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Clean up inflation swaps convention #1539

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merged 3 commits into from Jul 28, 2017
Merged

Clean up inflation swaps convention #1539

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ecc1f86
Cleaning up inflation swaps convention:
brianweller89 Jul 28, 2017
a9f7920
WIP
brianweller89 Jul 28, 2017
4e9a60d
Regenerate Joda Beans
brianweller89 Jul 28, 2017
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48 changes: 39 additions & 9 deletions .../src/main/java/com/opengamma/strata/product/swap/type/InflationRateSwapLegConvention.java
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Expand Up @@ -113,24 +113,52 @@ public final class InflationRateSwapLegConvention
private final BusinessDayAdjustment accrualBusinessDayAdjustment;

//-------------------------------------------------------------------------

/**
* Obtains a convention based on the specified index, defaulting the PriceIndexCalculationMethod to MONTHLY.
* <p>
* The standard market convention for an Inflation rate leg is based on the index.
* Use the {@linkplain #builder() builder} for unusual conventions.
*
* @param index the index, the market convention values are extracted from the index
* @param lag the lag between the price index and the accrual date, typically a number of months
* @param businessDayAdjustment the business day
* @return the convention
* @deprecated Use of() method which takes {@link PriceIndexCalculationMethod} parameter
*/
@Deprecated
public static InflationRateSwapLegConvention of(
PriceIndex index,
Period lag,
BusinessDayAdjustment businessDayAdjustment) {
return of(index, lag, PriceIndexCalculationMethod.MONTHLY, businessDayAdjustment);
}

/**
* Obtains a convention based on the specified index.
* <p>
* The standard market convention for an Inflation rate leg is based on the index.
* Use the {@linkplain #builder() builder} for unusual conventions.
*
*
* @param index the index, the market convention values are extracted from the index
* @param lag the lag between the price index and the accrual date, typically a number of months
* @param businessDayAdjustment the business day
* @param priceIndexCalculationMethod the price index calculation method, typically interpolated or monthly
* @param businessDayAdjustment the business day
* @return the convention
*/
public static InflationRateSwapLegConvention of(
PriceIndex index,
Period lag,
PriceIndexCalculationMethod priceIndexCalculationMethod,
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This is an incompatible change. Need to add an overload.

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Ok. Have deprecated the old method as the client should have to provide interpolation style when defining conventions. Defaulting to monthly seems slightly arbitrary.

BusinessDayAdjustment businessDayAdjustment) {

return new InflationRateSwapLegConvention(index, lag, PriceIndexCalculationMethod.MONTHLY, false,
DaysAdjustment.NONE, businessDayAdjustment);
return new InflationRateSwapLegConvention(
index,
lag,
priceIndexCalculationMethod,
false,
DaysAdjustment.NONE,
businessDayAdjustment);
}

//-------------------------------------------------------------------------
Expand All @@ -140,16 +168,18 @@ private static void applyDefaults(Builder builder) {
}

//-------------------------------------------------------------------------

/**
* Gets the currency of the leg from the index.
*
*
* @return the currency
*/
public Currency getCurrency() {
return index.getCurrency();
}

//-------------------------------------------------------------------------

/**
* Creates a leg based on this convention.
* <p>
Expand All @@ -158,10 +188,10 @@ public Currency getCurrency() {
* If the leg is 'Pay', the fixed rate is paid to the counterparty.
* If the leg is 'Receive', the fixed rate is received from the counterparty.
*
* @param startDate the start date
* @param endDate the end date
* @param payReceive determines if the leg is to be paid or received
* @param notional the business day adjustment to apply to accrual schedule dates
* @param startDate the start date
* @param endDate the end date
* @param payReceive determines if the leg is to be paid or received
* @param notional the business day adjustment to apply to accrual schedule dates
* @return the leg
*/
public RateCalculationSwapLeg toLeg(
Expand Down
55 changes: 46 additions & 9 deletions ...in/java/com/opengamma/strata/product/swap/type/StandardFixedInflationSwapConventions.java
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Expand Up @@ -28,6 +28,7 @@
import com.opengamma.strata.basics.index.PriceIndices;
import com.opengamma.strata.basics.schedule.Frequency;
import com.opengamma.strata.product.swap.CompoundingMethod;
import com.opengamma.strata.product.swap.PriceIndexCalculationMethod;

/**
* Fixed-Inflation swap conventions.
Expand All @@ -51,7 +52,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"GBP-FIXED-ZC-GB-HCIP",
fixedLegZcConvention(GBP, GBLO),
InflationRateSwapLegConvention.of(PriceIndices.GB_HICP, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)),
InflationRateSwapLegConvention.of(
PriceIndices.GB_HICP,
LAG_2M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)),
DaysAdjustment.ofBusinessDays(2, GBLO));

/**
Expand All @@ -62,7 +67,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"GBP-FIXED-ZC-GB-RPI",
fixedLegZcConvention(GBP, GBLO),
InflationRateSwapLegConvention.of(PriceIndices.GB_RPI, LAG_2M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)),
InflationRateSwapLegConvention.of(
PriceIndices.GB_RPI,
LAG_2M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)),
DaysAdjustment.ofBusinessDays(2, GBLO));

/**
Expand All @@ -73,7 +82,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"GBP-FIXED-ZC-GB-RPIX",
fixedLegZcConvention(GBP, GBLO),
InflationRateSwapLegConvention.of(PriceIndices.GB_RPIX, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)),
InflationRateSwapLegConvention.of(
PriceIndices.GB_RPIX,
LAG_2M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)),
DaysAdjustment.ofBusinessDays(2, GBLO));

/**
Expand All @@ -84,7 +97,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"CHF-FIXED-ZC-CH-CPI",
fixedLegZcConvention(CHF, CHZU),
InflationRateSwapLegConvention.of(PriceIndices.CH_CPI, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, CHZU)),
InflationRateSwapLegConvention.of(
PriceIndices.CH_CPI,
LAG_3M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, CHZU)),
DaysAdjustment.ofBusinessDays(2, CHZU));

/**
Expand All @@ -95,7 +112,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"EUR-FIXED-ZC-EU-AI-CPI",
fixedLegZcConvention(EUR, EUTA),
InflationRateSwapLegConvention.of(PriceIndices.EU_AI_CPI, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)),
InflationRateSwapLegConvention.of(
PriceIndices.EU_AI_CPI,
LAG_3M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)),
DaysAdjustment.ofBusinessDays(2, EUTA));

/**
Expand All @@ -106,7 +127,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"EUR-FIXED-ZC-EU-EXT-CPI",
fixedLegZcConvention(EUR, EUTA),
InflationRateSwapLegConvention.of(PriceIndices.EU_EXT_CPI, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)),
InflationRateSwapLegConvention.of(
PriceIndices.EU_EXT_CPI,
LAG_3M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)),
DaysAdjustment.ofBusinessDays(2, EUTA));

/**
Expand All @@ -117,7 +142,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"JPY-FIXED-ZC-JP-CPI",
fixedLegZcConvention(JPY, JPTO),
InflationRateSwapLegConvention.of(PriceIndices.JP_CPI_EXF, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO)),
InflationRateSwapLegConvention.of(
PriceIndices.JP_CPI_EXF,
LAG_3M,
PriceIndexCalculationMethod.INTERPOLATED_JAPAN,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO)),
DaysAdjustment.ofBusinessDays(2, JPTO));

/**
Expand All @@ -128,7 +157,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"USD-FIXED-ZC-US-CPI",
fixedLegZcConvention(USD, USNY),
InflationRateSwapLegConvention.of(PriceIndices.US_CPI_U, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, USNY)),
InflationRateSwapLegConvention.of(
PriceIndices.US_CPI_U,
LAG_3M,
PriceIndexCalculationMethod.INTERPOLATED,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, USNY)),
DaysAdjustment.ofBusinessDays(2, USNY));

/**
Expand All @@ -139,7 +172,11 @@ final class StandardFixedInflationSwapConventions {
ImmutableFixedInflationSwapConvention.of(
"EUR-FIXED-ZC-FR-CPI",
fixedLegZcConvention(EUR, EUTA),
InflationRateSwapLegConvention.of(PriceIndices.FR_EXT_CPI, LAG_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, FRPA)),
InflationRateSwapLegConvention.of(
PriceIndices.FR_EXT_CPI,
LAG_3M,
PriceIndexCalculationMethod.MONTHLY,
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, FRPA)),
DaysAdjustment.ofBusinessDays(2, EUTA));

// Create a zero-coupon fixed leg convention
Expand Down
7 changes: 4 additions & 3 deletions ...rc/test/java/com/opengamma/strata/product/swap/type/FixedInflationSwapConventionTest.java
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Expand Up @@ -22,6 +22,7 @@
import static com.opengamma.strata.product.common.BuySell.BUY;
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.PriceIndexCalculationMethod.MONTHLY;
import static org.testng.Assert.assertEquals;

import java.time.LocalDate;
Expand Down Expand Up @@ -56,9 +57,9 @@ public class FixedInflationSwapConventionTest {
private static final FixedRateSwapLegConvention FIXED = fixedLegZcConvention(GBP, GBLO);
private static final FixedRateSwapLegConvention FIXED2 =
FixedRateSwapLegConvention.of(GBP, ACT_365F, P3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL2 = InflationRateSwapLegConvention.of(GB_RPI, LAG_3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL3 = InflationRateSwapLegConvention.of(GB_RPIX, LAG_3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL2 = InflationRateSwapLegConvention.of(GB_RPI, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL3 = InflationRateSwapLegConvention.of(GB_RPIX, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
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Could back this out when compatibility overload added.

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Would rather keep the test changes in order to discourage the use of the now deprecated method.


//-------------------------------------------------------------------------
public void test_of() {
Expand Down
6 changes: 4 additions & 2 deletions .../src/test/java/com/opengamma/strata/product/swap/type/FixedInflationSwapTemplateTest.java
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Expand Up @@ -25,6 +25,8 @@
import static com.opengamma.strata.product.common.BuySell.BUY;
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.PriceIndexCalculationMethod.INTERPOLATED;
import static com.opengamma.strata.product.swap.PriceIndexCalculationMethod.MONTHLY;
import static org.testng.Assert.assertEquals;

import java.time.LocalDate;
Expand Down Expand Up @@ -58,8 +60,8 @@ public class FixedInflationSwapTemplateTest {
FixedRateSwapLegConvention.of(GBP, ACT_360, P6M, BDA_FOLLOW);
private static final FixedRateSwapLegConvention FIXED2 =
FixedRateSwapLegConvention.of(USD, ACT_365F, P3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL2 = InflationRateSwapLegConvention.of(US_CPI_U, LAG_3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL2 = InflationRateSwapLegConvention.of(US_CPI_U, LAG_3M, INTERPOLATED, BDA_MOD_FOLLOW);
private static final FixedInflationSwapConvention CONV = ImmutableFixedInflationSwapConvention.of(
NAME,
FIXED,
Expand Down
13 changes: 7 additions & 6 deletions .../test/java/com/opengamma/strata/product/swap/type/InflationRateSwapLegConventionTest.java
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Expand Up @@ -14,6 +14,7 @@
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static com.opengamma.strata.product.common.PayReceive.PAY;
import static com.opengamma.strata.product.swap.PriceIndexCalculationMethod.MONTHLY;
import static org.testng.Assert.assertEquals;

import java.time.LocalDate;
Expand Down Expand Up @@ -44,10 +45,10 @@ public class InflationRateSwapLegConventionTest {

//-------------------------------------------------------------------------
public void test_of() {
InflationRateSwapLegConvention test = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, BDA_MOD_FOLLOW);
InflationRateSwapLegConvention test = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
assertEquals(test.getIndex(), GB_HICP);
assertEquals(test.getLag(), LAG_3M);
assertEquals(test.getIndexCalculationMethod(), PriceIndexCalculationMethod.MONTHLY);
assertEquals(test.getIndexCalculationMethod(), MONTHLY);
assertEquals(test.isNotionalExchange(), false);
assertEquals(test.getCurrency(), GBP);
}
Expand All @@ -59,7 +60,7 @@ public void test_builder() {
.build();
assertEquals(test.getIndex(), GB_HICP);
assertEquals(test.getLag(), LAG_3M);
assertEquals(test.getIndexCalculationMethod(), PriceIndexCalculationMethod.MONTHLY);
assertEquals(test.getIndexCalculationMethod(), MONTHLY);
assertEquals(test.isNotionalExchange(), false);
assertEquals(test.getCurrency(), GBP);
}
Expand All @@ -85,7 +86,7 @@ public void test_builderAllSpecified() {

//-------------------------------------------------------------------------
public void test_toLeg() {
InflationRateSwapLegConvention base = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, BDA_MOD_FOLLOW);
InflationRateSwapLegConvention base = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = base.toLeg(
Expand All @@ -107,7 +108,7 @@ public void test_toLeg() {
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M))
.calculation(InflationRateCalculation.of(GB_HICP, 3, PriceIndexCalculationMethod.MONTHLY))
.calculation(InflationRateCalculation.of(GB_HICP, 3, MONTHLY))
.build();
assertEquals(test, expected);
}
Expand All @@ -129,7 +130,7 @@ public void coverage() {
}

public void test_serialization() {
InflationRateSwapLegConvention test = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, BDA_MOD_FOLLOW);
InflationRateSwapLegConvention test = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW);
assertSerialization(test);
}

Expand Down