public virtual void test_trade_noMarketData()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
public virtual void test_of_withSpread()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborFixingDepositCurveNode test2 = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(GBP_LIBOR_6M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate));
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, nodeDate);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_end()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, LocalDate.of(2015, 4, 27));
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_3M);
}
public virtual void test_builder()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.builder().label(LABEL).rateId(QUOTE_ID).template(TEMPLATE).additionalSpread(SPREAD).build();
assertEquals(test.Label, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.Date, CurveNodeDate.END);
}
public virtual void test_initialGuess()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.Exp(-rate * 0.25d), 1.0E-12);
}
public virtual void test_requirements()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
ISet <ObservableId> set = test.requirements();
IEnumerator <ObservableId> itr = set.GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertEquals(itr.next(), QUOTE_ID);
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertFalse(itr.hasNext());
}
public virtual void test_metadata_last_fixing()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedIborFixingDeposit product = trade.Product.resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation)product.FloatingRate).FixingDate;
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor.Period, TEMPLATE.DepositPeriod);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
IborFixingDepositCurveNode other = (IborFixingDepositCurveNode)obj;
return(JodaBeanUtils.equal(template, other.template) && JodaBeanUtils.equal(rateId, other.rateId) && JodaBeanUtils.equal(additionalSpread, other.additionalSpread) && JodaBeanUtils.equal(label, other.label) && JodaBeanUtils.equal(date_Renamed, other.date_Renamed) && JodaBeanUtils.equal(dateOrder, other.dateOrder));
}
return(false);
}
public virtual void test_trade()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ImmutableIborFixingDepositConvention conv = (ImmutableIborFixingDepositConvention)TEMPLATE.Convention;
LocalDate startDateExpected = conv.SpotDateOffset.adjust(valuationDate, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(TEMPLATE.DepositPeriod);
IborFixingDeposit depositExpected = IborFixingDeposit.builder().buySell(BuySell.BUY).index(EUR_LIBOR_3M).startDate(startDateExpected).endDate(endDateExpected).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUR_LIBOR_3M.FixingCalendar)).notional(1.0d).fixedRate(rate + SPREAD).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(valuationDate).build();
assertEquals(trade.Product, depositExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
public virtual void test_serialization()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
