public virtual void test_tibor_euroyen3m() { IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M"); assertEquals(test.Currency, JPY); assertEquals(test.Name, "JPY-TIBOR-EUROYEN-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, JPTO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, JPTO)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, JPTO)); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.FloatingRateName, FloatingRateName.of("JPY-TIBOR-EUROYEN")); assertEquals(test.ToString(), "JPY-TIBOR-EUROYEN-3M"); }
public virtual void test_euribor3m() { IborIndex test = IborIndex.of("EUR-EURIBOR-3M"); assertEquals(test.Currency, EUR); assertEquals(test.Name, "EUR-EURIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, EUTA); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, EUTA)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, EUTA)); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, THIRTY_U_360); assertEquals(test.FloatingRateName, FloatingRateName.of("EUR-EURIBOR")); assertEquals(test.ToString(), "EUR-EURIBOR-3M"); }
//------------------------------------------------------------------------- public virtual void test_usdLibor3m() { IborIndex test = IborIndex.of("USD-LIBOR-3M"); assertEquals(test.Currency, USD); assertEquals(test.Name, "USD-LIBOR-3M"); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, GBLO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, GBLO)); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combinedWith(USNY)))); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combinedWith(USNY)))); assertEquals(test.DayCount, ACT_360); assertEquals(test.DefaultFixedLegDayCount, ACT_360); assertEquals(test.FloatingRateName, FloatingRateName.of("USD-LIBOR")); assertEquals(test.ToString(), "USD-LIBOR-3M"); }
private static readonly HolidayCalendarId NZBD = HolidayCalendarId.of("NZBD"); // no constant for this public virtual void test_gbpLibor3m() { IborIndex test = IborIndex.of("GBP-LIBOR-3M"); assertEquals(test.Name, "GBP-LIBOR-3M"); assertEquals(test.Currency, GBP); assertEquals(test.Active, true); assertEquals(test.Tenor, TENOR_3M); assertEquals(test.FixingCalendar, GBLO); assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO))); assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO))); assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO))); assertEquals(test.DayCount, ACT_365F); assertEquals(test.DefaultFixedLegDayCount, ACT_365F); assertEquals(test.FloatingRateName, FloatingRateName.of("GBP-LIBOR")); assertEquals(test.ToString(), "GBP-LIBOR-3M"); }
public virtual void test_serialization() { IborIndex index = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build(); assertSerialization(index); }
//------------------------------------------------------------------------- public virtual void coverage() { ImmutableIborIndex index = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build(); coverImmutableBean(index); coverPrivateConstructor(typeof(IborIndices)); }
//------------------------------------------------------------------------- public virtual void test_equals() { ImmutableIborIndex a = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build(); IborIndex b = a.toBuilder().name("Rubbish-3M").build(); assertEquals(a.Equals(b), false); }