public virtual void test_of_noRateCutoff_tomNext()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(CHF_TOIS, date(2016, 2, 24), date(2016, 3, 24), 0, REF_DATA);
OvernightCompoundedRateComputation expected = OvernightCompoundedRateComputation.builder().index(CHF_TOIS).fixingCalendar(CHF_TOIS.FixingCalendar.resolve(REF_DATA)).startDate(date(2016, 2, 23)).endDate(date(2016, 3, 23)).rateCutOffDays(0).build();
assertEquals(test, expected);
}
public virtual void test_of_rateCutoff_2()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), 2, REF_DATA);
OvernightCompoundedRateComputation expected = OvernightCompoundedRateComputation.builder().index(USD_FED_FUND).fixingCalendar(USD_FED_FUND.FixingCalendar.resolve(REF_DATA)).startDate(date(2016, 2, 24)).endDate(date(2016, 3, 24)).rateCutOffDays(2).build();
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_collectIndices()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA);
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of(USD_FED_FUND));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA);
coverImmutableBean(test);
OvernightCompoundedRateComputation test2 = OvernightCompoundedRateComputation.of(GBP_SONIA, date(2014, 6, 3), date(2014, 7, 3), 3, REF_DATA);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_calculate()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA);
assertEquals(test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA));
assertEquals(test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA));
assertEquals(test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA));
assertEquals(test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA));
assertEquals(test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA));
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
OvernightCompoundedRateComputation other = (OvernightCompoundedRateComputation)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(fixingCalendar, other.fixingCalendar) && JodaBeanUtils.equal(startDate, other.startDate) && JodaBeanUtils.equal(endDate, other.endDate) && (rateCutOffDays == other.rateCutOffDays));
}
return(false);
}
public virtual void test_observeOn()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA);
assertEquals(test.observeOn(date(2016, 2, 24)), OvernightIndexObservation.of(USD_FED_FUND, date(2016, 2, 24), REF_DATA));
}
public virtual void test_of_rateCutoff_negative()
{
assertThrowsIllegalArg(() => OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), -1, REF_DATA));
}
public virtual void test_of_badDateOrder()
{
assertThrowsIllegalArg(() => OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 2, 24), REF_DATA));
assertThrowsIllegalArg(() => OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 25), date(2016, 2, 24), REF_DATA));
}
public virtual void test_serialization()
{
OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA);
assertSerialization(test);
}
/// <summary>
/// Creates an instance from an index, period dates and rate cut-off.
/// <para>
/// Rate cut-off applies if the cut-off is 2 or greater.
/// A value of 0 or 1 should be used if no cut-off applies.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the first date of the accrual period </param>
/// <param name="endDate"> the last date of the accrual period </param>
/// <param name="rateCutOffDays"> the rate cut-off days offset, not negative </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate computation </returns>
public static OvernightCompoundedRateComputation of(OvernightIndex index, LocalDate startDate, LocalDate endDate, int rateCutOffDays, ReferenceData refData)
{
return(OvernightCompoundedRateComputation.builder().index(index).fixingCalendar(index.FixingCalendar.resolve(refData)).startDate(index.calculateFixingFromEffective(startDate, refData)).endDate(index.calculateFixingFromEffective(endDate, refData)).rateCutOffDays(rateCutOffDays).build());
}
