//-------------------------------------------------------------------------
public virtual void test_toTrade_tenor()
{
FixedOvernightSwapConvention @base = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_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(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade_tenor()
{
ThreeLegBasisSwapConvention @base = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
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(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M), IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_toLeg()
{
FixedRateSwapLegConvention @base = FixedRateSwapLegConvention.of(GBP, ACT_365F, P3M, BDA_MOD_FOLLOW);
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = @base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().frequency(P3M).startDate(startDate).endDate(endDate).businessDayAdjustment(BDA_MOD_FOLLOW).stubConvention(StubConvention.SMART_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)).calculation(FixedRateCalculation.of(0.25d, ACT_365F)).build();
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
ThreeLegBasisSwapTemplate @base = ThreeLegBasisSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 7);
LocalDate endDate = date(2025, 8, 7);
SwapTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade_dates()
{
ImmutableFixedInflationSwapConvention @base = ImmutableFixedInflationSwapConvention.of(NAME, FIXED, INFL, PLUS_ONE_DAY);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 5);
LocalDate endDate = date(2017, 8, 5);
SwapTrade test = @base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), INFL.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
FixedInflationSwapTemplate @base = FixedInflationSwapTemplate.of(TENOR_10Y, CONV);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 5, 6); // T+1
LocalDate endDate = date(2025, 5, 6);
SwapTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), INFL.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product.Legs.get(0), expected.Legs.get(0));
assertEquals(test.Product.Legs.get(1), expected.Legs.get(1));
assertEquals(test.Product, expected);
}