PROD-38570: Fixing ValueStepSequence resolving with RollConvensions (#…

…2653)

Co-authored-by: Michael Rollins <[email protected]>

modules/basics/src/main/java/com/opengamma/strata/basics/value/ValueStepSequence.java

@@ -120,17 +120,18 @@ private void validate() {
   List<ValueStep> resolve(List<ValueStep> existingSteps, RollConvention rollConv) {
     ImmutableList.Builder<ValueStep> steps = ImmutableList.builder();
     steps.addAll(existingSteps);
-    LocalDate prev = firstStepDate;
-    LocalDate date = firstStepDate;
-    while (!date.isAfter(lastStepDate)) {
+    LocalDate prev = rollConv.adjust(firstStepDate);
+    LocalDate date = rollConv.adjust(firstStepDate);
+    LocalDate adjustedLastStepDate = rollConv.adjust(lastStepDate);
+    while (!date.isAfter(adjustedLastStepDate)) {
       steps.add(ValueStep.of(date, adjustment));
       prev = date;
       date = rollConv.next(date, frequency);
     }
-    if (!prev.equals(lastStepDate)) {
+    if (!prev.equals(adjustedLastStepDate)) {
       throw new IllegalArgumentException(Messages.format(
           "ValueStepSequence lastStepDate did not match frequency '{}' using roll convention '{}', {} != {}",
-          frequency, rollConv, lastStepDate, prev));
+          frequency, rollConv, adjustedLastStepDate, prev));
     }
     return steps.build();
   }

modules/basics/src/test/java/com/opengamma/strata/basics/value/ValueStepSequenceTest.java

@@ -59,6 +59,18 @@ public void test_resolve() {
     assertThat(steps.get(3)).isEqualTo(ValueStep.of(date(2016, 10, 20), ADJ));
   }
 
+  @Test
+  public void test_resolve_with_roll_convention() {
+    ValueStepSequence test = ValueStepSequence.of(date(2022, 9, 21), date(2026, 9, 21), Frequency.P12M, ADJ);
+    List<ValueStep> steps = test.resolve(ImmutableList.of(), RollConventions.IMM);
+    assertThat(steps.size()).isEqualTo(5);
+    assertThat(steps.get(0)).isEqualTo(ValueStep.of(date(2022, 9, 21), ADJ));
+    assertThat(steps.get(1)).isEqualTo(ValueStep.of(date(2023, 9, 20), ADJ));
+    assertThat(steps.get(2)).isEqualTo(ValueStep.of(date(2024, 9, 18), ADJ));
+    assertThat(steps.get(3)).isEqualTo(ValueStep.of(date(2025, 9, 17), ADJ));
+    assertThat(steps.get(4)).isEqualTo(ValueStep.of(date(2026, 9, 16), ADJ));
+  }
+
   @Test
   public void test_resolve_invalid() {
     ValueStepSequence test = ValueStepSequence.of(date(2016, 4, 20), date(2016, 10, 20), Frequency.P12M, ADJ);