com.opengamma.strata.product.swap.RatePaymentPeriod$Builder.compoundingMethod java code examples

public void test_builder_twoAccrualPeriods() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP1, RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 assertEquals(test.getStartDate(), DATE_2014_03_30);
 assertEquals(test.getEndDate(), DATE_2014_09_30);
 assertEquals(test.getPaymentDate(), DATE_2014_10_01);
 assertEquals(test.getAccrualPeriods(), ImmutableList.of(RAP1, RAP2));
 assertEquals(test.getCurrency(), GBP);
 assertEquals(test.getFxReset(), Optional.empty());
 assertEquals(test.getNotional(), 1000d, 0d);
 assertEquals(test.getCompoundingMethod(), CompoundingMethod.STRAIGHT);
 assertEquals(test.isCompoundingApplicable(), true);
}

public void test_builder_oneAccrualPeriod() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 assertEquals(test.getStartDate(), DATE_2014_06_30);
 assertEquals(test.getEndDate(), DATE_2014_09_30);
 assertEquals(test.getPaymentDate(), DATE_2014_10_01);
 assertEquals(test.getAccrualPeriods(), ImmutableList.of(RAP2));
 assertEquals(test.getCurrency(), GBP);
 assertEquals(test.getFxReset(), Optional.empty());
 assertEquals(test.getNotional(), 1000d, 0d);
 assertEquals(test.getNotionalAmount(), CurrencyAmount.of(GBP, 1000d));
 assertEquals(test.getCompoundingMethod(), CompoundingMethod.STRAIGHT);
 assertEquals(test.isCompoundingApplicable(), false);
}

public void test_collectIndices_simple() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 ImmutableSet.Builder<Index> builder = ImmutableSet.builder();
 test.collectIndices(builder);
 assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_3M));
}

.paymentDate(DaysAdjustment.ofBusinessDays(2, GBLO).adjust(bda.adjust(DATE_19_06_09, REF_DATA), REF_DATA))
.accrualPeriods(rap0, rap1, rap2, rap3, rap4)
.compoundingMethod(STRAIGHT)
.dayCount(ONE_ONE)
.currency(GBP)

  .currency(GBP)
  .notional(-1000d)
  .compoundingMethod(STRAIGHT)
  .build();
RatePaymentPeriod rpp2 = RatePaymentPeriod.builder()
  .currency(GBP)
  .notional(-1500d)
  .compoundingMethod(STRAIGHT)
  .build();
RatePaymentPeriod rpp3 = RatePaymentPeriod.builder()
  .currency(GBP)
  .notional(-1500d)
  .compoundingMethod(STRAIGHT)
  .build();

.currency(GBP)
.notional(-1000d)
.compoundingMethod(STRAIGHT)
.build();

public void test_adjustPaymentDate() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 RatePaymentPeriod expected = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01.plusDays(2))
   .accrualPeriods(RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d -> d.plusDays(0))), test);
 assertEquals(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d -> d.plusDays(2))), expected);
}

public void test_builder_twoAccrualPeriods_compoundingDefaultedToNone_fxReset() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP1, RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .fxReset(FX_RESET_USD)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.NONE)
   .build();
 assertEquals(test.getStartDate(), DATE_2014_03_30);
 assertEquals(test.getEndDate(), DATE_2014_09_30);
 assertEquals(test.getPaymentDate(), DATE_2014_10_01);
 assertEquals(test.getAccrualPeriods(), ImmutableList.of(RAP1, RAP2));
 assertEquals(test.getCurrency(), GBP);
 assertEquals(test.getFxReset(), Optional.of(FX_RESET_USD));
 assertEquals(test.getNotional(), 1000d, 0d);
 assertEquals(test.getNotionalAmount(), CurrencyAmount.of(USD, 1000d));
 assertEquals(test.isCompoundingApplicable(), false);
}

public void test_builder_badFxReset() {
 assertThrowsIllegalArg(() -> RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP1, RAP2)
   .dayCount(ACT_365F)
   .currency(USD)
   .fxReset(FX_RESET_USD)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.NONE)
   .build());
 assertThrowsIllegalArg(() -> RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP1, RAP2)
   .dayCount(ACT_365F)
   .currency(EUR)
   .fxReset(FX_RESET_USD)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.NONE)
   .build());
}

public void coverage() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP1, RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .fxReset(FX_RESET_USD)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 coverImmutableBean(test);
 RatePaymentPeriod test2 = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_09_30)
   .accrualPeriods(RAP1)
   .dayCount(ACT_360)
   .currency(USD)
   .notional(2000d)
   .compoundingMethod(CompoundingMethod.NONE)
   .build();
 coverBeanEquals(test, test2);
}

public void test_collectIndices_fxReset() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .fxReset(FX_RESET_USD)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 ImmutableSet.Builder<Index> builder = ImmutableSet.builder();
 test.collectIndices(builder);
 assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_3M, GBP_USD_WM));
}

public void test_forecastValue_compoundFlat_notional() {
 SimpleRatesProvider prov = createProvider(VAL_DATE);
 RatePaymentPeriod periodNot = PAYMENT_PERIOD_FULL_GS.toBuilder()
   .compoundingMethod(CompoundingMethod.FLAT).build();
 RatePaymentPeriod period1 = PAYMENT_PERIOD_FULL_GS.toBuilder()
   .compoundingMethod(CompoundingMethod.FLAT).notional(1.0d).build();
 double fvComputedNot = DiscountingRatePaymentPeriodPricer.DEFAULT.forecastValue(periodNot, prov);
 double fvComputed1 = DiscountingRatePaymentPeriodPricer.DEFAULT.forecastValue(period1, prov);
 assertEquals(fvComputedNot, fvComputed1 * NOTIONAL_100, TOLERANCE_PV);
}

@ImmutableDefaults
private static void applyDefaults(Builder builder) {
 builder.compoundingMethod(CompoundingMethod.NONE);
}

public void test_forecastValue_compoundFlat() {
 SimpleRatesProvider prov = createProvider(VAL_DATE);
 RatePaymentPeriod period = PAYMENT_PERIOD_FULL_GS.toBuilder()
   .compoundingMethod(CompoundingMethod.FLAT).build();
 double cpa1 = NOTIONAL_100 * ACCRUAL_FACTOR_1 * (RATE_1 * GEARING + SPREAD);
 double cpa2 = NOTIONAL_100 * ACCRUAL_FACTOR_2 * (RATE_2 * GEARING + SPREAD) +
   cpa1 * ACCRUAL_FACTOR_2 * (RATE_2 * GEARING);
 double cpa3 = NOTIONAL_100 * ACCRUAL_FACTOR_3 * (RATE_3 * GEARING + SPREAD) +
   (cpa1 + cpa2) * ACCRUAL_FACTOR_3 * (RATE_3 * GEARING);
 double fvExpected = cpa1 + cpa2 + cpa3;
 double fvComputed = DiscountingRatePaymentPeriodPricer.DEFAULT.forecastValue(period, prov);
 assertEquals(fvComputed, fvExpected, TOLERANCE_PV);
}

public void test_forecastValue_compoundSpreadExclusive() {
 SimpleRatesProvider prov = createProvider(VAL_DATE);
 RatePaymentPeriod period = PAYMENT_PERIOD_FULL_GS.toBuilder()
   .compoundingMethod(CompoundingMethod.SPREAD_EXCLUSIVE).build();
 double invFactor1 = 1.0d + ACCRUAL_FACTOR_1 * (RATE_1 * GEARING);
 double invFactor2 = 1.0d + ACCRUAL_FACTOR_2 * (RATE_2 * GEARING);
 double invFactor3 = 1.0d + ACCRUAL_FACTOR_3 * (RATE_3 * GEARING);
 double fvExpected = NOTIONAL_100 * (invFactor1 * invFactor2 * invFactor3 - 1.0d +
   (ACCRUAL_FACTOR_1 + ACCRUAL_FACTOR_2 + ACCRUAL_FACTOR_3) * SPREAD);
 double fvComputed = DiscountingRatePaymentPeriodPricer.DEFAULT.forecastValue(period, prov);
 assertEquals(fvComputed, fvExpected, TOLERANCE_PV);
}

public void test_serialization() {
 RatePaymentPeriod test = RatePaymentPeriod.builder()
   .paymentDate(DATE_2014_10_01)
   .accrualPeriods(RAP1, RAP2)
   .dayCount(ACT_365F)
   .currency(GBP)
   .notional(1000d)
   .compoundingMethod(CompoundingMethod.STRAIGHT)
   .build();
 assertSerialization(test);
}

public void test_forecastValue_compoundSpreadExclusive_fx() {
 SimpleRatesProvider prov = createProvider(VAL_DATE);
 RatePaymentPeriod period = PAYMENT_PERIOD_FULL_GS_FX_USD.toBuilder()
   .compoundingMethod(CompoundingMethod.SPREAD_EXCLUSIVE).build();
 double invFactor1 = 1.0d + ACCRUAL_FACTOR_1 * (RATE_1 * GEARING);
 double invFactor2 = 1.0d + ACCRUAL_FACTOR_2 * (RATE_2 * GEARING);
 double invFactor3 = 1.0d + ACCRUAL_FACTOR_3 * (RATE_3 * GEARING);
 double fvExpected = NOTIONAL_100 * RATE_FX * (invFactor1 * invFactor2 * invFactor3 - 1.0d +
   (ACCRUAL_FACTOR_1 + ACCRUAL_FACTOR_2 + ACCRUAL_FACTOR_3) * SPREAD);
 double fvComputed = DiscountingRatePaymentPeriodPricer.DEFAULT.forecastValue(period, prov);
 assertEquals(fvComputed, fvExpected, TOLERANCE_PV);
}

public void test_forecastValue_compoundStraight() {
 SimpleRatesProvider prov = createProvider(VAL_DATE);
 RatePaymentPeriod period = PAYMENT_PERIOD_FULL_GS.toBuilder()
   .compoundingMethod(CompoundingMethod.STRAIGHT).build();
 double invFactor1 = 1.0d + ACCRUAL_FACTOR_1 * (RATE_1 * GEARING + SPREAD);
 double invFactor2 = 1.0d + ACCRUAL_FACTOR_2 * (RATE_2 * GEARING + SPREAD);
 double invFactor3 = 1.0d + ACCRUAL_FACTOR_3 * (RATE_3 * GEARING + SPREAD);
 double fvExpected = NOTIONAL_100 * (invFactor1 * invFactor2 * invFactor3 - 1.0d);
 double fvComputed = DiscountingRatePaymentPeriodPricer.DEFAULT.forecastValue(period, prov);
 assertEquals(fvComputed, fvExpected, TOLERANCE_PV);
}

Javadoc

Sets the compounding method to use when there is more than one accrual period, default is 'None'.

Compounding is used when combining accrual periods.

Popular methods of RatePaymentPeriod$Builder

accrualPeriods
Sets the accrualPeriods property in the builder from an array of objects.
build
paymentDate
Sets the date that payment occurs. The date that payment is made for the accrual periods. If the sch
currency
Sets the primary currency of the payment period. This is the currency of the swap leg and the curren
dayCount
Sets the day count convention. Each accrual period contains a year fraction calculated using this da
fxReset
Sets the FX reset definition, optional. This property is used when the defined amount of the notiona
notional
Sets the notional amount, positive if receiving, negative if paying. The notional amount applicable
<init>

Popular in Java

Start an intent from android
onCreateOptionsMenu (Activity)
getApplicationContext (Context)
addToBackStack (FragmentTransaction)
FileWriter (java.io)
A specialized Writer that writes to a file in the file system. All write requests made by calling me
Socket (java.net)
Provides a client-side TCP socket.
Arrays (java.util)
This class contains various methods for manipulating arrays (such as sorting and searching). This cl
Calendar (java.util)
Calendar is an abstract base class for converting between a Date object and a set of integer fields
Collections (java.util)
This class consists exclusively of static methods that operate on or return collections. It contains
JLabel (javax.swing)
Top PhpStorm plugins

How to use compoundingMethodmethodin com.opengamma.strata.product.swap.RatePaymentPeriod$Builder

Best Java code snippets using com.opengamma.strata.product.swap.RatePaymentPeriod$Builder.compoundingMethod (Showing top 18 results out of 315)

How to use
compoundingMethod
method
in
com.opengamma.strata.product.swap.RatePaymentPeriod$Builder