public virtual void test_rate_IborInterpolatedRateComputation()
{
double mockRate = 0.0123d;
RateComputationFn <IborInterpolatedRateComputation> mockIborInt = mock(typeof(RateComputationFn));
IborInterpolatedRateComputation ro = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
when(mockIborInt.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, mockIborInt, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, 0d);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
FixedRateComputation @fixed = FixedRateComputation.of(0.0123d);
IborRateComputation ibor = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
IborInterpolatedRateComputation iborInt = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
IborAveragedRateComputation iborAvg = IborAveragedRateComputation.of(ImmutableList.of(IborAveragedFixing.of(ibor.Observation)));
OvernightCompoundedRateComputation onCpd = OvernightCompoundedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
OvernightAveragedRateComputation onAvg = OvernightAveragedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
OvernightAveragedDailyRateComputation onAvgDly = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);
InflationMonthlyRateComputation inflationMonthly = InflationMonthlyRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH);
InflationInterpolatedRateComputation inflationInterp = InflationInterpolatedRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH, 0.3);
InflationEndMonthRateComputation inflationEndMonth = InflationEndMonthRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH);
InflationEndInterpolatedRateComputation inflationEndInterp = InflationEndInterpolatedRateComputation.of(US_CPI_U, 1234d, ACCRUAL_END_MONTH, 0.3);
RateComputation mock = mock(typeof(RateComputation));
ignoreThrows(() => test.rateSensitivity(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ignoreThrows(() => test.rateSensitivity(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
ExplainMapBuilder explain = ExplainMap.builder();
ignoreThrows(() => test.explainRate(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
ignoreThrows(() => test.explainRate(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates the {@code RateComputation} for the stub.
/// </summary>
/// <param name="fixingDate"> the fixing date </param>
/// <param name="defaultIndex"> the default index to use if the stub has no rules </param>
/// <param name="refData"> the reference data </param>
/// <returns> the rate observation </returns>
internal RateComputation createRateComputation(LocalDate fixingDate, IborIndex defaultIndex, ReferenceData refData)
{
if (Interpolated)
{
return(IborInterpolatedRateComputation.of(index, indexInterpolated, fixingDate, refData));
}
else if (FloatingRate)
{
return(IborRateComputation.of(index, fixingDate, refData));
}
else if (FixedRate)
{
return(FixedRateComputation.of(fixedRate.Value));
}
else if (KnownAmount)
{
return(KnownAmountRateComputation.of(knownAmount));
}
else
{
return(IborRateComputation.of(defaultIndex, fixingDate, refData));
}
}