コード例 #1
0
        //-------------------------------------------------------------------------
        public virtual void test_resolve()
        {
            IborFixingDepositTrade test = IborFixingDepositTrade.of(TRADE_INFO, DEPOSIT);

            assertEquals(test.resolve(REF_DATA).Info, TRADE_INFO);
            assertEquals(test.resolve(REF_DATA).Product, DEPOSIT.resolve(REF_DATA));
        }
コード例 #2
0
        //-------------------------------------------------------------------------
        public virtual void test_resolve()
        {
            IborFixingDeposit         @base          = IborFixingDeposit.builder().buySell(SELL).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BDA_MOD_FOLLOW).index(GBP_LIBOR_6M).fixedRate(RATE).build();
            ResolvedIborFixingDeposit test           = @base.resolve(REF_DATA);
            LocalDate           expectedEndDate      = BDA_MOD_FOLLOW.adjust(END_DATE, REF_DATA);
            double              expectedYearFraction = ACT_365F.yearFraction(START_DATE, expectedEndDate);
            IborRateComputation expectedObservation  = IborRateComputation.of(GBP_LIBOR_6M, GBP_LIBOR_6M.FixingDateOffset.adjust(START_DATE, REF_DATA), REF_DATA);

            assertEquals(test.Currency, GBP);
            assertEquals(test.StartDate, START_DATE);
            assertEquals(test.EndDate, expectedEndDate);
            assertEquals(test.FloatingRate, expectedObservation);
            assertEquals(test.Notional, -NOTIONAL);
            assertEquals(test.FixedRate, RATE);
            assertEquals(test.YearFraction, expectedYearFraction);
        }