public virtual void test_metadata_fixed() { LocalDate nodeDate = VAL_DATE.plusMonths(1); IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).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_last_fixing() { IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING); ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build(); IborFutureTrade trade = node.trade(1d, marketData, REF_DATA); LocalDate fixingDate = trade.Product.FixingDate; DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA); assertEquals(metadata.Date, fixingDate); LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(VAL_DATE, REF_DATA); assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate)); }
public virtual void test_metadata_end() { IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL); LocalDate date = LocalDate.of(2015, 10, 20); LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(date, REF_DATA); LocalDate maturityDate = TEMPLATE.Index.calculateMaturityFromEffective(referenceDate, REF_DATA); ParameterMetadata metadata = node.metadata(date, REF_DATA); assertEquals(metadata.Label, LABEL); assertTrue(metadata is YearMonthDateParameterMetadata); assertEquals(((YearMonthDateParameterMetadata)metadata).Date, maturityDate); assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate)); }