Add completed flag in explain (#1277)

Fixes #1270
OpenGamma · Aug 16, 2016 · 10a115e · 10a115e
1 parent a8bf6a9
commit 10a115e
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diff --git a/modules/market/src/main/java/com/opengamma/strata/market/explain/ExplainKey.java b/modules/market/src/main/java/com/opengamma/strata/market/explain/ExplainKey.java
@@ -79,6 +79,12 @@ public final class ExplainKey<T>
    * The forecast value.
    */
   public static final ExplainKey<CurrencyAmount> FORECAST_VALUE = of("ForecastValue");
+  /**
+   * The flag to indicate that the period has completed.
+   * For example, a swap payment period that has already paid would have this set to true.
+   * This will generally never be set to false.
+   */
+  public static final ExplainKey<Boolean> COMPLETED = of("Completed");
 
   /**
    * The currency of the payment.

diff --git a/modules/pricer/src/main/java/com/opengamma/strata/pricer/DiscountingPaymentPricer.java b/modules/pricer/src/main/java/com/opengamma/strata/pricer/DiscountingPaymentPricer.java
@@ -140,6 +140,7 @@ public ExplainMap explainPresentValue(Payment payment, BaseProvider provider) {
     builder.put(ExplainKey.PAYMENT_DATE, paymentDate);
     builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
     if (paymentDate.isBefore(provider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/...va/com/opengamma/strata/pricer/bond/DiscountingCapitalIndexedBondPaymentPeriodPricer.java b/...va/com/opengamma/strata/pricer/bond/DiscountingCapitalIndexedBondPaymentPeriodPricer.java
@@ -240,6 +240,7 @@ public void explainPresentValue(
     builder.put(ExplainKey.UNADJUSTED_END_DATE, period.getUnadjustedEndDate());
     builder.put(ExplainKey.DAYS, (int) DAYS.between(period.getUnadjustedStartDate(), period.getUnadjustedEndDate()));
     if (paymentDate.isBefore(ratesProvider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {
@@ -283,6 +284,7 @@ public void explainPresentValueWithZSpread(
     builder.put(ExplainKey.UNADJUSTED_END_DATE, period.getUnadjustedEndDate());
     builder.put(ExplainKey.DAYS, (int) DAYS.between(period.getUnadjustedStartDate(), period.getUnadjustedEndDate()));
     if (paymentDate.isBefore(ratesProvider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/.../java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondPaymentPeriodPricer.java b/.../java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondPaymentPeriodPricer.java
@@ -212,6 +212,7 @@ public void explainPresentValue(
     LocalDate paymentDate = period.getPaymentDate();
     explainBasics(period, builder, currency, paymentDate);
     if (paymentDate.isBefore(discountFactors.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {
@@ -248,6 +249,7 @@ public void explainPresentValueWithSpread(
     LocalDate paymentDate = period.getPaymentDate();
     explainBasics(period, builder, currency, paymentDate);
     if (paymentDate.isBefore(discountFactors.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/...les/pricer/src/main/java/com/opengamma/strata/pricer/fra/DiscountingFraProductPricer.java b/...les/pricer/src/main/java/com/opengamma/strata/pricer/fra/DiscountingFraProductPricer.java
@@ -226,6 +226,7 @@ public ExplainMap explainPresentValue(ResolvedFra fra, RatesProvider provider) {
     builder.put(ExplainKey.NOTIONAL, CurrencyAmount.of(currency, fra.getNotional()));
     builder.put(ExplainKey.TRADE_NOTIONAL, CurrencyAmount.of(currency, fra.getNotional()));
     if (fra.getPaymentDate().isBefore(provider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/.../java/com/opengamma/strata/pricer/impl/swap/DiscountingFxResetNotionalExchangePricer.java b/.../java/com/opengamma/strata/pricer/impl/swap/DiscountingFxResetNotionalExchangePricer.java
@@ -89,6 +89,7 @@ public void explainPresentValue(FxResetNotionalExchange event, RatesProvider pro
     builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
     builder.put(ExplainKey.TRADE_NOTIONAL, event.getNotionalAmount());
     if (paymentDate.isBefore(provider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/...java/com/opengamma/strata/pricer/impl/swap/DiscountingKnownAmountPaymentPeriodPricer.java b/...java/com/opengamma/strata/pricer/impl/swap/DiscountingKnownAmountPaymentPeriodPricer.java
@@ -109,6 +109,7 @@ public void explainPresentValue(KnownAmountSwapPaymentPeriod period, RatesProvid
     builder.put(ExplainKey.UNADJUSTED_END_DATE, period.getUnadjustedEndDate());
     builder.put(ExplainKey.DAYS, (int) DAYS.between(period.getStartDate(), period.getEndDate()));
     if (paymentDate.isBefore(provider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/...rc/main/java/com/opengamma/strata/pricer/impl/swap/DiscountingNotionalExchangePricer.java b/...rc/main/java/com/opengamma/strata/pricer/impl/swap/DiscountingNotionalExchangePricer.java
@@ -81,6 +81,7 @@ public void explainPresentValue(NotionalExchange event, RatesProvider provider,
     builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
     builder.put(ExplainKey.TRADE_NOTIONAL, event.getPaymentAmount());
     if (paymentDate.isBefore(provider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/...c/main/java/com/opengamma/strata/pricer/impl/swap/DiscountingRatePaymentPeriodPricer.java b/...c/main/java/com/opengamma/strata/pricer/impl/swap/DiscountingRatePaymentPeriodPricer.java
@@ -401,6 +401,7 @@ public void explainPresentValue(RatePaymentPeriod paymentPeriod, RatesProvider p
     builder.put(ExplainKey.NOTIONAL, CurrencyAmount.of(currency, notional));
     builder.put(ExplainKey.TRADE_NOTIONAL, paymentPeriod.getNotionalAmount());
     if (paymentDate.isBefore(provider.getValuationDate())) {
+      builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
       builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
       builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
     } else {

diff --git a/...st/java/com/opengamma/strata/pricer/impl/swap/DiscountingRatePaymentPeriodPricerTest.java b/...st/java/com/opengamma/strata/pricer/impl/swap/DiscountingRatePaymentPeriodPricerTest.java
@@ -757,6 +757,7 @@ public void test_explainPresentValue_single_paymentDateInPast() {
     assertEquals(explain.get(ExplainKey.NOTIONAL).get().getAmount(), NOTIONAL_100, TOLERANCE_PV);
     assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().getCurrency(), currency);
     assertEquals(explain.get(ExplainKey.TRADE_NOTIONAL).get().getAmount(), NOTIONAL_100, TOLERANCE_PV);
+    assertEquals(explain.get(ExplainKey.COMPLETED).get(), Boolean.TRUE);
     assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().getCurrency(), currency);
     assertEquals(explain.get(ExplainKey.FORECAST_VALUE).get().getAmount(), 0d, TOLERANCE_PV);
     assertEquals(explain.get(ExplainKey.PRESENT_VALUE).get().getCurrency(), currency);