public virtual void test_usdLibor3m_dates()
{
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14), REF_DATA), date(2015, 1, 14));
// effective date is US holiday
assertEquals(test.calculateEffectiveFromFixing(date(2015, 1, 16), REF_DATA), date(2015, 1, 20));
assertEquals(test.calculateMaturityFromFixing(date(2015, 1, 16), REF_DATA), date(2015, 4, 20));
assertEquals(test.calculateFixingFromEffective(date(2015, 1, 20), REF_DATA), date(2015, 1, 16));
assertEquals(test.calculateMaturityFromEffective(date(2015, 1, 20), REF_DATA), date(2015, 4, 20));
// input date is Sunday, 13th is US holiday, but not UK holiday (can fix, but not be effective)
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/London")));
// resolve
assertEquals(test.resolve(REF_DATA).apply(date(2014, 10, 27)), IborIndexObservation.of(test, date(2014, 10, 27), REF_DATA));
}
//-------------------------------------------------------------------------
public IborIndex toIborIndex(Tenor tenor)
{
if (!type.Ibor)
{
throw new System.InvalidOperationException("Incorrect index type, expected Ibor: " + externalName);
}
return(IborIndex.of(indexName + tenor.normalized().ToString()));
}
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_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_usdLibor_all()
{
assertEquals(IborIndex.of("USD-LIBOR-1W").Name, "USD-LIBOR-1W");
assertEquals(IborIndex.of("USD-LIBOR-1W"), IborIndices.USD_LIBOR_1W);
assertEquals(IborIndex.of("USD-LIBOR-1M").Name, "USD-LIBOR-1M");
assertEquals(IborIndex.of("USD-LIBOR-1M"), IborIndices.USD_LIBOR_1M);
assertEquals(IborIndex.of("USD-LIBOR-2M").Name, "USD-LIBOR-2M");
assertEquals(IborIndex.of("USD-LIBOR-2M"), IborIndices.USD_LIBOR_2M);
assertEquals(IborIndex.of("USD-LIBOR-3M").Name, "USD-LIBOR-3M");
assertEquals(IborIndex.of("USD-LIBOR-3M"), IborIndices.USD_LIBOR_3M);
assertEquals(IborIndex.of("USD-LIBOR-6M").Name, "USD-LIBOR-6M");
assertEquals(IborIndex.of("USD-LIBOR-6M"), IborIndices.USD_LIBOR_6M);
assertEquals(IborIndex.of("USD-LIBOR-12M").Name, "USD-LIBOR-12M");
assertEquals(IborIndex.of("USD-LIBOR-12M"), IborIndices.USD_LIBOR_12M);
}
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_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_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");
}
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");
}
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");
}
public virtual void test_euribor3m_dates()
{
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14), REF_DATA), date(2015, 1, 14));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 13));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/Brussels")));
}
public virtual void test_tibor_euroyen3m_dates()
{
IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 29));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2015, 1, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29), REF_DATA), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 15), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 15), REF_DATA), date(2015, 1, 15));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 16));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 16));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 9));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 14));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 50)).atZone(ZoneId.of("Asia/Tokyo")));
}
public virtual void test_gbpLibor3m_dates()
{
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2015, 1, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2015, 1, 13));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2015, 1, 12));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2015, 1, 12));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2015, 1, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2015, 1, 13));
// fixing time and zone
assertEquals(test.calculateFixingDateTime(date(2014, 10, 13)), date(2014, 10, 13).atTime(LocalTime.of(11, 0)).atZone(ZoneId.of("Europe/London")));
// resolve
assertEquals(test.resolve(REF_DATA).apply(date(2014, 10, 13)), IborIndexObservation.of(test, date(2014, 10, 13), REF_DATA));
}
// an Ibor stub
private static Optional <IborRateStubCalculation> parseIborStub(CsvRow row, string leg, Currency currency, IborRateCalculation.Builder builder, string rateField, string amountField, string indexField, string interpolatedField)
{
double?stubRateOpt = findValue(row, leg, rateField).map(s => LoaderUtils.parseDoublePercent(s));
double?stubAmountOpt = findValue(row, leg, amountField).map(s => LoaderUtils.parseDouble(s));
Optional <IborIndex> stubIndexOpt = findValue(row, leg, indexField).map(s => IborIndex.of(s));
Optional <IborIndex> stubIndex2Opt = findValue(row, leg, interpolatedField).map(s => IborIndex.of(s));
if (stubRateOpt.HasValue && !stubAmountOpt.HasValue && !stubIndexOpt.Present && !stubIndex2Opt.Present)
{
return(IborRateStubCalculation.ofFixedRate(stubRateOpt.Value));
}
else if (!stubRateOpt.HasValue && stubAmountOpt.HasValue && !stubIndexOpt.Present && !stubIndex2Opt.Present)
{
return(IborRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, stubAmountOpt.Value)));
}
else if (!stubRateOpt.HasValue && !stubAmountOpt.HasValue && stubIndexOpt.Present)
{
if (stubIndex2Opt.Present)
{
return(IborRateStubCalculation.ofIborInterpolatedRate(stubIndexOpt.get(), stubIndex2Opt.get()));
}
else
{
return(IborRateStubCalculation.ofIborRate(stubIndexOpt.get()));
}
}
else if (stubRateOpt.HasValue || stubAmountOpt.HasValue || stubIndexOpt.Present || stubIndex2Opt.Present)
{
throw new System.ArgumentException("Swap leg must define only one of the following fields " + ImmutableList.of(leg + rateField, leg + amountField, leg + indexField) + ", and '" + leg + interpolatedField + "' is only allowed with '" + leg + indexField + "'");
}
return(null);
}
public virtual void test_of_lookup_null()
{
assertThrowsIllegalArg(() => IborIndex.of(null));
}
public virtual void test_of_lookup_notFound()
{
assertThrowsIllegalArg(() => IborIndex.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(IborIndex convention, String name)
public virtual void test_of_lookup(IborIndex convention, string name)
{
assertEquals(IborIndex.of(name), convention);
}
