public virtual void test_rate_FixedRateComputation()
{
FixedRateComputation ro = FixedRateComputation.of(0.0123d);
DispatchingRateComputationFn test = DispatchingRateComputationFn.DEFAULT;
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
}
public virtual void test_rate_unknownType()
{
RateComputation mockComputation = mock(typeof(RateComputation));
DispatchingRateComputationFn test = DispatchingRateComputationFn.DEFAULT;
assertThrowsIllegalArg(() => test.rate(mockComputation, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
}
public virtual void test_rate_IborRateComputation()
{
RateComputationFn <IborRateComputation> mockIbor = mock(typeof(RateComputationFn));
IborRateComputation ro = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
when(mockIbor.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(0.0123d);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(mockIbor, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
}
public virtual void test_rate_InflationEndInterpolatedRateComputation()
{
double mockRate = 223.0d;
RateComputationFn <InflationEndInterpolatedRateComputation> mockInfInt = mock(typeof(RateComputationFn));
InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH, 0.3);
when(mockInfInt.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, mockInfInt);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, TOLERANCE_RATE);
}
public virtual void test_rate_OvernightAveragedDailyRateComputation()
{
double mockRate = 0.0123d;
RateComputationFn <OvernightAveragedDailyRateComputation> mockOnAve = mock(typeof(RateComputationFn));
OvernightAveragedDailyRateComputation ro = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);
when(mockOnAve.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, mockOnAve, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, TOLERANCE_RATE);
}
public virtual void test_rate_IborAverageRateComputation()
{
double mockRate = 0.0123d;
RateComputationFn <IborAveragedRateComputation> mockIborAve = mock(typeof(RateComputationFn));
LocalDate[] fixingDates = new LocalDate[] { date(2014, 6, 30), date(2014, 7, 7), date(2014, 7, 14), date(2014, 7, 21) };
double[] weights = new double[] { 0.10d, 0.20d, 0.30d, 0.40d };
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
for (int i = 0; i < fixingDates.Length; i++)
{
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(IborIndexObservation.of(GBP_LIBOR_3M, fixingDates[i], REF_DATA)).weight(weights[i]).build();
fixings.Add(fixing);
}
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
when(mockIborAve.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, mockIborAve, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, 0d);
}