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Add support for overriding first fixing offset #1447

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Dec 20, 2016
Merged

Add support for overriding first fixing offset #1447

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2 changes: 1 addition & 1 deletion modules/basics/src/main/java/com/opengamma/strata/basics/schedule/PeriodicSchedule.java
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Original file line number Diff line number Diff line change
Expand Up @@ -774,7 +774,7 @@ public LocalDate calculatedFirstRegularStartDate() {
}

// calculates the applicable start date
// applies rule to handle misuse of EOM to mean last business day for startDate
// applies de facto rule where EOM means last business day for startDate
// and similar rule for numeric roll conventions
// http://www.fpml.org/forums/topic/can-a-roll-convention-imply-a-stub/#post-7659
private LocalDate calculatedUnadjustedStartDate(ReferenceData refData) {
Expand Down
101 changes: 97 additions & 4 deletions modules/product/src/main/java/com/opengamma/strata/product/swap/IborRateCalculation.java
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Original file line number Diff line number Diff line change
Expand Up @@ -154,6 +154,20 @@ public final class IborRateCalculation
*/
@PropertyDefinition(get = "optional")
private final Double firstRegularRate;
/**
* The offset of the first fixing date from the first adjusted reset date, optional.
* <p>
* If present, this offset is used instead of {@code fixingDateOffset} for the first
* reset period of the swap, which will be either an initial stub or the first reset
* period of the first <i>regular</i> accrual period.
* <p>
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
* <p>
* If this property is not present, then the {@code fixingDateOffset} applies to all fixings.
*/
@PropertyDefinition(get = "optional")
private final DaysAdjustment firstFixingDateOffset;
/**
* The rate to be used in initial stub, optional.
* <p>
Expand Down Expand Up @@ -318,6 +332,9 @@ private RateComputation createRateComputation(
ReferenceData refData) {

LocalDate fixingDate = fixingDateAdjuster.adjust(fixingRelativeTo.selectBaseDate(period));
if (scheduleIndex == 0 && firstFixingDateOffset != null) {
fixingDate = firstFixingDateOffset.resolve(refData).adjust(fixingRelativeTo.selectBaseDate(period));
}
// handle stubs
if (scheduleInitialStub.isPresent() && scheduleInitialStub.get() == period) {
return initialStub.createRateComputation(fixingDate, index, refData);
Expand All @@ -331,7 +348,9 @@ private RateComputation createRateComputation(
resetScheduleFn.apply(period),
fixingDateAdjuster,
iborObservationFn,
isFirstRegularPeriod(scheduleIndex, scheduleInitialStub.isPresent()));
scheduleIndex,
isFirstRegularPeriod(scheduleIndex, scheduleInitialStub.isPresent()),
refData);
}
// handle possible fixed rate
if (firstRegularRate != null && isFirstRegularPeriod(scheduleIndex, scheduleInitialStub.isPresent())) {
Expand All @@ -346,12 +365,17 @@ private RateComputation createRateComputationWithResetPeriods(
Schedule resetSchedule,
DateAdjuster fixingDateAdjuster,
Function<LocalDate, IborIndexObservation> iborObservationFn,
boolean firstRegular) {
int scheduleIndex,
boolean firstRegular,
ReferenceData refData) {

List<IborAveragedFixing> fixings = new ArrayList<>();
for (int i = 0; i < resetSchedule.size(); i++) {
SchedulePeriod resetPeriod = resetSchedule.getPeriod(i);
LocalDate fixingDate = fixingDateAdjuster.adjust(fixingRelativeTo.selectBaseDate(resetPeriod));
if (scheduleIndex == 0 && i == 0 && firstFixingDateOffset != null) {
fixingDate = firstFixingDateOffset.resolve(refData).adjust(fixingRelativeTo.selectBaseDate(resetPeriod));
}
fixings.add(IborAveragedFixing.builder()
.observation(iborObservationFn.apply(fixingDate))
.fixedRate(firstRegular && i == 0 ? firstRegularRate : null)
Expand Down Expand Up @@ -405,6 +429,7 @@ private IborRateCalculation(
DaysAdjustment fixingDateOffset,
NegativeRateMethod negativeRateMethod,
Double firstRegularRate,
DaysAdjustment firstFixingDateOffset,
IborRateStubCalculation initialStub,
IborRateStubCalculation finalStub,
ValueSchedule gearing,
Expand All @@ -421,6 +446,7 @@ private IborRateCalculation(
this.fixingDateOffset = fixingDateOffset;
this.negativeRateMethod = negativeRateMethod;
this.firstRegularRate = firstRegularRate;
this.firstFixingDateOffset = firstFixingDateOffset;
this.initialStub = initialStub;
this.finalStub = finalStub;
this.gearing = gearing;
Expand Down Expand Up @@ -550,6 +576,24 @@ public OptionalDouble getFirstRegularRate() {
return firstRegularRate != null ? OptionalDouble.of(firstRegularRate) : OptionalDouble.empty();
}

//-----------------------------------------------------------------------
/**
* Gets the offset of the first fixing date from the first adjusted reset date, optional.
* <p>
* If present, this offset is used instead of {@code fixingDateOffset} for the first
* reset period of the swap, which will be either an initial stub or the first reset
* period of the first <i>regular</i> accrual period.
* <p>
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
* <p>
* If this property is not present, then the {@code fixingDateOffset} applies to all fixings.
* @return the optional value of the property, not null
*/
public Optional<DaysAdjustment> getFirstFixingDateOffset() {
return Optional.ofNullable(firstFixingDateOffset);
}

//-----------------------------------------------------------------------
/**
* Gets the rate to be used in initial stub, optional.
Expand Down Expand Up @@ -648,6 +692,7 @@ public boolean equals(Object obj) {
JodaBeanUtils.equal(fixingDateOffset, other.fixingDateOffset) &&
JodaBeanUtils.equal(negativeRateMethod, other.negativeRateMethod) &&
JodaBeanUtils.equal(firstRegularRate, other.firstRegularRate) &&
JodaBeanUtils.equal(firstFixingDateOffset, other.firstFixingDateOffset) &&
JodaBeanUtils.equal(initialStub, other.initialStub) &&
JodaBeanUtils.equal(finalStub, other.finalStub) &&
JodaBeanUtils.equal(gearing, other.gearing) &&
Expand All @@ -666,6 +711,7 @@ public int hashCode() {
hash = hash * 31 + JodaBeanUtils.hashCode(fixingDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(negativeRateMethod);
hash = hash * 31 + JodaBeanUtils.hashCode(firstRegularRate);
hash = hash * 31 + JodaBeanUtils.hashCode(firstFixingDateOffset);
hash = hash * 31 + JodaBeanUtils.hashCode(initialStub);
hash = hash * 31 + JodaBeanUtils.hashCode(finalStub);
hash = hash * 31 + JodaBeanUtils.hashCode(gearing);
Expand All @@ -675,7 +721,7 @@ public int hashCode() {

@Override
public String toString() {
StringBuilder buf = new StringBuilder(384);
StringBuilder buf = new StringBuilder(416);
buf.append("IborRateCalculation{");
buf.append("dayCount").append('=').append(dayCount).append(',').append(' ');
buf.append("index").append('=').append(index).append(',').append(' ');
Expand All @@ -684,6 +730,7 @@ public String toString() {
buf.append("fixingDateOffset").append('=').append(fixingDateOffset).append(',').append(' ');
buf.append("negativeRateMethod").append('=').append(negativeRateMethod).append(',').append(' ');
buf.append("firstRegularRate").append('=').append(firstRegularRate).append(',').append(' ');
buf.append("firstFixingDateOffset").append('=').append(firstFixingDateOffset).append(',').append(' ');
buf.append("initialStub").append('=').append(initialStub).append(',').append(' ');
buf.append("finalStub").append('=').append(finalStub).append(',').append(' ');
buf.append("gearing").append('=').append(gearing).append(',').append(' ');
Expand Down Expand Up @@ -737,6 +784,11 @@ public static final class Meta extends DirectMetaBean {
*/
private final MetaProperty<Double> firstRegularRate = DirectMetaProperty.ofImmutable(
this, "firstRegularRate", IborRateCalculation.class, Double.class);
/**
* The meta-property for the {@code firstFixingDateOffset} property.
*/
private final MetaProperty<DaysAdjustment> firstFixingDateOffset = DirectMetaProperty.ofImmutable(
this, "firstFixingDateOffset", IborRateCalculation.class, DaysAdjustment.class);
/**
* The meta-property for the {@code initialStub} property.
*/
Expand Down Expand Up @@ -769,6 +821,7 @@ public static final class Meta extends DirectMetaBean {
"fixingDateOffset",
"negativeRateMethod",
"firstRegularRate",
"firstFixingDateOffset",
"initialStub",
"finalStub",
"gearing",
Expand Down Expand Up @@ -797,6 +850,8 @@ protected MetaProperty<?> metaPropertyGet(String propertyName) {
return negativeRateMethod;
case 570227148: // firstRegularRate
return firstRegularRate;
case 2022439998: // firstFixingDateOffset
return firstFixingDateOffset;
case 1233359378: // initialStub
return initialStub;
case 355242820: // finalStub
Expand Down Expand Up @@ -881,6 +936,14 @@ public MetaProperty<Double> firstRegularRate() {
return firstRegularRate;
}

/**
* The meta-property for the {@code firstFixingDateOffset} property.
* @return the meta-property, not null
*/
public MetaProperty<DaysAdjustment> firstFixingDateOffset() {
return firstFixingDateOffset;
}

/**
* The meta-property for the {@code initialStub} property.
* @return the meta-property, not null
Expand Down Expand Up @@ -931,6 +994,8 @@ protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
return ((IborRateCalculation) bean).getNegativeRateMethod();
case 570227148: // firstRegularRate
return ((IborRateCalculation) bean).firstRegularRate;
case 2022439998: // firstFixingDateOffset
return ((IborRateCalculation) bean).firstFixingDateOffset;
case 1233359378: // initialStub
return ((IborRateCalculation) bean).initialStub;
case 355242820: // finalStub
Expand Down Expand Up @@ -967,6 +1032,7 @@ public static final class Builder extends DirectFieldsBeanBuilder<IborRateCalcul
private DaysAdjustment fixingDateOffset;
private NegativeRateMethod negativeRateMethod;
private Double firstRegularRate;
private DaysAdjustment firstFixingDateOffset;
private IborRateStubCalculation initialStub;
private IborRateStubCalculation finalStub;
private ValueSchedule gearing;
Expand All @@ -991,6 +1057,7 @@ private Builder(IborRateCalculation beanToCopy) {
this.fixingDateOffset = beanToCopy.getFixingDateOffset();
this.negativeRateMethod = beanToCopy.getNegativeRateMethod();
this.firstRegularRate = beanToCopy.firstRegularRate;
this.firstFixingDateOffset = beanToCopy.firstFixingDateOffset;
this.initialStub = beanToCopy.initialStub;
this.finalStub = beanToCopy.finalStub;
this.gearing = beanToCopy.gearing;
Expand All @@ -1015,6 +1082,8 @@ public Object get(String propertyName) {
return negativeRateMethod;
case 570227148: // firstRegularRate
return firstRegularRate;
case 2022439998: // firstFixingDateOffset
return firstFixingDateOffset;
case 1233359378: // initialStub
return initialStub;
case 355242820: // finalStub
Expand Down Expand Up @@ -1052,6 +1121,9 @@ public Builder set(String propertyName, Object newValue) {
case 570227148: // firstRegularRate
this.firstRegularRate = (Double) newValue;
break;
case 2022439998: // firstFixingDateOffset
this.firstFixingDateOffset = (DaysAdjustment) newValue;
break;
case 1233359378: // initialStub
this.initialStub = (IborRateStubCalculation) newValue;
break;
Expand Down Expand Up @@ -1105,6 +1177,7 @@ public IborRateCalculation build() {
fixingDateOffset,
negativeRateMethod,
firstRegularRate,
firstFixingDateOffset,
initialStub,
finalStub,
gearing,
Expand Down Expand Up @@ -1231,6 +1304,25 @@ public Builder firstRegularRate(Double firstRegularRate) {
return this;
}

/**
* Sets the offset of the first fixing date from the first adjusted reset date, optional.
* <p>
* If present, this offset is used instead of {@code fixingDateOffset} for the first
* reset period of the swap, which will be either an initial stub or the first reset
* period of the first <i>regular</i> accrual period.
* <p>
* The offset is applied to the base date specified by {@code fixingRelativeTo}.
* The offset is typically a negative number of business days.
* <p>
* If this property is not present, then the {@code fixingDateOffset} applies to all fixings.
* @param firstFixingDateOffset the new value
* @return this, for chaining, not null
*/
public Builder firstFixingDateOffset(DaysAdjustment firstFixingDateOffset) {
this.firstFixingDateOffset = firstFixingDateOffset;
return this;
}

/**
* Sets the rate to be used in initial stub, optional.
* <p>
Expand Down Expand Up @@ -1313,7 +1405,7 @@ public Builder spread(ValueSchedule spread) {
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(384);
StringBuilder buf = new StringBuilder(416);
buf.append("IborRateCalculation.Builder{");
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
Expand All @@ -1322,6 +1414,7 @@ public String toString() {
buf.append("fixingDateOffset").append('=').append(JodaBeanUtils.toString(fixingDateOffset)).append(',').append(' ');
buf.append("negativeRateMethod").append('=').append(JodaBeanUtils.toString(negativeRateMethod)).append(',').append(' ');
buf.append("firstRegularRate").append('=').append(JodaBeanUtils.toString(firstRegularRate)).append(',').append(' ');
buf.append("firstFixingDateOffset").append('=').append(JodaBeanUtils.toString(firstFixingDateOffset)).append(',').append(' ');
buf.append("initialStub").append('=').append(JodaBeanUtils.toString(initialStub)).append(',').append(' ');
buf.append("finalStub").append('=').append(JodaBeanUtils.toString(finalStub)).append(',').append(' ');
buf.append("gearing").append('=').append(JodaBeanUtils.toString(gearing)).append(',').append(' ');
Expand Down
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