//-------------------------------------------------------------------------
// build conventions
private static OvernightIborSwapConvention makeConvention(string name, OvernightIndex onIndex, IborIndex iborIndex, DayCount dayCount, Frequency frequency, int paymentLag, int cutOffDays, OvernightAccrualMethod accrual)
{
HolidayCalendarId calendarOn = onIndex.FixingCalendar;
DaysAdjustment paymentDateOffset = DaysAdjustment.ofBusinessDays(paymentLag, calendarOn);
return(ImmutableOvernightIborSwapConvention.of(name, OvernightRateSwapLegConvention.builder().index(onIndex).accrualMethod(accrual).accrualFrequency(frequency).paymentFrequency(frequency).paymentDateOffset(paymentDateOffset).stubConvention(StubConvention.SMART_INITIAL).rateCutOffDays(cutOffDays).build(), IborRateSwapLegConvention.of(iborIndex)));
}
public virtual void test_builder()
{
ImmutableOvernightIborSwapConvention test = ImmutableOvernightIborSwapConvention.builder().name(NAME).overnightLeg(FFUND_LEG).iborLeg(USD_LIBOR_3M_LEG).spotDateOffset(PLUS_ONE_DAY).build();
assertEquals(test.Name, NAME);
assertEquals(test.OvernightLeg, FFUND_LEG);
assertEquals(test.IborLeg, USD_LIBOR_3M_LEG);
assertEquals(test.SpotDateOffset, PLUS_ONE_DAY);
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
ImmutableOvernightIborSwapConvention test = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS);
assertEquals(test.Name, NAME);
assertEquals(test.OvernightLeg, FFUND_LEG);
assertEquals(test.IborLeg, USD_LIBOR_3M_LEG);
assertEquals(test.SpotDateOffset, PLUS_TWO_DAYS);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade_tenor()
{
OvernightIborSwapConvention @base = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 5, 7);
LocalDate endDate = date(2025, 5, 7);
SwapTrade test = @base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(FFUND_LEG.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), USD_LIBOR_3M_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableOvernightIborSwapConvention test = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS);
coverImmutableBean(test);
ImmutableOvernightIborSwapConvention test2 = ImmutableOvernightIborSwapConvention.of("GBP-Swap", FLOATING_LEG2, GBP_LIBOR_3M_LEG, PLUS_ONE_DAY);
coverBeanEquals(test, test2);
ImmutableOvernightIborSwapConvention test3 = ImmutableOvernightIborSwapConvention.of("USD-Swap2", FFUND_LEG2, USD_LIBOR_3M_LEG, PLUS_ONE_DAY);
coverBeanEquals(test, test3);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ImmutableOvernightIborSwapConvention other = (ImmutableOvernightIborSwapConvention)obj;
return(JodaBeanUtils.equal(name, other.name) && JodaBeanUtils.equal(overnightLeg, other.overnightLeg) && JodaBeanUtils.equal(iborLeg, other.iborLeg) && JodaBeanUtils.equal(spotDateOffset, other.spotDateOffset));
}
return(false);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "spotLag") public void test_spot_lag(ImmutableOvernightIborSwapConvention convention, int lag)
public virtual void test_spot_lag(ImmutableOvernightIborSwapConvention convention, int lag)
{
assertEquals(convention.SpotDateOffset.Days, lag);
assertEquals(convention.SpotDateOffset, convention.IborLeg.Index.EffectiveDateOffset);
}
public virtual void test_serialization()
{
ImmutableOvernightIborSwapConvention test = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS);
assertSerialization(test);
}
