public virtual void test_trade_noMarketData()
{
OvernightIborSwapCurveNode node = OvernightIborSwapCurveNode.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_of_withSpreadAndLabel()
{
OvernightIborSwapCurveNode test = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.Label, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_of_noSpread()
{
OvernightIborSwapCurveNode test = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, 0.0d);
assertEquals(test.Template, TEMPLATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
OvernightIborSwapCurveNode test = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
OvernightIborSwapCurveNode test2 = OvernightIborSwapCurveNode.of(OvernightIborSwapTemplate.of(TENOR_10Y, OvernightIborSwapConventions.GBP_SONIA_OIS_1Y_LIBOR_3M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
OvernightIborSwapCurveNode node = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(VAL_DATE));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, VAL_DATE);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_last_fixing()
{
OvernightIborSwapCurveNode node = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate fixingExpected = LocalDate.of(2024, 10, 24);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, fixingExpected);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_end()
{
OvernightIborSwapCurveNode node = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
// 2015-01-22 is Thursday, start is 2015-01-26, but 2025-01-26 is Sunday, so end is 2025-01-27
assertEquals(((TenorDateParameterMetadata)metadata).Date, LocalDate.of(2025, 1, 27));
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y);
}
public virtual void test_requirements()
{
OvernightIborSwapCurveNode test = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
ISet <ObservableId> set = test.requirements();
IEnumerator <ObservableId> itr = set.GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertEquals(itr.next(), QUOTE_ID);
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertFalse(itr.hasNext());
}
public virtual void test_trade()
{
OvernightIborSwapCurveNode node = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
double rate = 0.125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(tradeDate).addValue(QUOTE_ID, rate).build();
SwapTrade trade = node.trade(quantity, marketData, REF_DATA);
SwapTrade expected = TEMPLATE.createTrade(tradeDate, BUY, -quantity, rate + SPREAD, REF_DATA);
assertEquals(trade, expected);
}
public virtual void test_initialGuess()
{
OvernightIborSwapCurveNode node = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
double df = Math.Exp(-TENOR_10Y.get(ChronoUnit.YEARS) * rate);
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df, TOLERANCE_DF);
assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), 0d);
}
public virtual void test_serialization()
{
OvernightIborSwapCurveNode test = OvernightIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}