//-------------------------------------------------------------------------
// build conventions
private static FixedOvernightSwapConvention makeConvention(string name, OvernightIndex index, DayCount dayCount, Frequency frequency, int paymentLag, int spotLag)
{
HolidayCalendarId calendar = index.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendar);
DaysAdjustment spotDateOffset = DaysAdjustment.ofBusinessDays(spotLag, calendar);
return(ImmutableFixedOvernightSwapConvention.of(name, FixedRateSwapLegConvention.builder().currency(index.Currency).dayCount(dayCount).accrualFrequency(frequency).accrualBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, calendar)).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), OvernightRateSwapLegConvention.builder().index(index).accrualMethod(COMPOUNDED).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).build(), spotDateOffset));
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
ImmutableFixedOvernightSwapConvention test = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS);
assertEquals(test.Name, NAME);
assertEquals(test.FixedLeg, FIXED);
assertEquals(test.FloatingLeg, FFUND_LEG);
assertEquals(test.SpotDateOffset, PLUS_TWO_DAYS);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableFixedOvernightSwapConvention test = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS);
coverImmutableBean(test);
ImmutableFixedOvernightSwapConvention test2 = ImmutableFixedOvernightSwapConvention.of("GBP-Swap", FIXED2, FLOATING_LEG2, PLUS_ONE_DAY);
coverBeanEquals(test, test2);
ImmutableFixedOvernightSwapConvention test3 = ImmutableFixedOvernightSwapConvention.of("USD-Swap2", FIXED, FFUND_LEG2, PLUS_ONE_DAY);
coverBeanEquals(test, test3);
}
public virtual void test_toTrade_dates()
{
FixedOvernightSwapConvention @base = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 5);
LocalDate endDate = date(2015, 11, 5);
SwapTrade test = @base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_toTrade_periodTenor()
{
FixedOvernightSwapConvention @base = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 7);
LocalDate endDate = date(2025, 8, 7);
SwapTrade test = @base.createTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_serialization()
{
ImmutableFixedOvernightSwapConvention test = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS);
assertSerialization(test);
}