public int compareKey(PointSensitivity other) { if (other is IborRateSensitivity) { IborRateSensitivity otherIbor = (IborRateSensitivity)other; return(ComparisonChain.start().compare(Index.ToString(), otherIbor.Index.ToString()).compare(currency, otherIbor.currency).compare(observation.FixingDate, otherIbor.observation.FixingDate).result()); } return(this.GetType().Name.CompareTo(other.GetType().Name)); }
public virtual void test_bbsw6m() { IborIndex test = IborIndex.of("AUD-BBSW-6M"); assertEquals(test.Currency, AUD); assertEquals(test.Name, "AUD-BBSW-6M"); assertEquals(test.Tenor, TENOR_6M); assertEquals(test.FixingCalendar, AUSY); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_6M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.ToString(), "AUD-BBSW-6M"); }
public virtual void test_zar_jibar() { IborIndex test = IborIndex.of("ZAR-JIBAR-3M"); assertEquals(test.Currency, ZAR); assertEquals(test.Name, "ZAR-JIBAR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, ZAJO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, ZAJO))); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, ZAJO))); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, ZAJO))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.ToString(), "ZAR-JIBAR-3M"); }
public virtual void test_sek_stibor() { IborIndex test = IborIndex.of("SEK-STIBOR-3M"); assertEquals(test.Currency, SEK); assertEquals(test.Name, "SEK-STIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, SEST); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, SEST)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, SEST)); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SEST))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, THIRTY_U_360); assertEquals(test.ToString(), "SEK-STIBOR-3M"); }
public virtual void test_pln_wibor() { IborIndex test = IborIndex.of("PLN-WIBOR-3M"); assertEquals(test.Currency, PLN); assertEquals(test.Name, "PLN-WIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, PLWA); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, PLWA)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, PLWA)); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, PLWA))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.DefaultFixedLegDayCount, ACT_ACT_ISDA); assertEquals(test.ToString(), "PLN-WIBOR-3M"); }
public virtual void test_mxn_tiie() { IborIndex test = IborIndex.of("MXN-TIIE-4W"); assertEquals(test.Currency, MXN); assertEquals(test.Name, "MXN-TIIE-4W"); assertEquals(test.Tenor, TENOR_4W); assertEquals(test.FixingCalendar, MXMC); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, MXMC)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, MXMC)); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_4W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, MXMC))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, ACT_360); assertEquals(test.ToString(), "MXN-TIIE-4W"); }
public virtual void test_sgd_sibor() { HolidayCalendarId SGSI = HolidayCalendarId.of("SGSI"); IborIndex test = IborIndex.of("SGD-SIBOR-3M"); assertEquals(test.Currency, SGD); assertEquals(test.Name, "SGD-SIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, SGSI); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, SGSI)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, SGSI)); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SGSI))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.ToString(), "SGD-SIBOR-3M"); }
public virtual void test_tibor_euroyen3m() { IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M"); assertEquals(test.Currency, JPY); assertEquals(test.Name, "JPY-TIBOR-EUROYEN-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, JPTO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, JPTO)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, JPTO)); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.FloatingRateName, FloatingRateName.of("JPY-TIBOR-EUROYEN")); assertEquals(test.ToString(), "JPY-TIBOR-EUROYEN-3M"); }
public virtual void test_euribor3m() { IborIndex test = IborIndex.of("EUR-EURIBOR-3M"); assertEquals(test.Currency, EUR); assertEquals(test.Name, "EUR-EURIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, EUTA); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, EUTA)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, EUTA)); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, THIRTY_U_360); assertEquals(test.FloatingRateName, FloatingRateName.of("EUR-EURIBOR")); assertEquals(test.ToString(), "EUR-EURIBOR-3M"); }
//------------------------------------------------------------------------- public virtual void test_usdLibor3m() { IborIndex test = IborIndex.of("USD-LIBOR-3M"); assertEquals(test.Currency, USD); assertEquals(test.Name, "USD-LIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, GBLO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, GBLO)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combinedWith(USNY)))); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combinedWith(USNY)))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, ACT_360); assertEquals(test.FloatingRateName, FloatingRateName.of("USD-LIBOR")); assertEquals(test.ToString(), "USD-LIBOR-3M"); }
private static readonly HolidayCalendarId NZBD = HolidayCalendarId.of("NZBD"); // no constant for this public virtual void test_gbpLibor3m() { IborIndex test = IborIndex.of("GBP-LIBOR-3M"); assertEquals(test.Name, "GBP-LIBOR-3M"); assertEquals(test.Currency, GBP); assertEquals(test.Active, true); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, GBLO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO))); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO))); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.FloatingRateName, FloatingRateName.of("GBP-LIBOR")); assertEquals(test.ToString(), "GBP-LIBOR-3M"); }
public virtual void test_krw_cd() { HolidayCalendarId KRSE = HolidayCalendarId.of("KRSE"); IborIndex test = IborIndex.of("KRW-CD-13W"); assertEquals(test.Currency, KRW); assertEquals(test.Name, "KRW-CD-13W"); assertEquals(test.Tenor, TENOR_13W); assertEquals(test.FixingCalendar, KRSE); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, KRSE)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, KRSE)); assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_13W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, KRSE))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.ToString(), "KRW-CD-13W"); IborIndex test2 = IborIndex.of("KRW-CD-3M"); assertEquals(test2.Name, "KRW-CD-13W"); }
//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(IborIndex convention, String name) public virtual void test_toString(IborIndex convention, string name) { assertEquals(convention.ToString(), name); }