//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
FxIndexSensitivity @base = FxIndexSensitivity.of(GBP_USD_WM_OBS, USD, GBP, SENSITIVITY_VALUE);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_buildInto()
{
FxOptionSensitivity @base = FxOptionSensitivity.of(NAME, PAIR, EXPIRY, STRIKE, FORWARD, GBP, SENSI_VALUE);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
IborCapletFloorletSensitivity @base = IborCapletFloorletSensitivity.of(NAME, EXPIRY, STRIKE, FORWARD, GBP, SENSITIVITY);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
InflationRateSensitivity @base = InflationRateSensitivity.of(GB_HICP_OBS, 3.5);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertEquals(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
PointSensitivityBuilder @base = PointSensitivityBuilder.none();
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of());
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
SwaptionSensitivity @base = SwaptionSensitivity.of(NAME, EXPIRY, TENOR, STRIKE, FORWARD, GBP, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_builder_validFull()
{
ValueStepSequence seq = ValueStepSequence.of(date(2016, 4, 20), date(2016, 10, 20), Frequency.P3M, ValueAdjustment.ofDeltaAmount(-100));
ValueSchedule test = ValueSchedule.builder().initialValue(2000d).steps(STEP1, STEP2).stepSequence(seq).build();
assertEquals(test.InitialValue, 2000d, TOLERANCE);
assertEquals(test.Steps, ImmutableList.of(STEP1, STEP2));
assertEquals(test.StepSequence, seq);
}
public virtual void test_of_sequence()
{
ValueStepSequence seq = ValueStepSequence.of(date(2016, 4, 20), date(2016, 10, 20), Frequency.P3M, ValueAdjustment.ofDeltaAmount(-100));
ValueSchedule test = ValueSchedule.of(10000d, seq);
assertEquals(test.InitialValue, 10000d, TOLERANCE);
assertEquals(test.Steps, ImmutableList.of());
assertEquals(test.StepSequence, seq);
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
CreditCurveZeroRateSensitivity @base = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY, GBP, YEAR_FRACTION, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
IborFutureOptionSensitivity @base = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_toUnadjusted()
{
SchedulePeriod a = SchedulePeriod.of(JUL_17, OCT_17, JUL_16, OCT_15);
SchedulePeriod b = SchedulePeriod.of(JUL_16, OCT_15, JUL_16, OCT_15);
Schedule test = Schedule.builder().periods(ImmutableList.of(a)).frequency(P1M).rollConvention(DAY_17).build().toUnadjusted();
Schedule expected = Schedule.builder().periods(ImmutableList.of(b)).frequency(P1M).rollConvention(DAY_17).build();
assertEquals(test, expected);
}
public virtual void test_merge_size1_stub()
{
Schedule test = Schedule.builder().periods(ImmutableList.of(P1_STUB)).frequency(P1M).rollConvention(DAY_17).build();
assertEquals(test.mergeRegular(2, true), test);
assertEquals(test.mergeRegular(2, false), test);
assertEquals(test.merge(2, P1_STUB.UnadjustedStartDate, P1_STUB.UnadjustedEndDate), test);
assertEquals(test.merge(2, P1_STUB.StartDate, P1_STUB.EndDate), test);
}
public virtual void test_merge_groupSizeOneNoChange()
{
Schedule test = Schedule.builder().periods(ImmutableList.of(P2_NORMAL, P3_NORMAL, P4_NORMAL, P5_NORMAL, P6_NORMAL)).frequency(P1M).rollConvention(DAY_17).build();
assertEquals(test.mergeRegular(1, true), test);
assertEquals(test.mergeRegular(1, false), test);
assertEquals(test.merge(1, P2_NORMAL.UnadjustedStartDate, P6_NORMAL.UnadjustedEndDate), test);
assertEquals(test.merge(1, P2_NORMAL.StartDate, P6_NORMAL.EndDate), test);
}
static IsdaHomogenousCdsIndexTradePricerTest()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
}
public virtual void test_merge_group3_within5_backwards()
{
Schedule test = Schedule.builder().periods(ImmutableList.of(P2_NORMAL, P3_NORMAL, P4_NORMAL, P5_NORMAL, P6_NORMAL)).frequency(P1M).rollConvention(DAY_17).build();
Schedule expected = Schedule.builder().periods(ImmutableList.of(P2_3, P4_6)).frequency(P3M).rollConvention(DAY_17).build();
assertEquals(test.mergeRegular(3, false), expected);
assertEquals(test.merge(3, P4_NORMAL.UnadjustedStartDate, P6_NORMAL.UnadjustedEndDate), expected);
assertEquals(test.merge(3, P4_NORMAL.StartDate, P6_NORMAL.EndDate), expected);
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
ZeroRateSensitivity @base = ZeroRateSensitivity.of(GBP, YEARFRAC, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
IborRateSensitivity @base = IborRateSensitivity.of(GBP_LIBOR_3M_OBSERVATION, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
public virtual void test_buildInto()
{
IssuerCurveZeroRateSensitivity @base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_buildInto()
{
BondFutureOptionSensitivity @base = BondFutureOptionSensitivity.of(NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = @base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_expand_firstFixingDateOffsetNoStub()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).firstFixingDateOffset(MINUS_ONE_DAY).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_03, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_stubCalcsTwoStubs_interpolated()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)).finalStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, GBP_LIBOR_1M)).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB).yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1M, GBP_LIBOR_3M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_createAccrualPeriods_Monthly_firstKnown()
{
InflationRateCalculation test = InflationRateCalculation.builder().index(GB_HICP).lag(Period.ofMonths(3)).indexCalculationMethod(MONTHLY).firstIndexValue(123d).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(1.0).rateComputation(InflationEndMonthRateComputation.of(GB_HICP, 123d, YearMonth.from(DATE_2015_02_05).minusMonths(3))).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(1.0).rateComputation(InflationMonthlyRateComputation.of(GB_HICP, YearMonth.from(DATE_2015_02_05).minusMonths(3), YearMonth.from(DATE_2015_03_07).minusMonths(3))).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(1.0).rateComputation(InflationMonthlyRateComputation.of(GB_HICP, YearMonth.from(DATE_2015_03_07).minusMonths(3), YearMonth.from(DATE_2015_04_05).minusMonths(3))).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_expand_firstRegularRateFixedTwoStubs()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).firstRegularRate(0.028d).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(FixedRateComputation.of(0.028d)).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB).yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
//-------------------------------------------------------------------------
public virtual void test_findPeriod()
{
ResolvedFixedCouponBond test = sut();
ImmutableList <FixedCouponBondPaymentPeriod> payments = test.PeriodicPayments;
assertEquals(test.findPeriod(test.UnadjustedStartDate), payments.get(0));
assertEquals(test.findPeriod(test.UnadjustedEndDate.minusDays(1)), payments.get(payments.size() - 1));
assertEquals(test.findPeriod(LocalDate.MIN), null);
assertEquals(test.findPeriod(LocalDate.MAX), null);
}
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 coverage()
{
CalculationResults test = CalculationResults.of(TARGET, ImmutableList.of(CALC_RESULT));
coverImmutableBean(test);
CalculationResults test2 = CalculationResults.of(TARGET2, ImmutableList.of(CALC_RESULT2));
coverBeanEquals(test, test2);
assertNotNull(CalculationResults.meta());
}
public virtual void test_merge_group2_within2_finalStub()
{
Schedule test = Schedule.builder().periods(ImmutableList.of(P2_NORMAL, P3_NORMAL, P4_STUB)).frequency(P1M).rollConvention(DAY_17).build();
Schedule expected = Schedule.builder().periods(ImmutableList.of(P2_3, P4_STUB)).frequency(P2M).rollConvention(DAY_17).build();
assertEquals(test.mergeRegular(2, true), expected);
assertEquals(test.mergeRegular(2, false), expected);
assertEquals(test.merge(2, P2_NORMAL.UnadjustedStartDate, P3_NORMAL.UnadjustedEndDate), expected);
assertEquals(test.merge(2, P2_NORMAL.StartDate, P3_NORMAL.EndDate), expected);
}
//-------------------------------------------------------------------------
public virtual void test_expand_gearingSpreadEverythingElse()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_THREE_DAYS).fixingRelativeTo(PERIOD_END).negativeRateMethod(NOT_NEGATIVE).gearing(ValueSchedule.of(1d, ValueStep.of(2, ValueAdjustment.ofReplace(2d)))).spread(ValueSchedule.of(0d, ValueStep.of(1, ValueAdjustment.ofReplace(-0.025d)))).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1).yearFraction(ACCRUAL1.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_01_31, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).build();
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2).yearFraction(ACCRUAL2.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_02_28, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).spread(-0.025d).build();
RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3).yearFraction(ACCRUAL3.yearFraction(ACT_360, ACCRUAL_SCHEDULE)).rateComputation(IborRateComputation.of(GBP_LIBOR_3M, DATE_04_02, REF_DATA)).negativeRateMethod(NOT_NEGATIVE).gearing(2d).spread(-0.025d).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));
}
public virtual void test_createProduct_wrongType()
{
BondFutureSecurity test = sut();
ImmutableList <FixedCouponBond> basket = PRODUCT.DeliveryBasket;
SecurityId secId = basket.get(0).SecurityId;
GenericSecurity sec = GenericSecurity.of(INFO);
ReferenceData refData = ImmutableReferenceData.of(secId, sec);
assertThrows(() => test.createProduct(refData), typeof(System.InvalidCastException));
}
