Package org.threeten.bp

Examples of org.threeten.bp.Period

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      int intervals = 0;
      LocalDate tDate = endDate;
      while (tDate.isAfter(startDate)) {
        dates.add(tDate);
        final Period tStep = step.multipliedBy(++intervals); // this mimics ISDA c code, rather than true market convention
        tDate = endDate.minus(tStep);
      }

      final int n = dates.size();
      if (tDate.isEqual(startDate) || n == 1 || stubType == StubType.FRONTSHORT) {
        dates.add(startDate);
      } else {
        // long front stub - remove the last date entry in the list and replace it with startDate
        dates.remove(n - 1);
        dates.add(startDate);
      }

      final int m = dates.size();
      final LocalDate[] res = new LocalDate[m];
      // want to output in ascending chronological order, so need to reverse the list
      int j = m - 1;
      for (int i = 0; i < m; i++, j--) {
        res[j] = dates.get(i);
      }
      return res;

      // stub at back end, so start at startDate and work forward
    } else {
      int intervals = 0;
      LocalDate tDate = startDate;
      while (tDate.isBefore(endDate)) {
        dates.add(tDate);
        final Period tStep = step.multipliedBy(++intervals); // this mimics ISDA c code, rather than true market convention
        tDate = startDate.plus(tStep);
      }

      final int n = dates.size();
      if (tDate.isEqual(endDate) || n == 1 || stubType == StubType.BACKSHORT) {
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  @Test
  public void annuityIborFromStandard() {
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 9, 20);
    ZonedDateTime maturityDate = settlementDate.plusYears(2);
    Period paymentPeriod = Period.ofMonths(6);
    final StubType stub = StubType.SHORT_START;
    AnnuityDefinition<CouponIborDefinition> leg = AnnuityDefinitionBuilder.annuityIborFrom(settlementDate, maturityDate, paymentPeriod, NOTIONAL,
        USDLIBOR6M, true, USDLIBOR6M.getBusinessDayConvention(), USDLIBOR6M.isEndOfMonth(), USDLIBOR6M.getDayCount(), NYC, stub);
    ZonedDateTime[] expectedPaymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 3, 20), DateUtils.getUTCDate(2014, 9, 22),
      DateUtils.getUTCDate(2015, 3, 20), DateUtils.getUTCDate(2015, 9, 21) };
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  @Test
  public void annuityIborFromShortFirst() {
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 8, 20);
    ZonedDateTime maturityDate = settlementDate.plusYears(2).plusMonths(1); // 2Y 1M
    Period paymentPeriod = Period.ofMonths(6);
    final StubType stub = StubType.SHORT_START;
    AnnuityDefinition<CouponIborDefinition> leg = AnnuityDefinitionBuilder.annuityIborFrom(settlementDate, maturityDate, paymentPeriod, NOTIONAL,
        USDLIBOR6M, true, USDLIBOR6M.getBusinessDayConvention(), USDLIBOR6M.isEndOfMonth(), USDLIBOR6M.getDayCount(), NYC, stub);
    ZonedDateTime[] expectedPaymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2013, 9, 20), DateUtils.getUTCDate(2014, 3, 20),
      DateUtils.getUTCDate(2014, 9, 22), DateUtils.getUTCDate(2015, 3, 20), DateUtils.getUTCDate(2015, 9, 21) };
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  @Test
  public void annuityIborSpreadFromStandard() {
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 9, 20);
    ZonedDateTime maturityDate = settlementDate.plusYears(2);
    Period paymentPeriod = Period.ofMonths(6);
    final StubType stub = StubType.SHORT_START;
    AnnuityDefinition<CouponIborSpreadDefinition> leg = AnnuityDefinitionBuilder.annuityIborSpreadFrom(settlementDate, maturityDate, paymentPeriod, NOTIONAL, SPREAD,
        USDLIBOR6M, true, USDLIBOR6M.getBusinessDayConvention(), USDLIBOR6M.isEndOfMonth(), USDLIBOR6M.getDayCount(), NYC, stub);
    ZonedDateTime[] expectedPaymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 3, 20), DateUtils.getUTCDate(2014, 9, 22),
      DateUtils.getUTCDate(2015, 3, 20), DateUtils.getUTCDate(2015, 9, 21) };
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  @Test
  public void annuityIborCompoundingFromStandard() {
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 9, 20);
    ZonedDateTime maturityDate = settlementDate.plusYears(2);
    Period paymentPeriod = Period.ofMonths(6);
    final StubType stub = StubType.SHORT_START;
    AnnuityDefinition<CouponIborCompoundingDefinition> leg = AnnuityDefinitionBuilder.annuityIborCompoundingFrom(settlementDate, maturityDate, paymentPeriod, NOTIONAL,
        USDLIBOR3M, stub, true, USDLIBOR3M.getBusinessDayConvention(), USDLIBOR3M.isEndOfMonth(), NYC, stub);
    ZonedDateTime[] expectedPaymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 3, 20), DateUtils.getUTCDate(2014, 9, 22),
      DateUtils.getUTCDate(2015, 3, 20), DateUtils.getUTCDate(2015, 9, 21) };
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  @Test
  public void annuityIborCompoundingSpreadFromStandard() {
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 9, 20);
    ZonedDateTime maturityDate = settlementDate.plusYears(2);
    Period paymentPeriod = Period.ofMonths(6);
    final StubType stub = StubType.SHORT_START;
    AnnuityDefinition<CouponIborCompoundingSpreadDefinition> leg = AnnuityDefinitionBuilder.annuityIborCompoundingSpreadFrom(settlementDate, maturityDate, paymentPeriod, NOTIONAL, SPREAD,
        USDLIBOR3M, stub, true, USDLIBOR3M.getBusinessDayConvention(), USDLIBOR3M.isEndOfMonth(), NYC, stub);
    ZonedDateTime[] expectedPaymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 3, 20), DateUtils.getUTCDate(2014, 9, 22),
      DateUtils.getUTCDate(2015, 3, 20), DateUtils.getUTCDate(2015, 9, 21) };
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  @Test
  public void annuityIborCompoundingFlatSpreadFromStandard() {
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 9, 20);
    ZonedDateTime maturityDate = settlementDate.plusYears(2);
    Period paymentPeriod = Period.ofMonths(6);
    final StubType stub = StubType.SHORT_START;
    AnnuityDefinition<CouponIborCompoundingFlatSpreadDefinition> leg = AnnuityDefinitionBuilder.annuityIborCompoundingFlatSpreadFrom(settlementDate, maturityDate, paymentPeriod, NOTIONAL, SPREAD,
        USDLIBOR3M, stub, true, USDLIBOR3M.getBusinessDayConvention(), USDLIBOR3M.isEndOfMonth(), NYC, stub);
    ZonedDateTime[] expectedPaymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 3, 20), DateUtils.getUTCDate(2014, 9, 22),
      DateUtils.getUTCDate(2015, 3, 20), DateUtils.getUTCDate(2015, 9, 21) };
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  }

  @Test
  public void testFrom() {
    final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
    final Period indexTenor = Period.ofMonths(3);
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final IborIndex index = new IborIndex(CUR, indexTenor, SETTLEMENT_DAYS, dayCount, BUSINESS_DAY, IS_EOM, "Ibor");
    final AnnuityCouponIborDefinition iborAnnuity = AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(1), NOTIONAL, index, IS_PAYER, CALENDAR);
    final ZonedDateTime[] paymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 6, 20), DateUtils.getUTCDate(2014, 9, 22), DateUtils.getUTCDate(2014, 12, 22),
        DateUtils.getUTCDate(2015, 03, 20) };
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    YIELD_CURVE = ISDACompliantYieldCurveBuild.build(TODAY, SPOT_DATE, types, tenors, rates, moneyMarketDCC, swapDCC, swapInterval, curveDCC, FOLLOWING);
  }

  @Test
  public void Test() {
    final Period tenor = Period.ofMonths(3);
    final boolean payAccOnDefault = true;
    final StubType stubType = StubType.FRONTSHORT;
    final boolean protectionStart = true;

    final double quotedSpread = 550. / 10000;
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      final LocalDate today = res.today;
      final LocalDate stepinDate = today.plusDays(1); // aka effective date
      final LocalDate valueDate = addWorkDays(today, 3, DEFAULT_CALENDAR); // 3 working days on
      final LocalDate startDate = res.startDate;
      final LocalDate endDate = res.endDate;
      final Period tenor = Period.ofMonths(3); // TODO should be part of the CSV
      final StubType stubType = StubType.FRONTSHORT; // TODO ditto
      final boolean protectionStart = true; // TODO ditto

      // build an 'analytic' cds, then price with the new date free pricer
      double protectionLeg_new = 0;
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