public virtual void test_trade_noMarketData()
{
CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
public virtual void test_metadata_dates()
{
CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
ParameterMetadata metadata = node.metadata(END_DATE);
assertEquals(((LabelDateParameterMetadata)metadata).Date, END_DATE);
}
//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsIndexCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade cdsTrade = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
CdsIndex cdsIndex = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, 0.01);
CdsIndex cdsIndexMod = cdsIndex.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected = CdsIndexTrade.builder().product(cdsIndexMod).info(cdsTrade.Info).build();
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIndexIsdaCreditCurveNode node1 = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
CdsTrade cdsTrade1 = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsIndexCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
CdsIndex cdsIndex1 = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, rate);
CdsIndex cdsIndexMod1 = cdsIndex1.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex1.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected1 = CdsIndexTrade.builder().product(cdsIndexMod1).info(cdsTrade1.Info).build();
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
public virtual void test_of_pardSpread()
{
CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
assertEquals(test.Label, END_DATE.ToString());
assertEquals(test.CdsIndexId, INDEX_ID);
assertEquals(test.LegalEntityIds, LEGAL_ENTITIES);
assertEquals(test.ObservableId, QUOTE_ID);
assertEquals(test.Template, TEMPLATE_NS);
assertEquals(test.date(VAL_DATE, REF_DATA), END_DATE);
}