public virtual void test_tibor_euroyen3m()
{
IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M");
assertEquals(test.Currency, JPY);
assertEquals(test.Name, "JPY-TIBOR-EUROYEN-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, JPTO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, JPTO));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, JPTO));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO)));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.FloatingRateName, FloatingRateName.of("JPY-TIBOR-EUROYEN"));
assertEquals(test.ToString(), "JPY-TIBOR-EUROYEN-3M");
}
public virtual void test_euribor3m()
{
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.Currency, EUR);
assertEquals(test.Name, "EUR-EURIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, EUTA);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, EUTA));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, EUTA));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, THIRTY_U_360);
assertEquals(test.FloatingRateName, FloatingRateName.of("EUR-EURIBOR"));
assertEquals(test.ToString(), "EUR-EURIBOR-3M");
}
//-------------------------------------------------------------------------
public virtual void test_usdLibor3m()
{
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.Currency, USD);
assertEquals(test.Name, "USD-LIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, GBLO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, GBLO));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combinedWith(USNY))));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combinedWith(USNY))));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, ACT_360);
assertEquals(test.FloatingRateName, FloatingRateName.of("USD-LIBOR"));
assertEquals(test.ToString(), "USD-LIBOR-3M");
}
private static readonly HolidayCalendarId NZBD = HolidayCalendarId.of("NZBD"); // no constant for this
public virtual void test_gbpLibor3m()
{
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.Name, "GBP-LIBOR-3M");
assertEquals(test.Currency, GBP);
assertEquals(test.Active, true);
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, GBLO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO)));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.FloatingRateName, FloatingRateName.of("GBP-LIBOR"));
assertEquals(test.ToString(), "GBP-LIBOR-3M");
}
public virtual void test_serialization()
{
IborIndex index = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build();
assertSerialization(index);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableIborIndex index = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build();
coverImmutableBean(index);
coverPrivateConstructor(typeof(IborIndices));
}
//-------------------------------------------------------------------------
public virtual void test_equals()
{
ImmutableIborIndex a = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build();
IborIndex b = a.toBuilder().name("Rubbish-3M").build();
assertEquals(a.Equals(b), false);
}
