//-------------------------------------------------------------------------
public virtual void test_of_bda()
{
ImmutableFxSwapConvention test = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
assertEquals(test.Name, EUR_USD.ToString());
assertEquals(test.CurrencyPair, EUR_USD);
assertEquals(test.SpotDateOffset, PLUS_TWO_DAYS);
assertEquals(test.BusinessDayAdjustment, BDA_FOLLOW);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableFxSwapConvention test = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
coverImmutableBean(test);
ImmutableFxSwapConvention test2 = ImmutableFxSwapConvention.builder().name("GBP/USD").currencyPair(GBP_USD).spotDateOffset(PLUS_ONE_DAY).businessDayAdjustment(BDA_MODFOLLOW).build();
coverBeanEquals(test, test2);
}
public virtual void test_toTemplate_badDateOrder()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate nearDate = date(2015, 4, 5);
LocalDate farDate = date(2015, 7, 5);
assertThrowsIllegalArg(() => @base.toTrade(tradeDate, nearDate, farDate, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS));
}
//-------------------------------------------------------------------------
public virtual void test_toTrade_periods()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
Period startPeriod = Period.ofMonths(3);
Period endPeriod = Period.ofMonths(6);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate spotDate = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate nearDate = spotDate.plus(startPeriod);
LocalDate farDate = spotDate.plus(endPeriod);
FxSwapTrade test = @base.createTrade(tradeDate, startPeriod, endPeriod, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS, REF_DATA);
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, BDA_FOLLOW);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_toTrade_dates()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate nearDate = LocalDate.of(2015, 7, 5);
LocalDate nearDateAdj = LocalDate.of(2015, 7, 6); // Adjusted: 5 is Sunday
LocalDate farDate = LocalDate.of(2015, 9, 5);
LocalDate farDateAdj = LocalDate.of(2015, 9, 7); // Adjusted: 5 is Saturday
FxSwapTrade test = @base.toTrade(tradeDate, nearDate, farDate, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS);
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, BDA_FOLLOW);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
ResolvedFxSwap resolvedExpected = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), USD, FX_RATE_NEAR, FX_RATE_PTS, nearDateAdj, farDateAdj);
assertEquals(test.Product.resolve(REF_DATA), resolvedExpected);
}
public virtual void test_serialization()
{
ImmutableFxSwapConvention test = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
assertSerialization(test);
}