public virtual void test_trade_noMarketData() { FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); MarketData marketData = MarketData.empty(valuationDate); assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException)); }
public virtual void test_metadata_last_fixing() { FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING); LocalDate valuationDate = LocalDate.of(2015, 1, 22); ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, 0.0d).build(); FraTrade trade = node.trade(1d, marketData, REF_DATA); ResolvedFra resolved = trade.Product.resolve(REF_DATA); LocalDate fixingDate = ((IborRateComputation)(resolved.FloatingRate)).FixingDate; DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate); assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_5M); }
public virtual void test_trade() { FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); double rate = 0.035; ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build(); FraTrade trade = node.trade(1d, marketData, REF_DATA); LocalDate startDateExpected = BDA_MOD_FOLLOW.adjust(OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_START), REF_DATA); LocalDate endDateExpected = BDA_MOD_FOLLOW.adjust(OFFSET.adjust(valuationDate, REF_DATA).plus(PERIOD_TO_END), REF_DATA); Fra productExpected = Fra.builder().buySell(BuySell.SELL).currency(GBP).dayCount(ACT_365F).startDate(startDateExpected).endDate(endDateExpected).paymentDate(AdjustableDate.of(startDateExpected)).notional(1.0d).index(GBP_LIBOR_3M).fixedRate(rate + SPREAD).build(); TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(valuationDate).build(); assertEquals(trade.Product, productExpected); assertEquals(trade.Info, tradeInfoExpected); }