@Override public void collectIndices(ImmutableSet.Builder<Index> builder) { calculation.collectIndices(builder); notionalSchedule.getFxReset().ifPresent(fxReset -> builder.add(fxReset.getIndex())); }
@Override public void collectCurrencies(ImmutableSet.Builder<Currency> builder) { builder.add(getCurrency()); calculation.collectCurrencies(builder); notionalSchedule.getFxReset().ifPresent(fxReset -> builder.add(fxReset.getReferenceCurrency())); }
private IntFunction<CurrencyAmount> getNotionalSupplierFunction( NotionalSchedule notionalSchedule, DoubleArray notionals, PayReceive payReceive) { boolean hasInitialFxNotional = notionalSchedule.getFxReset().isPresent() && notionalSchedule.getFxReset().get().getInitialNotionalValue().isPresent(); return index -> { if (hasInitialFxNotional && index == 0) { FxResetCalculation fxReset = notionalSchedule.getFxReset().get(); //If Fx reset leg with fixed initial notional then return the fixed amount in the payment currency double notional = payReceive.normalize(fxReset.getInitialNotionalValue().getAsDouble()); Currency currency = fxReset.getIndex().getCurrencyPair().other(fxReset.getReferenceCurrency()); return CurrencyAmount.of(currency, notional); } else { double notional = payReceive.normalize(notionals.get(index)); return CurrencyAmount.of(notionalSchedule.getCurrency(), notional); } }; }
private String notional(SwapLeg leg) { if (leg instanceof RateCalculationSwapLeg) { RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg) leg; NotionalSchedule notionalSchedule = rcLeg.getNotionalSchedule(); ValueSchedule amount = notionalSchedule.getAmount(); double notional = amount.getInitialValue(); String vary = !amount.getSteps().isEmpty() || amount.getStepSequence().isPresent() ? " variable" : ""; Currency currency = notionalSchedule.getFxReset().map(fxr -> fxr.getReferenceCurrency()).orElse(rcLeg.getCurrency()); return SummarizerUtils.amount(currency, notional) + vary; } if (leg instanceof RatePeriodSwapLeg) { RatePeriodSwapLeg rpLeg = (RatePeriodSwapLeg) leg; return SummarizerUtils.amount(rpLeg.getPaymentPeriods().get(0).getNotionalAmount()); } return ""; }
notionalSchedule.getFxReset().map(calc -> calc.resolve(refData)).orElse((i, p) -> Optional.empty());
public void test_of_CurrencyAmount() { NotionalSchedule test = NotionalSchedule.of(CA_GBP_1000); assertEquals(test.getCurrency(), GBP); assertEquals(test.getAmount(), ValueSchedule.of(1000d)); assertEquals(test.getFxReset(), Optional.empty()); assertEquals(test.isInitialExchange(), false); assertEquals(test.isIntermediateExchange(), false); assertEquals(test.isFinalExchange(), false); }
public void test_of_CurrencyAndAmount() { NotionalSchedule test = NotionalSchedule.of(GBP, 1000d); assertEquals(test.getCurrency(), GBP); assertEquals(test.getAmount(), ValueSchedule.of(1000d)); assertEquals(test.getFxReset(), Optional.empty()); assertEquals(test.isInitialExchange(), false); assertEquals(test.isIntermediateExchange(), false); assertEquals(test.isFinalExchange(), false); }
public void test_of_CurrencyAndValueSchedule() { ValueSchedule valueSchedule = ValueSchedule.of(1000d, ValueStep.of(1, ValueAdjustment.ofReplace(2000d))); NotionalSchedule test = NotionalSchedule.of(GBP, valueSchedule); assertEquals(test.getCurrency(), GBP); assertEquals(test.getAmount(), valueSchedule); assertEquals(test.getFxReset(), Optional.empty()); assertEquals(test.isInitialExchange(), false); assertEquals(test.isIntermediateExchange(), false); assertEquals(test.isFinalExchange(), false); }
public void test_builder_FxResetSetsFlags() { FxResetCalculation fxReset = FxResetCalculation.builder() .referenceCurrency(GBP) .index(GBP_USD_WM) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)) .build(); NotionalSchedule test = NotionalSchedule.builder() .currency(USD) .amount(ValueSchedule.of(2000d)) .intermediateExchange(true) .finalExchange(true) .fxReset(fxReset) .build(); assertEquals(test.getCurrency(), USD); assertEquals(test.getAmount(), ValueSchedule.of(2000d)); assertEquals(test.getFxReset(), Optional.of(fxReset)); assertEquals(test.isInitialExchange(), false); assertEquals(test.isIntermediateExchange(), true); assertEquals(test.isFinalExchange(), true); }