public virtual void test_usdFedFund_dates()
{
OvernightIndex test = OvernightIndex.of("USD-FED-FUND");
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
// weekend and US holiday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
// input date is Sunday, 13th is US holiday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
}
public virtual void test_gbpSonia_dates()
{
OvernightIndex test = OvernightIndex.of("GBP-SONIA");
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 14));
// weekend
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 13));
// input date is Sunday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
}
