/**
* Creates a periodic frequency.
*
* @param period the period to represent
* @param name the name
*/
private Frequency(Period period, String name) {
ArgChecker.notNull(period, "period");
ArgChecker.isFalse(period.isZero(), "Period must not be zero");
ArgChecker.isFalse(period.isNegative(), "Period must not be negative");
this.period = period;
this.name = name;
}
/**
* Puts the specified date/value point into this builder.
*
* @param date the date to be added
* @param value the value associated with the date
* @return this builder
*/
public LocalDateDoubleTimeSeriesBuilder put(LocalDate date, double value) {
ArgChecker.notNull(date, "date");
ArgChecker.isFalse(Double.isNaN(value), "NaN is not allowed as a value");
entries.put(date, value);
if (!containsWeekends && date.get(ChronoField.DAY_OF_WEEK) > 5) {
containsWeekends = true;
}
return this;
}
// check that one leg is fixed and return it
private ExpandedSwapLeg fixedLeg(ExpandedSwap swap) {
ArgChecker.isFalse(swap.isCrossCurrency(), "swap should be single currency");
// find fixed leg
List<ExpandedSwapLeg> fixedLegs = swap.getLegs(SwapLegType.FIXED);
if (fixedLegs.isEmpty()) {
throw new IllegalArgumentException("Swap must contain a fixed leg");
}
return fixedLegs.get(0);
}
/**
* A forward starting CDS starts on some date after today (the trade date). The accrual start must
* be specified (would normally use this for T+1 accrual atart). The stepin date and cash
* settlement date are taken from the forward start date (1 day and 3 working days by default).
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param accStartDate the accrual start date
* @param maturity the maturity of the CDS
* @return a CDS analytic description for a forward starting CDS
*/
public CdsAnalytic makeForwardStartingCds(
LocalDate tradeDate, LocalDate forwardStartDate, LocalDate accStartDate, LocalDate maturity) {
ArgChecker.isFalse(
forwardStartDate.isBefore(tradeDate),
"forwardStartDate of {} is before trade date of {}",
forwardStartDate,
tradeDate);
LocalDate stepinDate = forwardStartDate.plusDays(_stepIn);
LocalDate valueDate = addWorkDays(forwardStartDate, _cashSettle, _calendar);
return makeCds(tradeDate, stepinDate, valueDate, accStartDate, 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).
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param maturity the maturity of the CDS
* @return a CDS analytic description for a forward starting CDS
*/
public CdsAnalytic makeForwardStartingCds(
LocalDate tradeDate, LocalDate forwardStartDate, LocalDate maturity) {
ArgChecker.isFalse(
forwardStartDate.isBefore(tradeDate),
"forwardStartDate of {} is before trade date of {}",
forwardStartDate,
tradeDate);
LocalDate stepinDate = forwardStartDate.plusDays(_stepIn);
LocalDate valueDate = addWorkDays(forwardStartDate, _cashSettle, _calendar);
LocalDate accStartDate =
_businessdayAdjustmentConvention.adjust(
ImmDateLogic.getPrevIMMDate(forwardStartDate), _calendar);
return makeCds(tradeDate, stepinDate, valueDate, accStartDate, maturity);
}
// validate that the rates and volatilities providers are coherent
private void validate(
RatesProvider ratesProvider,
ExpandedSwaption swaption,
NormalVolatilitySwaptionProvider volatilityProvider) {
ArgChecker.isTrue(
volatilityProvider
.getValuationDateTime()
.toLocalDate()
.equals(ratesProvider.getValuationDate()),
"volatility and rate data should be for the same date");
ArgChecker.isFalse(
swaption.getUnderlying().isCrossCurrency(), "underlying swap should be single currency");
ArgChecker.isTrue(
swaption.getSwaptionSettlement().getSettlementType().equals(SettlementType.PHYSICAL),
"swaption should be physical settlement");
}
@ImmutableValidator
private void validate() {
ArgChecker.isFalse(periodToStart.isNegative(), "Period to start must not be negative");
ArgChecker.isFalse(periodToEnd.isNegative(), "Period to end must not be negative");
}
