/** * Resolves the date on this payment, returning a payment with a fixed date. * <p> * This returns a {@link Payment} with the same amount and resolved date. * * @param refData the reference data, used to find the holiday calendar * @return the resolved payment */ @Override public Payment resolve(ReferenceData refData) { return Payment.of(value, date.adjusted(refData)); }
private List<LocalDate> applyBusinessDayAdjustment(List<LocalDate> unadj, ReferenceData refData) { List<LocalDate> adj = new ArrayList<>(unadj.size()); adj.add(calculatedStartDate().adjusted(refData)); for (int i = 1; i < unadj.size() - 1; i++) { adj.add(businessDayAdjustment.adjust(unadj.get(i), refData)); } adj.add(calculatedEndDate().adjusted(refData)); return adj; }
@Test(dataProvider = "adjusted") public void test_adjusted(LocalDate date, LocalDate expected) { AdjustableDate test = AdjustableDate.of(date, BDA_FOLLOW_SAT_SUN); assertEquals(test.adjusted(REF_DATA), expected); }
@Override public ResolvedBulletPayment resolve(ReferenceData refData) { CurrencyAmount signed = payReceive == PayReceive.PAY ? value.negated() : value; Payment payment = Payment.of(signed, date.adjusted(refData)); return ResolvedBulletPayment.of(payment); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData); return trade.getProduct().getEndDate().adjusted(refData); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, 0, refData); return trade.getProduct().getEndDate().adjusted(refData); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData); return trade.getProduct().getEndDate().adjusted(refData); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData); return trade.getProduct().getEndDate().adjusted(refData); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData); return trade.getProduct().getEndDate().adjusted(refData); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData); return trade.getProduct().getEndDate().adjusted(refData); }
private LocalDate calculateEnd(LocalDate valuationDate, ReferenceData refData) { SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData); return trade.getProduct().getEndDate().adjusted(refData); }
public void test_of_2args_withAdjustment() { AdjustableDate test = AdjustableDate.of(FRI_2014_07_11, BDA_FOLLOW_SAT_SUN); assertEquals(test.getUnadjusted(), FRI_2014_07_11); assertEquals(test.getAdjustment(), BDA_FOLLOW_SAT_SUN); assertEquals(test.toString(), "2014-07-11 adjusted by Following using calendar Sat/Sun"); assertEquals(test.adjusted(REF_DATA), FRI_2014_07_11); }
public void test_of_1arg() { AdjustableDate test = AdjustableDate.of(FRI_2014_07_11); assertEquals(test.getUnadjusted(), FRI_2014_07_11); assertEquals(test.getAdjustment(), BDA_NONE); assertEquals(test.toString(), "2014-07-11"); assertEquals(test.adjusted(REF_DATA), FRI_2014_07_11); }
public void test_of_2args_withNoAdjustment() { AdjustableDate test = AdjustableDate.of(FRI_2014_07_11, BDA_NONE); assertEquals(test.getUnadjusted(), FRI_2014_07_11); assertEquals(test.getAdjustment(), BDA_NONE); assertEquals(test.toString(), "2014-07-11"); assertEquals(test.adjusted(REF_DATA), FRI_2014_07_11); }
@Override public ResolvedSwaption resolve(ReferenceData refData) { return ResolvedSwaption.builder() .expiry(expiryDate.adjusted(refData).atTime(expiryTime).atZone(expiryZone)) .longShort(longShort) .swaptionSettlement(swaptionSettlement) .underlying(underlying.resolve(refData)) .build(); }
@Override public ResolvedFra resolve(ReferenceData refData) { DateAdjuster bda = getBusinessDayAdjustment().orElse(BusinessDayAdjustment.NONE).resolve(refData); LocalDate start = bda.adjust(startDate); LocalDate end = bda.adjust(endDate); LocalDate pay = paymentDate.adjusted(refData); return ResolvedFra.builder() .paymentDate(pay) .startDate(start) .endDate(end) .yearFraction(dayCount.yearFraction(start, end)) .fixedRate(fixedRate) .floatingRate(createRateComputation(refData)) .currency(currency) .notional(buySell.normalize(notional)) .discounting(discounting) .build(); }
LocalDate fixing2 = EUR_EURIBOR_6M.calculateFixingFromEffective(end1, REF_DATA); LocalDate fixing3 = EUR_EURIBOR_6M.calculateFixingFromEffective(END, REF_DATA); LocalDate endDate = SCHEDULE_EUR.calculatedEndDate().adjusted(REF_DATA); .build(); assertEquals(resolvedFloor.getCurrency(), EUR); assertEquals(resolvedFloor.getStartDate(), baseFloor.getStartDate().adjusted(REF_DATA)); assertEquals(resolvedFloor.getEndDate(), baseFloor.getEndDate().adjusted(REF_DATA)); assertEquals(resolvedFloor.getIndex(), INDEX); assertEquals(resolvedFloor.getPayReceive(), PAY); .build(); assertEquals(resolvedFloorEnd.getCurrency(), EUR); assertEquals(resolvedFloorEnd.getStartDate(), baseFloor.getStartDate().adjusted(REF_DATA)); assertEquals(resolvedFloorEnd.getEndDate(), baseFloor.getEndDate().adjusted(REF_DATA)); assertEquals(resolvedFloorEnd.getIndex(), INDEX); assertEquals(resolvedFloorEnd.getPayReceive(), PAY); .build(); assertEquals(resolvedCap.getCurrency(), EUR); assertEquals(resolvedCap.getStartDate(), baseCap.getStartDate().adjusted(REF_DATA)); assertEquals(resolvedCap.getEndDate(), baseCap.getEndDate().adjusted(REF_DATA)); assertEquals(resolvedCap.getIndex(), INDEX); assertEquals(resolvedCap.getPayReceive(), PAY);