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Fixed accrual period calculation for swap leg #2656

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merged 1 commit into from
Jul 5, 2024
Merged

Fixed accrual period calculation for swap leg #2656

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6 changes: 3 additions & 3 deletions modules/product/src/main/java/com/opengamma/strata/product/swap/RateCalculationSwapLeg.java
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Original file line number Diff line number Diff line change
Expand Up @@ -144,7 +144,7 @@ public void collectIndices(ImmutableSet.Builder<Index> builder) {
* Returns an instance based on this leg with the start date replaced.
* <p>
* This uses {@link PeriodicSchedule#replaceStartDate(LocalDate)}.
*
*
* @throws IllegalArgumentException if the start date cannot be replaced with the proposed start date
*/
@Override
Expand All @@ -157,15 +157,15 @@ public RateCalculationSwapLeg replaceStartDate(LocalDate adjustedStartDate) {
* <p>
* An {@link ResolvedSwapLeg} represents the same data as this leg, but with
* a complete schedule of dates defined using {@link RatePaymentPeriod}.
*
*
* @return the equivalent resolved swap leg
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid swap schedule or definition
*/
@Override
public ResolvedSwapLeg resolve(ReferenceData refData) {
DayCount dayCount = calculation.getDayCount();
Schedule resolvedAccruals = accrualSchedule.createSchedule(refData);
Schedule resolvedAccruals = accrualSchedule.createSchedule(refData, true);
Schedule resolvedPayments = paymentSchedule.createSchedule(resolvedAccruals, refData);
List<RateAccrualPeriod> accrualPeriods = calculation.createAccrualPeriods(resolvedAccruals, resolvedPayments, refData);
List<NotionalPaymentPeriod> payPeriods = paymentSchedule.createPaymentPeriods(
Expand Down
53 changes: 53 additions & 0 deletions ...s/product/src/test/java/com/opengamma/strata/product/swap/RateCalculationSwapLegTest.java
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Original file line number Diff line number Diff line change
Expand Up @@ -7,11 +7,13 @@

import static com.opengamma.strata.basics.currency.Currency.EUR;
import static com.opengamma.strata.basics.currency.Currency.GBP;
import static com.opengamma.strata.basics.currency.Currency.USD;
import static com.opengamma.strata.basics.date.BusinessDayConventions.FOLLOWING;
import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.basics.date.DayCounts.ONE_ONE;
import static com.opengamma.strata.basics.date.HolidayCalendarIds.GBLO;
import static com.opengamma.strata.basics.date.HolidayCalendarIds.USGS;
import static com.opengamma.strata.basics.index.FxIndices.EUR_GBP_ECB;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_1M;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_3M;
Expand All @@ -20,13 +22,15 @@
import static com.opengamma.strata.basics.schedule.Frequency.P1M;
import static com.opengamma.strata.basics.schedule.Frequency.P2M;
import static com.opengamma.strata.basics.schedule.Frequency.P3M;
import static com.opengamma.strata.basics.schedule.StubConvention.SHORT_FINAL;
import static com.opengamma.strata.basics.schedule.StubConvention.SMART_INITIAL;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static com.opengamma.strata.collect.TestHelper.date;
import static com.opengamma.strata.product.common.PayReceive.PAY;
import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
import static com.opengamma.strata.product.swap.CompoundingMethod.NONE;
import static com.opengamma.strata.product.swap.CompoundingMethod.STRAIGHT;
import static com.opengamma.strata.product.swap.PriceIndexCalculationMethod.INTERPOLATED;
import static com.opengamma.strata.product.swap.PriceIndexCalculationMethod.MONTHLY;
Expand Down Expand Up @@ -88,6 +92,8 @@ public class RateCalculationSwapLegTest {
private static final LocalDate DATE_06_09 = date(2014, 6, 9);
private static final LocalDate DATE_14_06_09 = date(2014, 6, 9);
private static final LocalDate DATE_19_06_09 = date(2019, 6, 9);
private static final LocalDate DATE_24_07_05 = date(2024, 7, 5);
private static final LocalDate DATE_25_07_07 = date(2025, 7, 7);
private static final DaysAdjustment PLUS_THREE_DAYS = DaysAdjustment.ofBusinessDays(3, GBLO);
private static final DaysAdjustment PLUS_TWO_DAYS = DaysAdjustment.ofBusinessDays(2, GBLO);
private static final DaysAdjustment MINUS_TWO_DAYS = DaysAdjustment.ofBusinessDays(-2, GBLO);
Expand Down Expand Up @@ -528,6 +534,53 @@ public void test_resolve_threeAccrualsPerPayment() {
.build());
}

@Test
public void test_resolve_combinePeriods() {
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(PeriodicSchedule.builder()
.startDate(DATE_24_07_05)
.endDate(DATE_25_07_07)
.frequency(P12M)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, USGS))
.stubConvention(SHORT_FINAL)
.build())
.paymentSchedule(PaymentSchedule.builder()
.paymentFrequency(P12M)
.paymentDateOffset(DaysAdjustment.ofBusinessDays(0, USGS))
.compoundingMethod(NONE)
.build())
.notionalSchedule(NotionalSchedule.of(USD, 1000d))
.calculation(FixedRateCalculation.builder()
.dayCount(ACT_360)
.rate(ValueSchedule.of(0.025d))
.build())
.build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder()
.paymentDate(DATE_25_07_07)
.accrualPeriods(
RateAccrualPeriod.builder()
.startDate(DATE_24_07_05)
.endDate(DATE_25_07_07)
.unadjustedStartDate(DATE_24_07_05)
.yearFraction(ACT_360.yearFraction(DATE_24_07_05, DATE_25_07_07))
.rateComputation(FixedRateComputation.of(0.025d))
.build())
.dayCount(ACT_360)
.currency(USD)
.notional(-1000d)
.compoundingMethod(NONE)
.build();
// assertion
assertThat(test.resolve(REF_DATA)).isEqualTo(ResolvedSwapLeg.builder()
.type(FIXED)
.payReceive(PAY)
.paymentPeriods(rpp1)
.build());
}

//-------------------------------------------------------------------------
@Test
public void test_resolve_oneAccrualPerPayment_fxReset() {
Expand Down