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Add smart stub conventions and switch to EOM #1829

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merged 2 commits into from Oct 24, 2018
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Add smart stub conventions and switch to EOM #1829

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1c80f67
Add smart stub conventions and switch to EOM
jodastephen Oct 1, 2018
27a7a25
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jodastephen Oct 24, 2018
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2 changes: 1 addition & 1 deletion examples/src/main/java/com/opengamma/strata/examples/gui/ScheduleGui.java
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Expand Up @@ -96,7 +96,7 @@ public void start(Stage primaryStage) {
stubOptions.add(0, null);
ChoiceBox<StubConvention> stubInp = new ChoiceBox<>(stubOptions);
stubLbl.setLabelFor(stubInp);
stubInp.setValue(StubConvention.SHORT_INITIAL);
stubInp.setValue(StubConvention.SMART_INITIAL);

Label rollLbl = new Label("Roll:");
ChoiceBox<RollConvention> rollInp = new ChoiceBox<>(
Expand Down
97 changes: 49 additions & 48 deletions modules/basics/src/main/java/com/opengamma/strata/basics/schedule/PeriodicSchedule.java
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Expand Up @@ -83,9 +83,9 @@
* <p>
* If explicit stub dates are specified then they are used to lock the initial or final stub.
* If the stub convention is present, it is matched and validated against the locked stub.
* For example, if an initial stub is specified by dates and the stub convention is 'ShortInitial'
* or 'LongInitial' then the convention is considered to be matched, thus the periodic frequency is
* applied using the implicit stub convention 'None'.
* For example, if an initial stub is specified by dates and the stub convention is 'ShortInitial',
* 'LongInitial' or 'SmartInitial' then the convention is considered to be matched, thus the periodic
* frequency is applied using the implicit stub convention 'None'.
* If the stub convention does not match the dates, then an exception will be thrown during schedule creation.
* If the stub convention is not present, then the periodic frequency is applied
* using the implicit stub convention 'None'.
Expand Down Expand Up @@ -194,14 +194,14 @@ public final class PeriodicSchedule
* The stubs themselves must be specified using explicit dates.
* This will be validated during schedule construction.
* <p>
* The conventions 'ShortInitial', 'LongInitial', 'ShortFinal' and 'LongFinal' are used to
* indicate the type of stub to be generated. The exact behavior varies depending on whether
* there are explicit dates or not:
* The conventions 'ShortInitial', 'LongInitial', 'SmartInitial', 'ShortFinal', 'LongFinal'
* and 'SmartFinal' are used to indicate the type of stub to be generated.
* The exact behavior varies depending on whether there are explicit dates or not:
* <p>
* If explicit dates are specified, then the combination of stub convention an explicit date
* will be validated during schedule construction. For example, the combination of an explicit dated
* initial stub and a stub convention of 'ShortInitial' or 'LongInitial' is valid, but other
* stub conventions, such as 'ShortFinal' or 'None' would be invalid.
* initial stub and a stub convention of 'ShortInitial', 'LongInitial' or 'SmartInitial' is valid,
* but other stub conventions, such as 'ShortFinal' or 'None' would be invalid.
* <p>
* If explicit dates are not specified, then it is not required that a stub is generated.
* The convention determines whether to generate dates from the start date forward, or the
Expand Down Expand Up @@ -391,6 +391,7 @@ private void validate() {
* as being the day-of-month implied by the roll convention (the adjusted date is unaffected).
* <ul>
* <li>the {@code startDateBusinessDayAdjustment} property equals {@link BusinessDayAdjustment#NONE}
* or the roll convention is 'EOM'
* <li>the roll convention is numeric or 'EOM'
* <li>applying {@code businessDayAdjustment} to the day-of-month implied by the roll convention
* yields the specified start date
Expand Down Expand Up @@ -490,6 +491,7 @@ public ImmutableList<LocalDate> createUnadjustedDates() {
* as being the day-of-month implied by the roll convention (the adjusted date is unaffected).
* <ul>
* <li>the {@code startDateBusinessDayAdjustment} property equals {@link BusinessDayAdjustment#NONE}
* or the roll convention is 'EOM'
* <li>the roll convention is numeric or 'EOM'
* <li>applying {@code businessDayAdjustment} to the day-of-month implied by the roll convention
* yields the specified start date
Expand Down Expand Up @@ -576,34 +578,34 @@ private StubConvention generateImplicitStubConvention(boolean explicitInitialStu
private List<LocalDate> generateUnadjustedDates(
LocalDate regStart,
LocalDate regEnd,
RollConvention rollConv,
StubConvention stubConv,
RollConvention rollCnv,
StubConvention stubCnv,
boolean explicitInitStub,
LocalDate overrideStart,
boolean explicitFinalStub,
LocalDate end) {

if (stubConv.isCalculateBackwards()) {
return generateBackwards(
this, regStart, regEnd, frequency, rollConv, stubConv, explicitInitStub, overrideStart, explicitFinalStub, end);
if (stubCnv.isCalculateBackwards()) {
// called only when stub is initial
// validate that explicit stub flags have been resolved to stub convention of NONE
ArgChecker.isFalse(explicitInitStub, "Value explicitInitStub must be false");
ArgChecker.isFalse(explicitFinalStub, "Value explicitFinalStub must be false");
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Why are we having this restriction for backwards calculation only?

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It drops out of logic elsewhere. When either of those flags are true we generate forwards.

return generateBackwards(this, regStart, regEnd, frequency, rollCnv, stubCnv, overrideStart);
} else {
return generateForwards(
this, regStart, regEnd, frequency, rollConv, stubConv, explicitInitStub, overrideStart, explicitFinalStub, end);
this, regStart, regEnd, frequency, rollCnv, stubCnv, explicitInitStub, overrideStart, explicitFinalStub, end);
}
}

// generate the schedule of dates backwards from the end
// generate the schedule of dates backwards from the end, only called when stub convention is initial
private static List<LocalDate> generateBackwards(
PeriodicSchedule schedule,
LocalDate start,
LocalDate end,
Frequency frequency,
RollConvention rollConv,
StubConvention stubConv,
boolean explicitInitialStub,
LocalDate explicitStartDate,
boolean explicitFinalStub,
LocalDate explicitEndDate) {
LocalDate explicitStartDate) {

// validate
if (rollConv.matches(end) == false) {
Expand All @@ -612,26 +614,18 @@ private static List<LocalDate> generateBackwards(
}
// generate
BackwardsList dates = new BackwardsList(estimateNumberPeriods(start, end, frequency));
if (explicitFinalStub) {
dates.addFirst(explicitEndDate);
}
dates.addFirst(end);
LocalDate temp = rollConv.previous(end, frequency);
while (temp.isAfter(start)) {
dates.addFirst(temp);
temp = rollConv.previous(temp, frequency);
}
// convert short stub to long stub, but only if we actually have a stub
// convert to long stub, but only if we actually have a stub
boolean stub = temp.equals(start) == false;
if (stub && stubConv.isLong() && dates.size() > 1) {
if (stub && dates.size() > 1 && stubConv.isStubLong(start, dates.get(0))) {
dates.removeFirst();
}
if (explicitInitialStub) {
dates.addFirst(start);
dates.addFirst(explicitStartDate);
} else {
dates.addFirst(explicitStartDate);
}
dates.addFirst(explicitStartDate);
return dates;
}

Expand Down Expand Up @@ -665,7 +659,7 @@ void removeFirst() {
}
}

// generate the schedule of dates forwards from the start
// generate the schedule of dates forwards from the start, called when stub convention is not initial
private static List<LocalDate> generateForwards(
PeriodicSchedule schedule,
LocalDate start,
Expand Down Expand Up @@ -703,7 +697,7 @@ private static List<LocalDate> generateForwards(
throw new ScheduleException(
schedule, "Period '{}' to '{}' resulted in a disallowed stub with frequency '{}'", start, end, frequency);
}
if (stubConv.isLong()) {
if (stubConv.isStubLong(dates.get(dates.size() - 1), end)) {
dates.remove(dates.size() - 1);
}
}
Expand Down Expand Up @@ -739,6 +733,7 @@ private static int estimateNumberPeriods(LocalDate start, LocalDate end, Frequen
* as being the day-of-month implied by the roll convention (the adjusted date is unaffected).
* <ul>
* <li>the {@code startDateBusinessDayAdjustment} property equals {@link BusinessDayAdjustment#NONE}
* or the roll convention is 'EOM'
* <li>the roll convention is numeric or 'EOM'
* <li>applying {@code businessDayAdjustment} to the day-of-month implied by the roll convention
* yields the specified start date
Expand Down Expand Up @@ -809,12 +804,16 @@ public RollConvention calculatedRollConvention() {

// calculates the applicable roll convention
// the calculated start date parameter allows for influence by calculatedUnadjustedStartDate()
private RollConvention calculatedRollConvention(LocalDate calculatedFirstRegStartDate, LocalDate calculatedLastRegEndDate) {
private RollConvention calculatedRollConvention(
LocalDate calculatedFirstRegStartDate,
LocalDate calculatedLastRegEndDate) {

// determine roll convention from stub convention
StubConvention stubConv = MoreObjects.firstNonNull(stubConvention, StubConvention.NONE);
// special handling for EOM as it is advisory rather than mandatory
if (rollConvention == RollConventions.EOM) {
RollConvention derived = stubConv.toRollConvention(calculatedFirstRegStartDate, calculatedLastRegEndDate, frequency, true);
RollConvention derived =
stubConv.toRollConvention(calculatedFirstRegStartDate, calculatedLastRegEndDate, frequency, true);
return (derived == RollConventions.NONE ? RollConventions.EOM : derived);
}
// avoid RollConventions.NONE if possible
Expand All @@ -835,15 +834,15 @@ private RollConvention calculatedRollConvention(LocalDate calculatedFirstRegStar
private LocalDate calculatedUnadjustedStartDate(ReferenceData refData) {
// change date if
// reference data is available
// and explicit start adjustment must be NONE (not ideal, but meets backwards compatibility)
// and explicit start adjustment must be NONE or roll convention is EOM
// and either
// numeric roll convention and day-of-month actually differs
// or
// StandardDayConvention is used and the day is not a valid roll date

if (refData != null &&
rollConvention != null &&
BusinessDayAdjustment.NONE.equals(startDateBusinessDayAdjustment)) {
(BusinessDayAdjustment.NONE.equals(startDateBusinessDayAdjustment) || rollConvention == RollConventions.EOM)) {
return calculatedUnadjustedDateFromAdjusted(startDate, rollConvention, businessDayAdjustment, refData);
}
return startDate;
Expand All @@ -852,7 +851,8 @@ private LocalDate calculatedUnadjustedStartDate(ReferenceData refData) {
// calculates the applicable end date
private LocalDate calculatedUnadjustedEndDate(ReferenceData refData) {
if (refData != null && rollConvention != null) {
return calculatedUnadjustedDateFromAdjusted(endDate, rollConvention, calculatedEndDateBusinessDayAdjustment(), refData);
return calculatedUnadjustedDateFromAdjusted(
endDate, rollConvention, calculatedEndDateBusinessDayAdjustment(), refData);
}
return endDate;
}
Expand Down Expand Up @@ -928,7 +928,8 @@ private LocalDate calculatedFirstRegularStartDate(LocalDate unadjStart, Referenc
return unadjStart;
}
if (refData != null && rollConvention != null) {
return calculatedUnadjustedDateFromAdjusted(firstRegularStartDate, rollConvention, businessDayAdjustment, refData);
return calculatedUnadjustedDateFromAdjusted(
firstRegularStartDate, rollConvention, businessDayAdjustment, refData);
}
return firstRegularStartDate;
}
Expand Down Expand Up @@ -1172,14 +1173,14 @@ public Optional<BusinessDayAdjustment> getEndDateBusinessDayAdjustment() {
* The stubs themselves must be specified using explicit dates.
* This will be validated during schedule construction.
* <p>
* The conventions 'ShortInitial', 'LongInitial', 'ShortFinal' and 'LongFinal' are used to
* indicate the type of stub to be generated. The exact behavior varies depending on whether
* there are explicit dates or not:
* The conventions 'ShortInitial', 'LongInitial', 'SmartInitial', 'ShortFinal', 'LongFinal'
* and 'SmartFinal' are used to indicate the type of stub to be generated.
* The exact behavior varies depending on whether there are explicit dates or not:
* <p>
* If explicit dates are specified, then the combination of stub convention an explicit date
* will be validated during schedule construction. For example, the combination of an explicit dated
* initial stub and a stub convention of 'ShortInitial' or 'LongInitial' is valid, but other
* stub conventions, such as 'ShortFinal' or 'None' would be invalid.
* initial stub and a stub convention of 'ShortInitial', 'LongInitial' or 'SmartInitial' is valid,
* but other stub conventions, such as 'ShortFinal' or 'None' would be invalid.
* <p>
* If explicit dates are not specified, then it is not required that a stub is generated.
* The convention determines whether to generate dates from the start date forward, or the
Expand Down Expand Up @@ -1851,14 +1852,14 @@ public Builder endDateBusinessDayAdjustment(BusinessDayAdjustment endDateBusines
* The stubs themselves must be specified using explicit dates.
* This will be validated during schedule construction.
* <p>
* The conventions 'ShortInitial', 'LongInitial', 'ShortFinal' and 'LongFinal' are used to
* indicate the type of stub to be generated. The exact behavior varies depending on whether
* there are explicit dates or not:
* The conventions 'ShortInitial', 'LongInitial', 'SmartInitial', 'ShortFinal', 'LongFinal'
* and 'SmartFinal' are used to indicate the type of stub to be generated.
* The exact behavior varies depending on whether there are explicit dates or not:
* <p>
* If explicit dates are specified, then the combination of stub convention an explicit date
* will be validated during schedule construction. For example, the combination of an explicit dated
* initial stub and a stub convention of 'ShortInitial' or 'LongInitial' is valid, but other
* stub conventions, such as 'ShortFinal' or 'None' would be invalid.
* initial stub and a stub convention of 'ShortInitial', 'LongInitial' or 'SmartInitial' is valid,
* but other stub conventions, such as 'ShortFinal' or 'None' would be invalid.
* <p>
* If explicit dates are not specified, then it is not required that a stub is generated.
* The convention determines whether to generate dates from the start date forward, or the
Expand Down