public virtual void test_trade()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double price = 0.99;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, price).build();
IborFutureTrade trade = node.trade(1d, marketData, REF_DATA);
IborFutureTrade expected = TEMPLATE.createTrade(VAL_DATE, SecurityId.of(STANDARD_ID), 1L, 1.0, price + SPREAD, REF_DATA);
assertEquals(trade, expected);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
IborFutureTemplate @base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
double quantity = 3;
double price = 0.99;
double notional = 100.0;
SecurityId secId = SecurityId.of("OG-Future", "GBP-LIBOR-3M-Jun16");
IborFutureTrade trade = @base.createTrade(date, secId, quantity, notional, price, REF_DATA);
IborFutureTrade expected = CONVENTION.createTrade(date, secId, YEAR_MONTH, quantity, notional, price, REF_DATA);
assertEquals(trade, expected);
}
