public static ZonedDateTime[] getAdjustedMaturityDateSchedule(
final ZonedDateTime effectiveDate,
final ZonedDateTime[] dates,
final BusinessDayConvention convention,
final Calendar calendar,
final Frequency frequency) {
ArgumentChecker.notEmpty(dates, "dates");
ArgumentChecker.notNull(convention, "convention");
ArgumentChecker.notNull(calendar, "calendar");
ArgumentChecker.notNull(frequency, "frequency");
PeriodFrequency periodFrequency;
if (frequency instanceof PeriodFrequency) {
periodFrequency = (PeriodFrequency) frequency;
} else if (frequency instanceof SimpleFrequency) {
periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
} else {
throw new IllegalArgumentException(
"For the moment can only deal with PeriodFrequency and SimpleFrequency");
}
final Period period = periodFrequency.getPeriod();
final int n = dates.length;
final ZonedDateTime[] results = new ZonedDateTime[n];
results[0] = effectiveDate.plus(period);
for (int i = 1; i < n; i++) {
results[i] =
convention.adjustDate(
calendar,
dates[i - 1].plus(period)); // TODO need to further shift these dates by a convention
}
return results;
}
/**
* Counts back from maturityDate, filling to equally spaced dates frequency times a year until the
* last date <b>after</b> effective date.
*
* @param effectiveDate the date that terminates to back counting (i.e. the first date is after
* this date), not null
* @param maturityDate the date to count back from, not null
* @param frequency how many times a year dates occur, not null
* @return the first date after effectiveDate (i.e. effectiveDate is <b>not</b> included to the
* maturityDate (included)
*/
public static ZonedDateTime[] getBackwardsUnadjustedDateSchedule(
final ZonedDateTime effectiveDate,
final ZonedDateTime maturityDate,
final Frequency frequency) {
ArgumentChecker.notNull(effectiveDate, "effective date");
ArgumentChecker.notNull(maturityDate, "maturity date");
ArgumentChecker.notNull(frequency, "frequency");
if (effectiveDate.isAfter(maturityDate)) {
throw new IllegalArgumentException("Effective date was after maturity");
}
PeriodFrequency periodFrequency;
if (frequency instanceof PeriodFrequency) {
periodFrequency = (PeriodFrequency) frequency;
} else if (frequency instanceof SimpleFrequency) {
periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
} else {
throw new IllegalArgumentException(
"For the moment can only deal with PeriodFrequency and SimpleFrequency");
}
final Period period = periodFrequency.getPeriod();
final List<ZonedDateTime> dates = new ArrayList<>();
ZonedDateTime date = maturityDate;
// TODO review the tolerance given
while (date.isAfter(effectiveDate)
&& DateUtils.getExactDaysBetween(effectiveDate, date) > 4.0) {
dates.add(date);
date = date.minus(period);
}
Collections.sort(dates);
return dates.toArray(EMPTY_ARRAY);
}
/**
* Convert a Frequency to a Period when possible.
*
* @param frequency The frequency.
* @return The converted period.
*/
private static Period periodFromFrequency(final Frequency frequency) {
PeriodFrequency periodFrequency;
if (frequency instanceof PeriodFrequency) {
periodFrequency = (PeriodFrequency) frequency;
} else if (frequency instanceof SimpleFrequency) {
periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
} else {
throw new IllegalArgumentException(
"For the moment can only deal with PeriodFrequency and SimpleFrequency");
}
return periodFrequency.getPeriod();
}
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);
}
public static ZonedDateTime[] getAdjustedDateSchedule(
final ZonedDateTime startDate,
final ZonedDateTime endDate,
final Frequency frequency,
final BusinessDayConvention businessDayConvention,
final Calendar calendar,
final boolean isEOM) {
PeriodFrequency periodFrequency;
if (frequency instanceof PeriodFrequency) {
periodFrequency = (PeriodFrequency) frequency;
} else if (frequency instanceof SimpleFrequency) {
periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
} else {
throw new IllegalArgumentException(
"For the moment can only deal with PeriodFrequency and SimpleFrequency");
}
final Period period = periodFrequency.getPeriod();
return getAdjustedDateSchedule(
startDate, endDate, period, businessDayConvention, calendar, isEOM, true);
}
/**
* Calculates the unadjusted date schedule.
*
* @param effectiveDate the effective date, not null
* @param accrualDate the accrual date, not null
* @param maturityDate the maturity date, not null
* @param frequency how many times a year dates occur, not null
* @return the schedule, not null
*/
public static ZonedDateTime[] getUnadjustedDateSchedule(
final ZonedDateTime effectiveDate,
final ZonedDateTime accrualDate,
final ZonedDateTime maturityDate,
final Frequency frequency) {
ArgumentChecker.notNull(effectiveDate, "effective date");
ArgumentChecker.notNull(accrualDate, "accrual date");
ArgumentChecker.notNull(maturityDate, "maturity date");
ArgumentChecker.notNull(frequency, "frequency");
if (effectiveDate.isAfter(maturityDate)) {
throw new IllegalArgumentException("Effective date was after maturity");
}
if (accrualDate.isAfter(maturityDate)) {
throw new IllegalArgumentException("Accrual date was after maturity");
}
// TODO what if there's no valid date between accrual date and maturity date?
PeriodFrequency periodFrequency;
if (frequency instanceof PeriodFrequency) {
periodFrequency = (PeriodFrequency) frequency;
} else if (frequency instanceof SimpleFrequency) {
periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
} else {
throw new IllegalArgumentException(
"For the moment can only deal with PeriodFrequency and SimpleFrequency");
}
final Period period = periodFrequency.getPeriod();
final List<ZonedDateTime> dates = new ArrayList<>();
ZonedDateTime date =
effectiveDate; // TODO this is only correct if effective date = accrual date
date = date.plus(period);
while (isWithinSwapLifetime(
date,
maturityDate)) { // REVIEW: could speed this up by working out how many periods between
// start and end date?
dates.add(date);
date = date.plus(period);
}
return dates.toArray(EMPTY_ARRAY);
}