/**
* Creates a forward-starting trade based on this convention.
*
* <p>This returns a trade based on the specified period and tenor. For example, a period of 3
* months and a tenor of 5 years creates a swap starting three months after the spot date and
* maturing 5 years later.
*
* <p>The notional is unsigned, with buy/sell determining the direction of the trade. If buying
* the swap, the floating rate is received from the counterparty, with the fixed rate being paid.
* If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being
* received.
*
* @param tradeDate the date of the trade
* @param periodToStart the period between the spot date and the start date
* @param tenor the tenor of the swap
* @param buySell the buy/sell flag
* @param notional the notional amount
* @param fixedRate the fixed rate, typically derived from the market
* @return the trade
*/
public default SwapTrade toTrade(
LocalDate tradeDate,
Period periodToStart,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate) {
LocalDate spotValue = calculateSpotDateFromTradeDate(tradeDate);
LocalDate startDate = spotValue.plus(periodToStart);
LocalDate endDate = startDate.plus(tenor.getPeriod());
return toTrade(tradeDate, startDate, endDate, buySell, notional, fixedRate);
}
/**
* Creates a trade based on this convention.
*
* <p>This returns a trade based on the specified periods. For example, a '2 x 5' FRA has a period
* to the start date of 2 months and a period to the end date of 5 months
*
* <p>The notional is unsigned, with buy/sell determining the direction of the trade. If buying
* the FRA, the floating rate is received from the counterparty, with the fixed rate being paid.
* If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being
* received.
*
* @param tradeDate the date of the trade
* @param periodToStart the period between the spot date and the start date
* @param periodToEnd the period between the spot date and the end date
* @param buySell the buy/sell flag
* @param notional the notional amount, in the payment currency of the template
* @param fixedRate the fixed rate, typically derived from the market
* @return the trade
*/
public default FraTrade toTrade(
LocalDate tradeDate,
Period periodToStart,
Period periodToEnd,
BuySell buySell,
double notional,
double fixedRate) {
LocalDate spotValue = calculateSpotDateFromTradeDate(tradeDate);
LocalDate startDate = spotValue.plus(periodToStart);
LocalDate endDate = spotValue.plus(periodToEnd);
return toTrade(tradeDate, startDate, endDate, buySell, notional, fixedRate);
}
public void test_toTrade() {
IborFixingDepositConvention convention =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.currency(EUR)
.dayCount(ACT_365F)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.spotDateOffset(SPOT_ADJ)
.build();
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
Period depositPeriod = Period.ofMonths(3);
double notional = 1d;
double fixedRate = 0.045;
IborFixingDepositTrade trade =
convention.toTrade(tradeDate, depositPeriod, BUY, notional, fixedRate);
LocalDate startExpected = SPOT_ADJ.adjust(tradeDate);
LocalDate endExpected = startExpected.plus(depositPeriod);
IborFixingDeposit productExpected =
IborFixingDeposit.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.buySell(BUY)
.currency(EUR)
.dayCount(ACT_365F)
.startDate(startExpected)
.endDate(endExpected)
.fixedRate(fixedRate)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.notional(notional)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(tradeDate).build();
assertEquals(trade.getProduct(), productExpected);
assertEquals(trade.getTradeInfo(), tradeInfoExpected);
}
// -------------------------------------------------------------------------
@Override
public TermDepositTrade toTrade(
LocalDate tradeDate, Period depositPeriod, BuySell buySell, double notional, double rate) {
LocalDate startDate = getSpotDateOffset().adjust(tradeDate);
LocalDate endDate = startDate.plus(depositPeriod);
return toTrade(tradeDate, startDate, endDate, buySell, notional, rate);
}
/**
* Set up an on-the-run index represented as a single name CDS (i.e. by CdsAnalytic). The index
* roll dates (when new indices are issued) are 20 Mar & Sep, and the index is defined to have a
* maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the 6-Feb-2014 will
* have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). The accrual start date
* will be the previous IMM date (before the trade date), business-day adjusted. <b>Note</b> it
* payment interval is changed from the default of 3M, this will produce a (possibly incorrect)
* non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the nominal length of the index
* @return a CDS analytic description
*/
public CdsAnalytic makeCdx(LocalDate tradeDate, Period tenor) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(tenor, "tenor");
LocalDate effectiveDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
LocalDate roll = ImmDateLogic.getNextIndexRollDate(tradeDate);
LocalDate maturity = roll.plus(tenor).minusMonths(3);
return makeCds(tradeDate, effectiveDate, maturity);
}
/**
* Make a CDS with a maturity date the given period on from the next IMM date after the
* trade-date. The accrual start date will be the previous IMM date (before the trade date).
* <b>Note</b> it payment interval is changed from the default of 3M, this will produce a
* (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the tenor (length) of the CDS
* @param makeEffBusDay is the accrual start day business-day adjusted.
* @return a CDS analytic description
*/
public CdsAnalytic makeImmCds(LocalDate tradeDate, Period tenor, boolean makeEffBusDay) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(tenor, "tenor");
LocalDate effectiveDate =
makeEffBusDay
? _businessdayAdjustmentConvention.adjust(
ImmDateLogic.getPrevIMMDate(tradeDate), _calendar)
: ImmDateLogic.getPrevIMMDate(tradeDate);
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate maturity = nextIMM.plus(tenor);
return makeCds(tradeDate, effectiveDate, maturity);
}
public void test_trade() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
TermDepositTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit depositExpected =
TermDeposit.builder()
.buySell(BuySell.BUY)
.currency(EUR)
.dayCount(ACT_360)
.startDate(startDateExpected)
.endDate(endDateExpected)
.notional(1.0d)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.rate(rate + SPREAD)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build();
assertEquals(trade.getProduct(), depositExpected);
assertEquals(trade.getInfo(), tradeInfoExpected);
}
public void setUp(BigDecimal threshold, LocalDate startDate, Period period) {
this.threshold = threshold;
this.startDate = startDate;
this.endDate = startDate.plus(period);
}
/**
* /** A forward starting index starts on some date after today (the trade date). The stepin date
* and cash settlement date are taken from the forward start date (1 day and 3 working days by
* default). The maturity (of the index) is taken from the forward-start-date. The index roll
* dates (when new indices are issued) are 20 Mar & Sep, and the index is defined to have a
* maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the 6-Feb-2014 will
* have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). However for a
* trade-date of 6-Feb-2014, a forward-start-date of 25-Mar-2014 and a tenor of 5Y, the maturity
* will be 20-Jun-2019.
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param tenor the tenor (nominal length) of the index at the forwardStartDate
* @return a CDS analytic description for a forward starting index
*/
public CdsAnalytic makeForwardStartingCdx(
LocalDate tradeDate, LocalDate forwardStartDate, Period tenor) {
LocalDate roll = ImmDateLogic.getNextIndexRollDate(forwardStartDate);
LocalDate maturity = roll.plus(tenor).minusMonths(3);
return makeForwardStartingCds(tradeDate, forwardStartDate, maturity);
}
/**
* A forward starting CDS starts on some date after today (the trade date). The stepin date and
* cash settlement date are taken from the forward start date (1 day and 3 working days by
* default). The period is from the next IMM date after the forward-start-date, so for a
* trade-date of 13-Feb-2014, a forward-start-date of 25-Mar-2014 and a tenor of 1Y, the maturity
* will be 20-Jun-2015.
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param tenor the tenor (length) of the CDS at the forwardStartDate
* @return a CDS analytic description for a forward starting CDS
*/
public CdsAnalytic makeForwardStartingImmCds(
LocalDate tradeDate, LocalDate forwardStartDate, Period tenor) {
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(forwardStartDate);
LocalDate maturity = nextIMM.plus(tenor);
return makeForwardStartingCds(tradeDate, forwardStartDate, maturity);
}
public MakeReservation() {
new BorderLayout();
standardRoom.setMnemonic(KeyEvent.VK_K);
standardRoom.setActionCommand("Standard Room");
standardRoom.setSelected(true);
familyRoom.setMnemonic(KeyEvent.VK_F);
familyRoom.setActionCommand("Family Room");
suiteRoom.setMnemonic(KeyEvent.VK_S);
suiteRoom.setActionCommand("Suite");
// Add Booking Button
ImageIcon bookRoomIcon = createImageIcon("images/book.png");
bookRoom = new JButton("Book Room", bookRoomIcon);
bookRoom.setVerticalTextPosition(AbstractButton.BOTTOM);
bookRoom.setHorizontalTextPosition(AbstractButton.CENTER);
bookRoom.setMnemonic(KeyEvent.VK_M);
bookRoom.addActionListener(this);
bookRoom.setActionCommand("book");
// Group the radio buttons.
group.add(standardRoom);
group.add(familyRoom);
group.add(suiteRoom);
// Create the labels.
nameLabel = new JLabel("Name: ");
amountroomsLabel = new JLabel("How many rooms? ");
checkoutdateLabel = new JLabel("Check-Out Date: ");
checkindateLabel = new JLabel("Check-In Date: ");
// Create the text fields and set them up.
nameField = new JFormattedTextField();
nameField.setColumns(10);
amountroomsField = new JFormattedTextField(new Integer(1));
amountroomsField.setValue(new Integer(1));
amountroomsField.setColumns(10);
// java.util.Date dt_checkin = new java.util.Date();
LocalDate today = LocalDate.now();
// java.text.SimpleDateFormat sdf_checkin = new java.text.SimpleDateFormat("MM/dd/yyyy");
currentDate_checkin = today.toString();
checkindateField = new JFormattedTextField(currentDate_checkin);
checkindateField.setColumns(10);
// java.util.Date dt_checkout = new java.util.Date();
LocalDate tomorrow = today.plus(1, ChronoUnit.DAYS);
// java.text.SimpleDateFormat sdf_checkout = new java.text.SimpleDateFormat("MM/dd/yyyy");
currentDate_checkout = tomorrow.toString();
checkoutdateField = new JFormattedTextField(currentDate_checkout);
checkoutdateField.setColumns(10);
// Tell accessibility tools about label/textfield pairs.
nameLabel.setLabelFor(nameField);
amountroomsLabel.setLabelFor(amountroomsField);
checkoutdateLabel.setLabelFor(checkoutdateField);
checkindateLabel.setLabelFor(checkindateField);
// Lay out the labels in a panel.
JPanel labelPane1 = new JPanel(new GridLayout(0, 1));
labelPane1.add(amountroomsLabel);
JPanel labelPane3 = new JPanel(new GridLayout(0, 1));
labelPane3.add(checkindateLabel);
JPanel labelPane2 = new JPanel(new GridLayout(0, 1));
labelPane2.add(checkoutdateLabel);
JPanel labelPane4 = new JPanel(new GridLayout(0, 1));
labelPane4.add(nameLabel);
// Layout the text fields in a panel.
JPanel fieldPane1 = new JPanel(new GridLayout(0, 1));
fieldPane1.add(amountroomsField);
JPanel fieldPane3 = new JPanel(new GridLayout(0, 1));
fieldPane3.add(checkindateField);
JPanel fieldPane2 = new JPanel(new GridLayout(0, 1));
fieldPane2.add(checkoutdateField);
JPanel fieldPane4 = new JPanel(new GridLayout(0, 1));
fieldPane4.add(nameField);
// Put the radio buttons in a column in a panel.
JPanel radioPanel = new JPanel(new GridLayout(0, 1));
radioPanel.add(standardRoom);
radioPanel.add(familyRoom);
radioPanel.add(suiteRoom);
// Put the panels in this panel, labels on left,
// text fields on right.
setBorder(BorderFactory.createEmptyBorder(20, 20, 20, 20));
add(labelPane1, BorderLayout.LINE_START);
add(fieldPane1, BorderLayout.LINE_END);
add(labelPane3, BorderLayout.LINE_START);
add(fieldPane3, BorderLayout.LINE_END);
add(labelPane2, BorderLayout.LINE_START);
add(fieldPane2, BorderLayout.LINE_END);
add(labelPane4, BorderLayout.LINE_START);
add(fieldPane4, BorderLayout.LINE_END);
add(radioPanel, BorderLayout.LINE_END);
add(bookRoom);
}
