public virtual void test_of_spotDateOffset() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M, PLUS_ONE_DAY); assertEquals(test.Name, NAME); assertEquals(test.SpreadLeg, FIXED); assertEquals(test.SpreadFloatingLeg, IBOR6M); assertEquals(test.FlatFloatingLeg, IBOR12M); assertEquals(test.SpotDateOffset, PLUS_ONE_DAY); }
public virtual void test_builder() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.builder().name(NAME).spreadLeg(FIXED).spreadFloatingLeg(IBOR6M).flatFloatingLeg(IBOR12M).spotDateOffset(PLUS_ONE_DAY).build(); assertEquals(test.Name, NAME); assertEquals(test.SpreadLeg, FIXED); assertEquals(test.SpreadFloatingLeg, IBOR6M); assertEquals(test.FlatFloatingLeg, IBOR12M); assertEquals(test.SpotDateOffset, PLUS_ONE_DAY); }
//------------------------------------------------------------------------- public virtual void test_of() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); assertEquals(test.Name, NAME); assertEquals(test.SpreadLeg, FIXED); assertEquals(test.SpreadFloatingLeg, IBOR6M); assertEquals(test.FlatFloatingLeg, IBOR12M); assertEquals(test.SpotDateOffset, EUR_EURIBOR_6M.EffectiveDateOffset); }
//------------------------------------------------------------------------- public virtual void coverage() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); coverImmutableBean(test); ImmutableThreeLegBasisSwapConvention test2 = ImmutableThreeLegBasisSwapConvention.of("swap", FIXED, IBOR3M, IBOR6M); coverBeanEquals(test, test2); ImmutableThreeLegBasisSwapConvention test3 = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR3M, IBOR12M); coverBeanEquals(test, test3); }
public virtual void test_toTrade_dates() { ThreeLegBasisSwapConvention @base = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 5); LocalDate endDate = date(2015, 11, 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), 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_toTrade_periodTenor() { ThreeLegBasisSwapConvention @base = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = @base.createTrade(tradeDate, Period.ofMonths(3), 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 override bool Equals(object obj) { if (obj == this) { return(true); } if (obj != null && obj.GetType() == this.GetType()) { ImmutableThreeLegBasisSwapConvention other = (ImmutableThreeLegBasisSwapConvention)obj; return(JodaBeanUtils.equal(name, other.name) && JodaBeanUtils.equal(spreadLeg, other.spreadLeg) && JodaBeanUtils.equal(spreadFloatingLeg, other.spreadFloatingLeg) && JodaBeanUtils.equal(flatFloatingLeg, other.flatFloatingLeg) && 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(ImmutableThreeLegBasisSwapConvention convention, int lag) public virtual void test_spot_lag(ImmutableThreeLegBasisSwapConvention convention, int lag) { assertEquals(convention.SpotDateOffset.Days, lag); }
public virtual void test_serialization() { ThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); assertSerialization(test); }