public virtual void test_dates() { FxIndex test = ImmutableFxIndex.builder().name("Test").currencyPair(CurrencyPair.of(EUR, GBP)).fixingCalendar(NO_HOLIDAYS).maturityDateOffset(DaysAdjustment.ofCalendarDays(2)).build(); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 15), REF_DATA), date(2014, 10, 13)); // weekend assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 16), REF_DATA), date(2014, 10, 18)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 18), REF_DATA), date(2014, 10, 16)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 17), REF_DATA), date(2014, 10, 19)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17)); // input date is Sunday assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 19), REF_DATA), date(2014, 10, 21)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17)); }
//------------------------------------------------------------------------- public virtual void test_ecb_eur_gbp_dates() { FxIndex test = FxIndices.EUR_GBP_ECB; assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, EUTA.combinedWith(GBLO))); assertEquals(test.MaturityDateOffset, DaysAdjustment.ofBusinessDays(2, EUTA.combinedWith(GBLO))); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 15), REF_DATA), date(2014, 10, 13)); // weekend assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 16), REF_DATA), date(2014, 10, 20)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 20), REF_DATA), date(2014, 10, 16)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 17), REF_DATA), date(2014, 10, 21)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 21), REF_DATA), date(2014, 10, 17)); // input date is Sunday assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 19), REF_DATA), date(2014, 10, 22)); assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 16)); // skip maturity over EUR (1st May) and GBP (5th May) holiday assertEquals(test.calculateMaturityFromFixing(date(2014, 4, 30), REF_DATA), date(2014, 5, 6)); assertEquals(test.calculateFixingFromMaturity(date(2014, 5, 6), REF_DATA), date(2014, 4, 30)); // resolve assertEquals(test.resolve(REF_DATA).apply(date(2014, 5, 6)), FxIndexObservation.of(test, date(2014, 5, 6), REF_DATA)); }