public virtual void test_of_null() { assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborRate(null)); assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(null, GBP_LIBOR_3M)); assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, null)); assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(null, null)); }
public virtual void test_ofIborRate() { IborRateStubCalculation test = IborRateStubCalculation.ofIborRate(GBP_LIBOR_3M); assertEquals(test.FixedRate, double?.empty()); assertEquals(test.Index, GBP_LIBOR_3M); assertEquals(test.IndexInterpolated, null); assertEquals(test.FixedRate, false); assertEquals(test.KnownAmount, false); assertEquals(test.FloatingRate, true); assertEquals(test.Interpolated, false); }
public virtual void test_serialization() { IborRateStubCalculation test = IborRateStubCalculation.ofIborRate(GBP_LIBOR_3M); assertSerialization(test); }
public virtual void test_expand_firstRateFixedInitialStubSpecified() { IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_1W)).firstRate(0.024d).build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1W, DATE_01_06, REF_DATA)).build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build(); ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public virtual void test_collectIndices_stubCalcsTwoStubs() { IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_1W)).finalStub(IborRateStubCalculation.ofIborRate(GBP_LIBOR_3M)).build(); ImmutableSet.Builder <Index> builder = ImmutableSet.builder(); test.collectIndices(builder); assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_1W, GBP_LIBOR_3M)); }