//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedIborCapFloorLeg test1 = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4).payReceive(RECEIVE).build();
coverImmutableBean(test1);
ResolvedIborCapFloorLeg test2 = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_2, PERIOD_3).payReceive(PAY).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedIborCapFloor test1 = ResolvedIborCapFloor.of(CAPFLOOR_LEG, PAY_LEG);
coverImmutableBean(test1);
ResolvedIborCapFloorLeg capFloor = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1).payReceive(PAY).build();
ResolvedIborCapFloor test2 = ResolvedIborCapFloor.of(capFloor);
coverBeanEquals(test1, test2);
}
public virtual void test_builder_fail()
{
// two currencies
IborCapletFloorletPeriod periodGbp = IborCapletFloorletPeriod.builder().caplet(STRIKE).notional(NOTIONAL).currency(GBP).startDate(LocalDate.of(2011, 6, 17)).endDate(LocalDate.of(2011, 9, 19)).unadjustedStartDate(LocalDate.of(2011, 6, 17)).unadjustedEndDate(LocalDate.of(2011, 9, 17)).paymentDate(LocalDate.of(2011, 9, 21)).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA)).yearFraction(0.2611).build();
assertThrowsIllegalArg(() => ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, periodGbp).payReceive(RECEIVE).build());
// two indices
IborCapletFloorletPeriod periodLibor = IborCapletFloorletPeriod.builder().caplet(STRIKE).notional(NOTIONAL).currency(EUR).startDate(LocalDate.of(2011, 6, 17)).endDate(LocalDate.of(2011, 9, 19)).unadjustedStartDate(LocalDate.of(2011, 6, 17)).unadjustedEndDate(LocalDate.of(2011, 9, 17)).paymentDate(LocalDate.of(2011, 9, 21)).iborRate(IborRateComputation.of(GBP_LIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA)).yearFraction(0.2611).build();
assertThrowsIllegalArg(() => ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, periodLibor).payReceive(RECEIVE).build());
}
public virtual void test_builder()
{
ResolvedIborCapFloorLeg test = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4).payReceive(RECEIVE).build();
assertEquals(test.CapletFloorletPeriods, ImmutableList.of(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4));
assertEquals(test.PayReceive, RECEIVE);
assertEquals(test.StartDate, PERIOD_1.StartDate);
assertEquals(test.EndDate, PERIOD_4.EndDate);
assertEquals(test.FinalPeriod, PERIOD_4);
assertEquals(test.FinalFixingDateTime, PERIOD_4.FixingDateTime);
assertEquals(test.Currency, EUR);
assertEquals(test.Index, EUR_EURIBOR_3M);
}
public virtual void test_resolve_floor()
{
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(RATE_CALCULATION).floorSchedule(FLOOR).currency(GBP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(PAY).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
LocalDate fixingDate = RATE_CALCULATION.FixingDateOffset.adjust(start, REF_DATA);
periods[i] = IborCapletFloorletPeriod.builder().floorlet(STRIKES[i]).currency(GBP).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(-NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, fixingDate, REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(PAY).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
public virtual void test_resolve_cap()
{
IborRateCalculation rateCalc = IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingRelativeTo(FixingRelativeTo.PERIOD_END).fixingDateOffset(EUR_EURIBOR_3M.FixingDateOffset).build();
IborCapFloorLeg @base = IborCapFloorLeg.builder().calculation(rateCalc).capSchedule(CAP).notional(NOTIONAL).paymentDateOffset(PAYMENT_OFFSET).paymentSchedule(SCHEDULE).payReceive(RECEIVE).build();
LocalDate[] unadjustedDates = new LocalDate[] { START, START.plusMonths(3), START.plusMonths(6), START.plusMonths(9), START.plusMonths(12) };
IborCapletFloorletPeriod[] periods = new IborCapletFloorletPeriod[4];
for (int i = 0; i < 4; ++i)
{
LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
double yearFraction = EUR_EURIBOR_3M.DayCount.relativeYearFraction(start, end);
periods[i] = IborCapletFloorletPeriod.builder().caplet(CAP.InitialValue).currency(EUR).startDate(start).endDate(end).unadjustedStartDate(unadjustedDates[i]).unadjustedEndDate(unadjustedDates[i + 1]).paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA)).notional(NOTIONALS[i]).iborRate(IborRateComputation.of(EUR_EURIBOR_3M, rateCalc.FixingDateOffset.adjust(end, REF_DATA), REF_DATA)).yearFraction(yearFraction).build();
}
ResolvedIborCapFloorLeg expected = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(periods).payReceive(RECEIVE).build();
ResolvedIborCapFloorLeg computed = @base.resolve(REF_DATA);
assertEquals(computed, expected);
}
public virtual void test_serialization()
{
ResolvedIborCapFloorLeg test = ResolvedIborCapFloorLeg.builder().capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4).payReceive(RECEIVE).build();
assertSerialization(test);
}