public virtual void test_metadata_end()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
LocalDate date = LocalDate.of(2015, 10, 20);
LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(date, REF_DATA);
LocalDate maturityDate = TEMPLATE.Index.calculateMaturityFromEffective(referenceDate, REF_DATA);
ParameterMetadata metadata = node.metadata(date, REF_DATA);
assertEquals(metadata.Label, LABEL);
assertTrue(metadata is YearMonthDateParameterMetadata);
assertEquals(((YearMonthDateParameterMetadata)metadata).Date, maturityDate);
assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate));
}
public virtual void test_calculateReferenceDateFromTradeDate()
{
IborFutureTemplate @base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
LocalDate expected = LocalDate.of(2016, 6, 15);
assertEquals(@base.calculateReferenceDateFromTradeDate(date, REF_DATA), expected);
}
public virtual void test_calculateReferenceDateFromTradeDate()
{
IborFutureTemplate @base = IborFutureTemplate.of(MIN_PERIOD, NUMBER, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20); // 2nd Quarterly IMM at least 2 months later from this date
LocalDate expected = LocalDate.of(2016, 6, 15); // 1st is March 2016, 2nd is Jun 2016
assertEquals(@base.calculateReferenceDateFromTradeDate(date, REF_DATA), expected);
}
