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Add isPaymentFixedAt for SwapPaymentEvents #2278

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Merged
benhamilton-brown merged 2 commits into from
Jan 14, 2021
Merged

Add isPaymentFixedAt for SwapPaymentEvents #2278

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afc173e
Add isPaymentFixedAt for SwapPaymentEvents
benhamilton-brown Jan 14, 2021
8d38a42
Add isPaymentFixedAt for SwapPaymentEvents
benhamilton-brown Jan 14, 2021
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5 changes: 5 additions & 0 deletions modules/product/src/main/java/com/opengamma/strata/product/swap/FxResetNotionalExchange.java
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Original file line number Diff line number Diff line change
Expand Up @@ -163,6 +163,11 @@ public FxResetNotionalExchange adjustPaymentDate(TemporalAdjuster adjuster) {
return adjusted.equals(paymentDate) ? this : new FxResetNotionalExchange(notionalAmount, adjusted, observation);
}

@Override
public boolean isKnownAmountAt(LocalDate date) {
return !observation.getFixingDate().isAfter(date);
}

//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxResetNotionalExchange}.
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5 changes: 5 additions & 0 deletions modules/product/src/main/java/com/opengamma/strata/product/swap/NotionalExchange.java
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Expand Up @@ -106,6 +106,11 @@ public NotionalExchange adjustPaymentDate(TemporalAdjuster adjuster) {
return of(payment.getValue(), adjusted);
}

@Override
public boolean isKnownAmountAt(LocalDate date) {
return true;
}

//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code NotionalExchange}.
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11 changes: 11 additions & 0 deletions modules/product/src/main/java/com/opengamma/strata/product/swap/SwapPaymentEvent.java
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Expand Up @@ -56,4 +56,15 @@ public interface SwapPaymentEvent {
*/
public abstract SwapPaymentEvent adjustPaymentDate(TemporalAdjuster adjuster);

//-------------------------------------------------------------------------
/**
* Checks whether the payment amount of an event is known at a given date.
* <p>
* Each payment event may be a known amount at a given date, else it could be fixed at a later date
*
* @param date the date to check whether payment amount is known or not
* @return true if payment is fixed at given date
*/
public abstract boolean isKnownAmountAt(LocalDate date);

}
10 changes: 10 additions & 0 deletions .../product/src/test/java/com/opengamma/strata/product/swap/FxResetNotionalExchangeTest.java
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Expand Up @@ -35,6 +35,7 @@ public class FxResetNotionalExchangeTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate DATE_2014_03_28 = date(2014, 3, 28);
private static final LocalDate DATE_2014_06_30 = date(2014, 6, 30);
private static final LocalDate DATE_2013_12_30 = date(2013, 12, 30);

@Test
public void test_of() {
Expand Down Expand Up @@ -67,6 +68,15 @@ public void test_adjustPaymentDate() {
assertThat(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d -> d.plusDays(2)))).isEqualTo(expected);
}

@Test
public void test_isPaymentFixedAt() {
FxResetNotionalExchange test = FxResetNotionalExchange.of(
CurrencyAmount.of(USD, 1000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_03_28, REF_DATA));
assertThat(test.isKnownAmountAt(DATE_2014_06_30)).isTrue();
assertThat(test.isKnownAmountAt(DATE_2014_03_28)).isTrue();
assertThat(test.isKnownAmountAt(DATE_2013_12_30)).isFalse();
}

//-------------------------------------------------------------------------
@Test
public void coverage() {
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10 changes: 10 additions & 0 deletions modules/product/src/test/java/com/opengamma/strata/product/swap/NotionalExchangeTest.java
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Expand Up @@ -26,7 +26,9 @@
*/
public class NotionalExchangeTest {

private static final LocalDate DATE_2013_06_30 = date(2013, 6, 30);
private static final LocalDate DATE_2014_06_30 = date(2014, 6, 30);
private static final LocalDate DATE_2015_06_30 = date(2015, 6, 30);
private static final CurrencyAmount GBP_1000 = CurrencyAmount.of(GBP, 1000d);

@Test
Expand Down Expand Up @@ -66,6 +68,14 @@ public void test_adjustPaymentDate() {
assertThat(test.adjustPaymentDate(TemporalAdjusters.ofDateAdjuster(d -> d.plusDays(2)))).isEqualTo(expected);
}

@Test
public void test_isPaymentFixedAt() {
NotionalExchange test = NotionalExchange.of(GBP_1000, DATE_2014_06_30);
assertThat(test.isKnownAmountAt(DATE_2013_06_30)).isTrue();
assertThat(test.isKnownAmountAt(DATE_2014_06_30)).isTrue();
assertThat(test.isKnownAmountAt(DATE_2015_06_30)).isTrue();
}

//-------------------------------------------------------------------------
@Test
public void coverage() {
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