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 virtual void coverage()
{
IborIndexObservation test = IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA);
coverImmutableBean(test);
IborIndexObservation test2 = IborIndexObservation.of(GBP_LIBOR_1M, date(2014, 7, 30), REF_DATA);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
IborIndexObservation test = IborIndexObservation.of(USD_LIBOR_3M, date(2016, 2, 18), REF_DATA);
double yearFraction = USD_LIBOR_3M.DayCount.yearFraction(date(2016, 2, 22), date(2016, 5, 23));
IborIndexObservation expected = new IborIndexObservation(USD_LIBOR_3M, date(2016, 2, 18), date(2016, 2, 22), date(2016, 5, 23), yearFraction);
assertEquals(test, expected);
assertEquals(test.Currency, USD);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
IborIndexObservation other = (IborIndexObservation)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(fixingDate, other.fixingDate) && JodaBeanUtils.equal(effectiveDate, other.effectiveDate) && JodaBeanUtils.equal(maturityDate, other.maturityDate) && JodaBeanUtils.equal(yearFraction, other.yearFraction));
}
return(false);
}
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));
}
public virtual void test_serialization()
{
IborIndexObservation test = IborIndexObservation.of(GBP_LIBOR_3M, date(2014, 6, 30), REF_DATA);
assertSerialization(test);
}
