/** * Calculates the spread to be added to the deposit rate to have a zero present value. * <p> * The calculation is based on both the initial and final payments. * Thus the resulting number may not be meaningful when deposit has already started and only the final * payment remains (no initial payment). * * @param deposit the product * @param provider the rates provider * @return the par spread */ public double parSpread(ResolvedTermDeposit deposit, RatesProvider provider) { double parRate = parRate(deposit, provider); return parRate - deposit.getRate(); }
/** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(ResolvedTermDeposit beanToCopy) { this.currency = beanToCopy.getCurrency(); this.notional = beanToCopy.getNotional(); this.startDate = beanToCopy.getStartDate(); this.endDate = beanToCopy.getEndDate(); this.yearFraction = beanToCopy.getYearFraction(); this.rate = beanToCopy.getRate(); }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 575402001: // currency return ((ResolvedTermDeposit) bean).getCurrency(); case 1585636160: // notional return ((ResolvedTermDeposit) bean).getNotional(); case -2129778896: // startDate return ((ResolvedTermDeposit) bean).getStartDate(); case -1607727319: // endDate return ((ResolvedTermDeposit) bean).getEndDate(); case -1731780257: // yearFraction return ((ResolvedTermDeposit) bean).getYearFraction(); case 3493088: // rate return ((ResolvedTermDeposit) bean).getRate(); } return super.propertyGet(bean, propertyName, quiet); }
public void test_builder() { ResolvedTermDeposit test = ResolvedTermDeposit.builder() .currency(GBP) .notional(PRINCIPAL) .startDate(START_DATE) .endDate(END_DATE) .yearFraction(YEAR_FRACTION) .rate(RATE) .build(); assertEquals(test.getCurrency(), GBP); assertEquals(test.getNotional(), PRINCIPAL); assertEquals(test.getStartDate(), START_DATE); assertEquals(test.getEndDate(), END_DATE); assertEquals(test.getYearFraction(), YEAR_FRACTION); assertEquals(test.getRate(), RATE); assertEquals(test.getInterest(), RATE * YEAR_FRACTION * PRINCIPAL, PRINCIPAL * EPS); }
public void test_resolve() { TermDeposit base = TermDeposit.builder() .buySell(SELL) .startDate(START_DATE) .endDate(END_DATE) .businessDayAdjustment(BDA_MOD_FOLLOW) .dayCount(ACT_365F) .notional(NOTIONAL) .currency(GBP) .rate(RATE) .build(); ResolvedTermDeposit test = base.resolve(REF_DATA); LocalDate expectedEndDate = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA); double expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate); assertEquals(test.getStartDate(), START_DATE); assertEquals(test.getEndDate(), expectedEndDate); assertEquals(test.getNotional(), -NOTIONAL); assertEquals(test.getYearFraction(), expectedYearFraction, EPS); assertEquals(test.getInterest(), -RATE * expectedYearFraction * NOTIONAL, NOTIONAL * EPS); assertEquals(test.getRate(), RATE); assertEquals(test.getCurrency(), GBP); }