Apply reset periods to IRS

modules/basics/src/main/java/com/opengamma/strata/basics/index/IborIndices.java

@@ -760,6 +760,10 @@ public final class IborIndices {
    */
   public static final IborIndex ZAR_JIBAR_12M = IborIndex.of("ZAR-JIBAR-12M");
 
+  /**
+   * 7 Days Repo in CFETS
+   */
+  public static final IborIndex CNY_REPO_1W = IborIndex.of("CNY-REPO-1W");
   //-------------------------------------------------------------------------
   /**
    * Restricted constructor.

modules/basics/src/main/resources/META-INF/com/opengamma/strata/config/base/IborIndexData.csv

@@ -158,7 +158,7 @@ CAD-CDOR-3M,CAD,TRUE,Act/365F,CATO,0,CATO,CATO,3M,ModifiedFollowing,10:15,Americ
 CAD-CDOR-6M,CAD,FALSE,Act/365F,CATO,0,CATO,CATO,6M,ModifiedFollowing,10:15,America/Toronto,Act/365F
 CAD-CDOR-12M,CAD,FALSE,Act/365F,CATO,0,CATO,CATO,12M,ModifiedFollowing,10:15,America/Toronto,Act/365F
 ,,,,,,,,,,,,
-CNY-REPO-1W,CNY,TRUE,Act/365F,CNBE,0,CNBE,CNBE,1W,Following,11:30,Asia/Shanghai,Act/365F
+CNY-REPO-1W,CNY,TRUE,Act/365F,CNBE,0,CNBE,CNBE,1W,NoAdjust,11:30,Asia/Shanghai,Act/365F
 ,,,,,,,,,,,,
 CZK-PRIBOR-1W,CZK,TRUE,Act/360,CZPR,2,CZPR,CZPR,1W,Following,11:00,Europe/Prague,ACT/360
 CZK-PRIBOR-2W,CZK,TRUE,Act/360,CZPR,2,CZPR,CZPR,2W,Following,11:00,Europe/Prague,ACT/360
@@ -304,4 +304,4 @@ ZAR-JIBAR-1M,ZAR,TRUE,Act/365F,ZAJO,0,ZAJO,ZAJO,1M,ModifiedFollowing,10:00,Afric
 ZAR-JIBAR-3M,ZAR,TRUE,Act/365F,ZAJO,0,ZAJO,ZAJO,3M,ModifiedFollowing,10:00,Africa/Johannesburg,Act/365F
 ZAR-JIBAR-6M,ZAR,TRUE,Act/365F,ZAJO,0,ZAJO,ZAJO,6M,ModifiedFollowing,10:00,Africa/Johannesburg,Act/365F
 ZAR-JIBAR-9M,ZAR,FALSE,Act/365F,ZAJO,0,ZAJO,ZAJO,9M,ModifiedFollowing,10:00,Africa/Johannesburg,Act/365F
-ZAR-JIBAR-12M,ZAR,TRUE,Act/365F,ZAJO,0,ZAJO,ZAJO,12M,ModifiedFollowing,10:00,Africa/Johannesburg,Act/365F
+ZAR-JIBAR-12M,ZAR,TRUE,Act/365F,ZAJO,0,ZAJO,ZAJO,12M,ModifiedFollowing,10:00,Africa/Johannesburg,Act/365F

modules/pricer/src/main/java/com/opengamma/strata/pricer/impl/rate/CfetsForwardIborAveragedRateComputationFn.java

@@ -0,0 +1,89 @@
+/*
+ * Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.pricer.impl.rate;
+
+import java.time.LocalDate;
+
+import com.opengamma.strata.market.explain.ExplainKey;
+import com.opengamma.strata.market.explain.ExplainMapBuilder;
+import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
+import com.opengamma.strata.pricer.rate.IborIndexRates;
+import com.opengamma.strata.pricer.rate.RateComputationFn;
+import com.opengamma.strata.pricer.rate.RatesProvider;
+import com.opengamma.strata.product.rate.IborAveragedFixing;
+import com.opengamma.strata.product.rate.IborAveragedRateComputation;
+
+/**
+ * Rate computation implementation for  Cfets convention, in which a rate is based on the compounding of multiple fixings of a
+ * single Ibor floating rate index.
+ * <p>
+ * The rate computation queries the rates from the {@code RatesProvider} and weighted-average them.
+ * There is no convexity adjustment computed in this implementation.
+ */
+public class CfetsForwardIborAveragedRateComputationFn
+    implements RateComputationFn<IborAveragedRateComputation> {
+
+  /**
+   * Default instance.
+   */
+  public static final CfetsForwardIborAveragedRateComputationFn DEFAULT = new CfetsForwardIborAveragedRateComputationFn();
+  @Override
+  public double rate(IborAveragedRateComputation computation, LocalDate startDate, LocalDate endDate,
+      RatesProvider provider) {
+    IborIndexRates rates = provider.iborIndexRates(computation.getIndex());
+
+    // take (rate * weight) for each fixing and divide by total weight
+    double fv = computation.getFixings().stream()
+                              .mapToDouble(fixing -> futureValue(fixing, rates))
+                              .reduce(1, (left, right) -> left * right);
+    return (fv - 1) / computation.getTotalWeight();
+  }
+
+  // Compute the rate adjusted by the weight for one IborAverageFixing.
+  private double futureValue(IborAveragedFixing fixing, IborIndexRates rates) {
+    double rate = fixing.getFixedRate().orElse(rates.rate(fixing.getObservation()));
+    return 1 + rate * fixing.getWeight();
+  }
+
+  @Override
+  public PointSensitivityBuilder rateSensitivity(
+      IborAveragedRateComputation computation,
+      LocalDate startDate,
+      LocalDate endDate,
+      RatesProvider provider) {
+
+    IborIndexRates rates = provider.iborIndexRates(computation.getIndex());
+
+    // combine the weighted sensitivity to each fixing
+    // omit fixed rates as they have no sensitivity to a curve
+    return computation.getFixings().stream()
+        .filter(fixing -> !fixing.getFixedRate().isPresent())
+        .map(fixing -> weightedSensitivity(fixing, computation.getTotalWeight(), rates))
+        .reduce(PointSensitivityBuilder.none(), PointSensitivityBuilder::combinedWith);
+  }
+
+  // Compute the weighted sensitivity for one IborAverageFixing.
+  private PointSensitivityBuilder weightedSensitivity(
+      IborAveragedFixing fixing,
+      double totalWeight,
+      IborIndexRates rates) {
+
+    return rates.ratePointSensitivity(fixing.getObservation())
+               .multipliedBy(fixing.getWeight() / totalWeight);
+  }
+
+  @Override
+  public double explainRate(IborAveragedRateComputation computation, LocalDate startDate, LocalDate endDate,
+      RatesProvider provider, ExplainMapBuilder builder) {
+    IborIndexRates rates = provider.iborIndexRates(computation.getIndex());
+    for (IborAveragedFixing fixing : computation.getFixings()) {
+      rates.explainRate(fixing.getObservation(), builder, child -> child.put(ExplainKey.WEIGHT, fixing.getWeight()));
+    }
+    double rate = rate(computation, startDate, endDate, provider);
+    builder.put(ExplainKey.COMBINED_RATE, rate);
+    return rate;
+  }
+}