public virtual void test_builder()
{
ImmutableIborFutureConvention test = ImmutableIborFutureConvention.builder().name("USD-IMM").index(USD_LIBOR_3M).dateSequence(QUARTERLY_IMM).build();
assertEquals(test.Name, "USD-IMM");
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.DateSequence, QUARTERLY_IMM);
assertEquals(test.BusinessDayAdjustment, BDA);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
ImmutableIborFutureConvention test = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
assertEquals(test.Name, "USD-LIBOR-3M-Quarterly-IMM");
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.DateSequence, QUARTERLY_IMM);
assertEquals(test.BusinessDayAdjustment, BDA);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableIborFutureConvention test = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
coverImmutableBean(test);
ImmutableIborFutureConvention test2 = ImmutableIborFutureConvention.builder().index(USD_LIBOR_3M).dateSequence(MONTHLY_IMM).businessDayAdjustment(BDA).build();
coverBeanEquals(test, test2);
coverPrivateConstructor(typeof(IborFutureConventions));
coverPrivateConstructor(typeof(StandardIborFutureConventions));
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ImmutableIborFutureConvention other = (ImmutableIborFutureConvention)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(name, other.name) && JodaBeanUtils.equal(dateSequence, other.dateSequence) && JodaBeanUtils.equal(businessDayAdjustment, other.businessDayAdjustment));
}
return(false);
}
public virtual void test_toTrade()
{
LocalDate date = LocalDate.of(2015, 10, 20);
Period start = Period.ofMonths(2);
int number = 2; // Future should be 20 Dec 15 + 2 IMM = effective 15-Jun-2016, fixing 13-Jun-2016
IborFutureConvention convention = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
double quantity = 3;
double price = 0.99;
SecurityId secId = SecurityId.of("OG-Future", "GBP-LIBOR-3M-Jun16");
IborFutureTrade trade = convention.createTrade(date, secId, start, number, quantity, NOTIONAL_1M, price, REF_DATA);
assertEquals(trade.Product.FixingDate, LocalDate.of(2016, 6, 13));
assertEquals(trade.Product.Index, USD_LIBOR_3M);
assertEquals(trade.Product.Notional, NOTIONAL_1M);
assertEquals(trade.Product.AccrualFactor, 0.25);
assertEquals(trade.Quantity, quantity);
assertEquals(trade.Price, price);
}
public virtual void test_builder_incomplete()
{
assertThrowsIllegalArg(() => ImmutableIborFutureConvention.builder().index(USD_LIBOR_3M).build());
assertThrowsIllegalArg(() => ImmutableIborFutureConvention.builder().dateSequence(QUARTERLY_IMM).build());
}
public virtual void test_serialization()
{
IborFutureConvention test = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
assertSerialization(test);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates a convention based on the specified index and the sequence of dates.
/// <para>
/// The standard market convention is based on the index.
/// The business day adjustment is set to be 'Following' using the effective date calendar from the index.
/// The convention name will default to the name of the index suffixed by the
/// name of the date sequence.
///
/// </para>
/// </summary>
/// <param name="index"> the index, the calendar for the adjustment is extracted from the index </param>
/// <param name="dateSequence"> the sequence of dates </param>
/// <returns> the convention </returns>
public static ImmutableIborFutureConvention of(IborIndex index, DateSequence dateSequence)
{
return(ImmutableIborFutureConvention.builder().index(index).dateSequence(dateSequence).build());
}