//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_extendedEnum(IborFutureConvention convention, String name)
public virtual void test_extendedEnum(IborFutureConvention convention, string name)
{
IborFutureConvention.of(name); // ensures map is populated
ImmutableMap <string, IborFutureConvention> map = IborFutureConvention.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
private AbsoluteIborFutureTemplate(YearMonth yearMonth, IborFutureConvention convention)
{
JodaBeanUtils.notNull(yearMonth, "yearMonth");
JodaBeanUtils.notNull(convention, "convention");
this.yearMonth = yearMonth;
this.convention = convention;
}
private RelativeIborFutureTemplate(Period minimumPeriod, int sequenceNumber, IborFutureConvention convention)
{
JodaBeanUtils.notNull(minimumPeriod, "minimumPeriod");
ArgChecker.notNegativeOrZero(sequenceNumber, "sequenceNumber");
JodaBeanUtils.notNull(convention, "convention");
this.minimumPeriod = minimumPeriod;
this.sequenceNumber = sequenceNumber;
this.convention = convention;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -496678845: // yearMonth
this.yearMonth = (YearMonth)newValue;
break;
case 2039569265: // convention
this.convention = (IborFutureConvention)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
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 override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1855508625: // minimumPeriod
this.minimumPeriod = (Period)newValue;
break;
case -1353995670: // sequenceNumber
this.sequenceNumber = (int?)newValue.Value;
break;
case 2039569265: // convention
this.convention = (IborFutureConvention)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
private static CurveNode curveIborFutureCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
Matcher matcher = FUT_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (matcher.matches())
{
Period periodToStart = Period.parse("P" + matcher.group(1));
int sequenceNumber = int.Parse(matcher.group(2));
IborFutureConvention convention = IborFutureConvention.of(conventionStr);
IborFutureTemplate template = IborFutureTemplate.of(periodToStart, sequenceNumber, convention);
return(IborFutureCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
Matcher matcher2 = FUT_MONTH_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (matcher2.matches())
{
YearMonth yearMonth = YearMonth.parse(matcher2.group(1), YM_FORMATTER);
IborFutureConvention convention = IborFutureConvention.of(conventionStr);
IborFutureTemplate template = IborFutureTemplate.of(yearMonth, convention);
return(IborFutureCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
throw new System.ArgumentException(Messages.format("Invalid time format for Ibor Future: {}", timeStr));
}
public virtual void test_serialization()
{
IborFutureConvention test = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
assertSerialization(test);
}
public virtual void test_of_lookup_null()
{
assertThrowsIllegalArg(() => IborFutureConvention.of((string)null));
}
public virtual void test_of_lookup_notFound()
{
assertThrowsIllegalArg(() => IborFutureConvention.of("Rubbish"));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_of_lookup(IborFutureConvention convention, String name)
public virtual void test_of_lookup(IborFutureConvention convention, string name)
{
assertEquals(IborFutureConvention.of(name), convention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_toString(IborFutureConvention convention, String name)
public virtual void test_toString(IborFutureConvention convention, string name)
{
assertEquals(convention.ToString(), name);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_name(IborFutureConvention convention, String name)
public virtual void test_name(IborFutureConvention convention, string name)
{
assertEquals(convention.Name, name);
}
static CalibrationZeroRateUsd2OisFuturesHWIrsTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set;
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
IborFutureConvention convention = ImmutableIborFutureConvention.of(USD_LIBOR_3M, DateSequences.QUARTERLY_IMM);
for (int i = 0; i < FWD3_NB_FUT_NODES; i++)
{
IborFutureTemplate template = IborFutureTemplate.of(Period.ofDays(7), FWD3_FUT_SEQ[i], convention);
FWD3_NODES[i + 1] = IborFutureCurveNode.of(template, QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i + 1 + FWD3_NB_FUT_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FUT_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>();
groupFwd3.Add(FWD3_NODES);
CURVES_NODES.Add(groupFwd3);
IList <CurveMetadata> groupDsc = new List <CurveMetadata>();
groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupDsc);
IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>();
groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd3);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a template based on the specified convention.
/// <para>
/// The future is selected from a sequence of futures based on a year-month.
/// In most cases, the date of the future will be in the same month as the specified month,
/// but this is not guaranteed.
///
/// </para>
/// </summary>
/// <param name="yearMonth"> the year-month to use to select the future </param>
/// <param name="convention"> the future convention </param>
/// <returns> the template </returns>
public static AbsoluteIborFutureTemplate of(YearMonth yearMonth, IborFutureConvention convention)
{
return(new AbsoluteIborFutureTemplate(yearMonth, convention));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a template based on the specified convention.
/// <para>
/// The specific future is defined by two date-related inputs, the minimum period and the 1-based future number.
/// For example, the 2nd future of the series where the 1st future is at least 1 week after the value date
/// would be represented by a minimum period of 1 week and future number 2.
///
/// </para>
/// </summary>
/// <param name="minimumPeriod"> the minimum period between the base date and the first future </param>
/// <param name="sequenceNumber"> the 1-based index of the future after the minimum period, must be 1 or greater </param>
/// <param name="convention"> the future convention </param>
/// <returns> the template </returns>
public static RelativeIborFutureTemplate of(Period minimumPeriod, int sequenceNumber, IborFutureConvention convention)
{
return(new RelativeIborFutureTemplate(minimumPeriod, sequenceNumber, convention));
}
