/**
* Constructor from the details. The business day conventions, end-of-month and spot lag are from
* the Ibor index.
*
* @param name The generator name. Not null.
* @param fixedLegPeriod The fixed leg payment period.
* @param fixedLegDayCount The day count convention associated to the fixed leg.
* @param iborIndex The Ibor index of the floating leg.
*/
public GeneratorSwapFixedIbor(
String name, Period fixedLegPeriod, DayCount fixedLegDayCount, IborIndex iborIndex) {
super(name);
Validate.notNull(fixedLegPeriod, "fixed leg period");
Validate.notNull(fixedLegDayCount, "fixed leg day count");
Validate.notNull(iborIndex, "ibor index");
_fixedLegPeriod = fixedLegPeriod;
_fixedLegDayCount = fixedLegDayCount;
_iborIndex = iborIndex;
// _name = iborIndex.getCurrency().toString() + iborIndex.getTenor().toString() +
// fixedLegPeriod.toString();
_businessDayConvention = iborIndex.getBusinessDayConvention();
_endOfMonth = iborIndex.isEndOfMonth();
_spotLag = iborIndex.getSpotLag();
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _businessDayConvention.hashCode();
result = prime * result + (_endOfMonth ? 1231 : 1237);
result = prime * result + _fixedLegDayCount.hashCode();
result = prime * result + _fixedLegPeriod.hashCode();
result = prime * result + _iborIndex.hashCode();
result = prime * result + getName().hashCode();
result = prime * result + _spotLag;
return result;
}
public void test_gbpLibor3m_dates() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13)), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13)), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13)), date(2015, 1, 13));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10)), date(2014, 10, 10));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10)), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10)), date(2015, 1, 12));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12)), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12)), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12)), date(2015, 1, 13));
}
public void test_gbpLibor3m() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getName(), "GBP-LIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), GBLO);
assertEquals(
test.getFixingDateOffset(),
DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
assertEquals(
test.getEffectiveDateOffset(),
DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO)));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)));
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.toString(), "GBP-LIBOR-3M");
}
public void test_null() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertThrowsIllegalArg(() -> test.calculateEffectiveFromFixing(null));
assertThrowsIllegalArg(() -> test.calculateFixingFromEffective(null));
assertThrowsIllegalArg(() -> test.calculateMaturityFromEffective(null));
}
public void test_of_lookup_null() {
assertThrowsIllegalArg(() -> IborIndex.of(null));
}
public void test_of_lookup_notFound() {
assertThrowsIllegalArg(() -> IborIndex.of("Rubbish"));
}
@Test(dataProvider = "name")
public void test_extendedEnum(IborIndex convention, String name) {
ImmutableMap<String, IborIndex> map = IborIndex.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
/**
* Gets the generator calendar.
*
* @return The calendar.
*/
public Calendar getCalendar() {
return _iborIndex.getCalendar();
}
@Test(dataProvider = "name")
public void test_toString(IborIndex convention, String name) {
assertEquals(convention.toString(), name);
}
public void test_usdLibor_all() {
assertEquals(IborIndex.of("USD-LIBOR-1W").getName(), "USD-LIBOR-1W");
assertEquals(IborIndex.of("USD-LIBOR-1W"), IborIndices.USD_LIBOR_1W);
assertEquals(IborIndex.of("USD-LIBOR-1M").getName(), "USD-LIBOR-1M");
assertEquals(IborIndex.of("USD-LIBOR-1M"), IborIndices.USD_LIBOR_1M);
assertEquals(IborIndex.of("USD-LIBOR-2M").getName(), "USD-LIBOR-2M");
assertEquals(IborIndex.of("USD-LIBOR-2M"), IborIndices.USD_LIBOR_2M);
assertEquals(IborIndex.of("USD-LIBOR-3M").getName(), "USD-LIBOR-3M");
assertEquals(IborIndex.of("USD-LIBOR-3M"), IborIndices.USD_LIBOR_3M);
assertEquals(IborIndex.of("USD-LIBOR-6M").getName(), "USD-LIBOR-6M");
assertEquals(IborIndex.of("USD-LIBOR-6M"), IborIndices.USD_LIBOR_6M);
assertEquals(IborIndex.of("USD-LIBOR-12M").getName(), "USD-LIBOR-12M");
assertEquals(IborIndex.of("USD-LIBOR-12M"), IborIndices.USD_LIBOR_12M);
}
public void test_euibor3m() {
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.getCurrency(), EUR);
assertEquals(test.getName(), "EUR-EURIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), EUTA);
assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, EUTA));
assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, EUTA));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)));
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.toString(), "EUR-EURIBOR-3M");
}
public void test_usdLibor3m_dates() {
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27)), date(2014, 10, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29)), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29)), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10)), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14)), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14)), date(2015, 1, 14));
// effective date is US holiday
assertEquals(test.calculateEffectiveFromFixing(date(2015, 1, 16)), date(2015, 1, 20));
assertEquals(test.calculateFixingFromEffective(date(2015, 1, 20)), date(2015, 1, 16));
assertEquals(test.calculateMaturityFromEffective(date(2015, 1, 20)), date(2015, 4, 20));
// input date is Sunday, 13th is US holiday, but not UK holiday (can fix, but not be effective)
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12)), date(2014, 10, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12)), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12)), date(2015, 1, 14));
}
public void test_usdLibor3m() {
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.getCurrency(), USD);
assertEquals(test.getName(), "USD-LIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), GBLO);
assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, GBLO));
assertEquals(
test.getEffectiveDateOffset(),
DaysAdjustment.ofBusinessDays(
2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combineWith(USNY))));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combineWith(USNY))));
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.toString(), "USD-LIBOR-3M");
}
@Test(dataProvider = "name")
public void test_of_lookup(IborIndex convention, String name) {
assertEquals(IborIndex.of(name), convention);
}
/**
* Checks and returns an Ibor index.
*
* <p>If this is an Ibor index, then this returns the matching {@link IborIndex}. If not, an
* exception is thrown.
*
* @param tenor the tenor of the index
* @return the index
* @throws IllegalStateException if the type is not an Ibor index type
* @see #getType()
*/
public IborIndex toIborIndex(Tenor tenor) {
if (!type.isIbor()) {
throw new IllegalStateException("Incorrect index type, expected Ibor: " + name);
}
return IborIndex.of(indexName + tenor.normalized().toString());
}
/**
* Gets the generator currency.
*
* @return The currency.
*/
public Currency getCurrency() {
return _iborIndex.getCurrency();
}