//-------------------------------------------------------------------------
public virtual void test_ofDaysInResetPeriod()
{
IborAveragedFixing test = IborAveragedFixing.ofDaysInResetPeriod(GBP_LIBOR_3M_OBS, date(2014, 7, 2), date(2014, 8, 2));
IborAveragedFixing expected = IborAveragedFixing.builder().observation(GBP_LIBOR_3M_OBS).fixedRate(null).weight(31).build();
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_of_date()
{
IborAveragedFixing test = IborAveragedFixing.of(GBP_LIBOR_3M_OBS);
IborAveragedFixing expected = IborAveragedFixing.builder().observation(GBP_LIBOR_3M_OBS).fixedRate(null).weight(1).build();
assertEquals(test, expected);
}
/// <summary>
/// Creates a {@code IborAveragedFixing} from the fixing date, calculating the weight
/// from the number of days in the reset period.
/// <para>
/// This implements the standard approach to average weights, which is to set each
/// weight to the actual number of days between the start and end of the reset period.
///
/// </para>
/// </summary>
/// <param name="observation"> the Ibor observation </param>
/// <param name="startDate"> the start date of the reset period </param>
/// <param name="endDate"> the end date of the reset period </param>
/// <param name="fixedRate"> the fixed rate for the fixing date, optional, may be null </param>
/// <returns> the weighted fixing information </returns>
public static IborAveragedFixing ofDaysInResetPeriod(IborIndexObservation observation, LocalDate startDate, LocalDate endDate, double?fixedRate)
{
ArgChecker.notNull(observation, "observation");
ArgChecker.notNull(startDate, "startDate");
ArgChecker.notNull(endDate, "endDate");
return(IborAveragedFixing.builder().observation(observation).fixedRate(fixedRate).weight(endDate.toEpochDay() - startDate.toEpochDay()).build());
}
public virtual void test_ofDaysInResetPeriod_fixedRate()
{
IborAveragedFixing test = IborAveragedFixing.ofDaysInResetPeriod(GBP_LIBOR_3M_OBS, date(2014, 7, 2), date(2014, 9, 2), 0.06);
IborAveragedFixing expected = IborAveragedFixing.builder().observation(GBP_LIBOR_3M_OBS).fixedRate(0.06).weight(62).build();
assertEquals(test, expected);
assertEquals(test.FixedRate, double?.of(0.06));
}
/// <summary>
/// Creates a {@code IborAveragedFixing} from the fixing date with a weight of 1.
/// </summary>
/// <param name="observation"> the Ibor observation </param>
/// <param name="fixedRate"> the fixed rate for the fixing date, optional, may be null </param>
/// <returns> the unweighted fixing information </returns>
public static IborAveragedFixing of(IborIndexObservation observation, double?fixedRate)
{
return(IborAveragedFixing.builder().observation(observation).fixedRate(fixedRate).build());
}
