//-------------------------------------------------------------------------
public virtual void test_discountFactor_notFound()
{
LegalEntityId issuerId = LegalEntityId.of("OG-Ticker", "Issuer-2");
LegalEntityGroup issuerGroup = LegalEntityGroup.of("ISSUER2");
RepoGroup repoGroup = RepoGroup.of("ISSUER2 BND 5Y");
SecurityId securityId = SecurityId.of("OG-Ticker", "Issuer-2-bond-5Y");
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER, issuerId, issuerGroup)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(issuerId, repoGroup)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build();
assertThrowsIllegalArg(() => test.issuerCurveDiscountFactors(ID_ISSUER, USD));
assertThrowsIllegalArg(() => test.issuerCurveDiscountFactors(LegalEntityId.of("OG-Ticker", "foo"), GBP));
assertThrowsIllegalArg(() => test.issuerCurveDiscountFactors(issuerId, GBP));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, USD));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(SecurityId.of("OG-Ticker", "foo-bond"), LegalEntityId.of("OG-Ticker", "foo"), GBP));
assertThrowsIllegalArg(() => test.repoCurveDiscountFactors(securityId, issuerId, GBP));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RepoCurveDiscountFactors test1 = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
coverImmutableBean(test1);
RepoCurveDiscountFactors test2 = RepoCurveDiscountFactors.of(ZeroRateDiscountFactors.of(USD, DATE, CURVE), RepoGroup.of("ISSUER2"));
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RepoCurveZeroRateSensitivity test1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
coverImmutableBean(test1);
RepoCurveZeroRateSensitivity test2 = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC2, RepoGroup.of("ISSUER2 BND 5Y"), 12d);
coverBeanEquals(test1, test2);
}
public virtual void test_compareKey()
{
RepoCurveZeroRateSensitivity a1 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity a2 = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity b = RepoCurveZeroRateSensitivity.of(GBP, YEARFRAC, GROUP, VALUE);
RepoCurveZeroRateSensitivity c = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC2, GROUP, VALUE);
RepoCurveZeroRateSensitivity d = RepoCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, RepoGroup.of("ISSUER1 BND 3Y"), VALUE);
IborRateSensitivity other = IborRateSensitivity.of(IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA), 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) > 0, true);
assertEquals(other.compareKey(a1) < 0, true);
}
public virtual void test_builder_fail()
{
// no relevant map for repo curve
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, RepoGroup.of("ISSUER2 BND 5Y"))).build());
// no relevant map for issuer curve
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, LegalEntityGroup.of("ISSUER2"))).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).build());
// issuer curve and valuation date are missing
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).build());
// issuer curve date is different from valuation date
DiscountFactors dscFactorIssuer = ZeroRateDiscountFactors.of(GBP, date(2015, 6, 14), CURVE_ISSUER);
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), dscFactorIssuer)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), DSC_FACTORS_REPO)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build());
// repo curve rate is different from valuation date
DiscountFactors dscFactorRepo = ZeroRateDiscountFactors.of(GBP, date(2015, 6, 14), CURVE_REPO);
assertThrowsIllegalArg(() => ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), dscFactorRepo)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).valuationDate(DATE).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableLegalEntityDiscountingProvider test1 = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).build();
coverImmutableBean(test1);
LocalDate val = date(2015, 6, 14);
DiscountFactors dscFactorIssuer = ZeroRateDiscountFactors.of(GBP, val, CURVE_ISSUER);
DiscountFactors dscFactorRepo = ZeroRateDiscountFactors.of(GBP, val, CURVE_REPO);
ImmutableLegalEntityDiscountingProvider test2 = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), dscFactorIssuer)).issuerCurveGroups(ImmutableMap.of(LegalEntityId.of("OG-Ticker", "foo"), GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(RepoGroup.of("ISSUER2 BND 5Y"), GBP), dscFactorRepo)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, RepoGroup.of("ISSUER2 BND 5Y"))).build();
coverBeanEquals(test1, test2);
}
