public virtual void test_trade_noMarketData()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
MarketData marketData = MarketData.empty(valuationDate);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FraCurveNode test = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
FraCurveNode test2 = FraCurveNode.of(FraTemplate.of(Period.ofMonths(1), GBP_LIBOR_6M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate));
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, nodeDate);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_of_withSpreadAndLabel()
{
FraCurveNode test = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.Label, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_of_noSpread()
{
FraCurveNode test = FraCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, 0.0d);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_builder_defaults()
{
FraCurveNode test = FraCurveNode.builder().label(LABEL).template(TEMPLATE).rateId(QUOTE_ID).additionalSpread(SPREAD).build();
assertEquals(test.Label, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.Date, CurveNodeDate.END);
}
public virtual void test_metadata_end()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate endDate = OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_START).plusMonths(3);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, endDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_5M);
}
public virtual void test_requirements()
{
FraCurveNode test = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
ISet <ObservableId> set = test.requirements();
IEnumerator <ObservableId> itr = set.GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertEquals(itr.next(), QUOTE_ID);
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertFalse(itr.hasNext());
}
public virtual void test_metadata_last_fixing()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, 0.0d).build();
FraTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedFra resolved = trade.Product.resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation)(resolved.FloatingRate)).FixingDate;
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_5M);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FraCurveNode other = (FraCurveNode)obj;
return(JodaBeanUtils.equal(template, other.template) && JodaBeanUtils.equal(rateId, other.rateId) && JodaBeanUtils.equal(additionalSpread, other.additionalSpread) && JodaBeanUtils.equal(label, other.label) && JodaBeanUtils.equal(date_Renamed, other.date_Renamed) && JodaBeanUtils.equal(dateOrder, other.dateOrder));
}
return(false);
}
public virtual void test_initialGuess()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
double approximateMaturity = TEMPLATE.PeriodToEnd.toTotalMonths() / 12.0d;
double df = Math.Exp(-approximateMaturity * rate);
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df);
assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), 0d);
}
public virtual void test_trade()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
FraTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = BDA_MOD_FOLLOW.adjust(OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_START), REF_DATA);
LocalDate endDateExpected = BDA_MOD_FOLLOW.adjust(OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_END), REF_DATA);
Fra productExpected = Fra.builder().buySell(BuySell.SELL).currency(GBP).dayCount(ACT_365F).startDate(startDateExpected).endDate(endDateExpected).paymentDate(AdjustableDate.of(startDateExpected)).notional(1.0d).index(GBP_LIBOR_3M).fixedRate(rate + SPREAD).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(valuationDate).build();
assertEquals(trade.Product, productExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
public virtual void test_serialization()
{
FraCurveNode test = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
