "B"));
trade.setQuantity(BigDecimal.valueOf(12.34d));
trade.setSecurityLink(new SimpleSecurityLink(ExternalId.of("E", "F")));
trade.setCounterparty(new SimpleCounterparty(ExternalId.of("G", "H")));
trade.setTradeDate(LocalDate.of(2011, 1, 5));
trade.setTradeTime(OffsetTime.parse("14:30+02:00"));
assertEncodeDecodeCycle(Trade.class, trade);
}
@Override
/**
* Given a LocalDate representing the valuation date and an integer representing the n'th expiry
* after that date, returns a date in the expiry month Used in
* BloombergFutureUtils.getExpiryCodeForSoybeanFutures()
*/
public LocalDate getExpiryMonth(final int n, final LocalDate today) {
ArgumentChecker.isTrue(n > 0, "n must be greater than zero");
ArgumentChecker.notNull(today, "today");
LocalDate expiryDate = today;
for (int m = n; m > 0; m--) {
expiryDate = getNextExpiryMonth(expiryDate);
}
if (expiryDate.getDayOfMonth() > 15) {
expiryDate = getNextExpiryMonth(expiryDate);
}
// set day to first possible - used in getExpiryDate()
return LocalDate.of(expiryDate.getYear(), expiryDate.getMonth(), 14);
}
private HistoricalTimeSeries getAllowedRecentPoints(
final HistoricalTimeSeriesInfoDocument timeSeriesInfo) {
final LocalDate from = oldestTimeSeriesAllowed();
final HistoricalTimeSeries timeSeries =
getToolContext()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries(
timeSeriesInfo.getUniqueId().toLatest(), from, true, LocalDate.now(), true);
return timeSeries;
}
@Override
public List<SlackMessagePosted> fetchHistoryOfChannel(
String channelId, LocalDate day, int numberOfMessages) {
Map<String, String> params = new HashMap<>();
params.put("channel", channelId);
if (day != null) {
ZonedDateTime start = ZonedDateTime.of(day.atStartOfDay(), ZoneId.of("UTC"));
ZonedDateTime end =
ZonedDateTime.of(
day.atStartOfDay().plusDays(1).minus(1, ChronoUnit.MILLIS), ZoneId.of("UTC"));
params.put("oldest", convertDateToSlackTimestamp(start));
params.put("latest", convertDateToSlackTimestamp(end));
}
if (numberOfMessages > -1) {
params.put("count", String.valueOf(numberOfMessages));
} else {
params.put("count", String.valueOf(1000));
}
return fetchHistoryOfChannel(params);
}
public void testFull() {
SimpleTrade trade = new SimpleTrade();
trade.setUniqueId(UniqueId.of("A", "B"));
trade.setQuantity(BigDecimal.valueOf(12.34d));
trade.setSecurityLink(new SimpleSecurityLink(ExternalId.of("E", "F")));
trade.setCounterparty(new SimpleCounterparty(ExternalId.of("G", "H")));
trade.setTradeDate(LocalDate.of(2011, 1, 5));
trade.setTradeTime(OffsetTime.parse("14:30+02:00"));
// set premium
trade.setPremium(100.00);
trade.setPremiumCurrency(Currency.USD);
trade.setPremiumDate(LocalDate.of(2011, 1, 6));
trade.setPremiumTime(OffsetTime.parse("15:30+02:00"));
// set attributes
trade.addAttribute("A", "B");
trade.addAttribute("C", "D");
assertEncodeDecodeCycle(Trade.class, trade);
}
/**
* Get a LocalDate field (converted from a String internally). Throws a QuandlRuntimeException if
* it cannot find the field
*
* @param fieldName the name of the field
* @return the field value, or null if the field is null
*/
public LocalDate getLocalDate(final String fieldName) {
try {
if (_jsonObject.isNull(fieldName)) {
return null;
} else {
return LocalDate.parse(_jsonObject.getString(fieldName), DATE_FORMATTER);
}
} catch (JSONException ex) {
throw new QuandlRuntimeException("Cannot find field", ex);
}
}
