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SXSD-8081: The CNY accrual schedule should not be adjusted inside of the payment period #19

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Jun 3, 2024
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SXSD-8081: The CNY accrual schedule should not be adjusted inside of the payment period #19

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2 changes: 1 addition & 1 deletion examples/pom.xml
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Expand Up @@ -10,7 +10,7 @@
</parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-examples</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<packaging>jar</packaging>
<name>Strata-Examples</name>
<description>Example code to demonstrate use of Strata</description>
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2 changes: 1 addition & 1 deletion modules/basics/pom.xml
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Expand Up @@ -5,7 +5,7 @@
<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-basics</artifactId>
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2 changes: 1 addition & 1 deletion modules/calc/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-calc</artifactId>
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2 changes: 1 addition & 1 deletion modules/collect/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-collect</artifactId>
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2 changes: 1 addition & 1 deletion modules/data/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-data</artifactId>
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2 changes: 1 addition & 1 deletion modules/loader/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-loader</artifactId>
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2 changes: 1 addition & 1 deletion modules/market/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-market</artifactId>
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2 changes: 1 addition & 1 deletion modules/math/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-math</artifactId>
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2 changes: 1 addition & 1 deletion modules/measure/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-measure</artifactId>
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2 changes: 1 addition & 1 deletion modules/pom.xml
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</parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<packaging>pom</packaging>
<name>Strata-Parent</name>
<description>OpenGamma Strata Parent</description>
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2 changes: 1 addition & 1 deletion modules/pricer/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-pricer</artifactId>
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2 changes: 1 addition & 1 deletion modules/product/pom.xml
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<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-product</artifactId>
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15 changes: 11 additions & 4 deletions modules/product/src/main/java/com/opengamma/strata/product/swap/RateCalculationSwapLeg.java
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Expand Up @@ -200,13 +200,20 @@ public ResolvedSwapLeg resolve(ReferenceData refData) {

private boolean validPaymentAndAccrualFrequencyCombination() {
try {
if (paymentSchedule.getPaymentFrequency().isTerm()) {
return true;
}
paymentSchedule.getPaymentFrequency().exactDivide(accrualSchedule.getFrequency());
return true;
} catch (IllegalArgumentException ex) {
return false;
boolean isTermPayFrequency = paymentSchedule.getPaymentFrequency().isTerm();
boolean isWeekBased = accrualSchedule.getFrequency().isWeekBased();

// short-circuit if accrual frequency is week-based, since payment frequency driven approach
// should be used, even when payment freq == TERM
if (isWeekBased) {
return false;
}

// return false, unless payment frequency is TERM (where stubs can be used)
return isTermPayFrequency;
}
}

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79 changes: 79 additions & 0 deletions ...s/product/src/test/java/com/opengamma/strata/product/swap/RateCalculationSwapLegTest.java
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Expand Up @@ -22,6 +22,7 @@
import static com.opengamma.strata.basics.schedule.Frequency.P1W;
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.Frequency.TERM;
import static com.opengamma.strata.basics.schedule.StubConvention.SMART_FINAL;
import static com.opengamma.strata.basics.schedule.StubConvention.SMART_INITIAL;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
Expand Down Expand Up @@ -868,6 +869,84 @@ public void test_inflation_fixed() {
assertThat(testExpand).isEqualTo(expected);
}

@Test
public void test_resolve_weeklyAccruals_termPayments_fixedRate() {
// test case
RateCalculationSwapLeg test = RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(PeriodicSchedule.builder()
.startDate(DATE_01_05)
.endDate(DATE_02_07)
.frequency(P1W)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO))
.stubConvention(SMART_FINAL)
.build())
.paymentSchedule(PaymentSchedule.builder()
.paymentFrequency(TERM)
.paymentDateOffset(PLUS_TWO_DAYS)
.build())
.notionalSchedule(NotionalSchedule.of(GBP, 1000d))
.calculation(FixedRateCalculation.builder()
.dayCount(ACT_365F)
.rate(ValueSchedule.of(0.025d))
.build())
.build();
// expected
RatePaymentPeriod rpp1 = RatePaymentPeriod.builder()
.paymentDate(DATE_02_11)
.accrualPeriods(
RateAccrualPeriod.builder()
.startDate(DATE_01_06)
.endDate(DATE_01_13)
.unadjustedStartDate(DATE_01_06)
.unadjustedEndDate(DATE_01_13)
.yearFraction(ACT_365F.yearFraction(DATE_01_06, DATE_01_13))
.rateComputation(FixedRateComputation.of(0.025d))
.build(),
RateAccrualPeriod.builder()
.startDate(DATE_01_13)
.endDate(DATE_01_20)
.unadjustedStartDate(DATE_01_13)
.unadjustedEndDate(DATE_01_20)
.yearFraction(ACT_365F.yearFraction(DATE_01_13, DATE_01_20))
.rateComputation(FixedRateComputation.of(0.025d))
.build(),
RateAccrualPeriod.builder()
.startDate(DATE_01_20)
.endDate(DATE_01_27)
.unadjustedStartDate(DATE_01_20)
.unadjustedEndDate(DATE_01_27)
.yearFraction(ACT_365F.yearFraction(DATE_01_20, DATE_01_27))
.rateComputation(FixedRateComputation.of(0.025d))
.build(),
RateAccrualPeriod.builder()
.startDate(DATE_01_27)
.endDate(DATE_02_03)
.unadjustedStartDate(DATE_01_27)
.unadjustedEndDate(DATE_02_03)
.yearFraction(ACT_365F.yearFraction(DATE_01_27, DATE_02_03))
.rateComputation(FixedRateComputation.of(0.025d))
.build(),
RateAccrualPeriod.builder()
.startDate(DATE_02_03)
.endDate(DATE_02_07)
.unadjustedStartDate(DATE_02_03)
.unadjustedEndDate(DATE_02_07)
.yearFraction(ACT_365F.yearFraction(DATE_02_03, DATE_02_07))
.rateComputation(FixedRateComputation.of(0.025d))
.build())
.dayCount(ACT_365F)
.currency(GBP)
.notional(-1000d)
.build();
// assertion
assertThat(test.resolve(REF_DATA)).isEqualTo(ResolvedSwapLeg.builder()
.type(FIXED)
.payReceive(PAY)
.paymentPeriods(rpp1)
.build());
}

@Test
public void test_resolve_weeklyAccruals_monthlyPayments_fixedRate() {
// test case
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2 changes: 1 addition & 1 deletion modules/report/pom.xml
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Expand Up @@ -5,7 +5,7 @@
<parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-parent</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<relativePath>..</relativePath>
</parent>
<artifactId>strata-report</artifactId>
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2 changes: 1 addition & 1 deletion pom.xml
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</parent>
<groupId>com.opengamma.strata</groupId>
<artifactId>strata-root</artifactId>
<version>2.12.22-xplain-4</version>
<version>2.12.22-xplain-5</version>
<packaging>pom</packaging>
<name>Strata-Root</name>
<description>OpenGamma Strata root</description>
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