public virtual void test_trade_noMarketData() { IborIborSwapCurveNode node = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); MarketData marketData = MarketData.empty(valuationDate); assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException)); }
public virtual void test_trade() { IborIborSwapCurveNode node = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate tradeDate = LocalDate.of(2015, 1, 22); double rate = 0.125; double quantity = -1234.56; MarketData marketData = ImmutableMarketData.builder(tradeDate).addValue(QUOTE_ID, rate).build(); SwapTrade trade = node.trade(quantity, marketData, REF_DATA); SwapTrade expected = TEMPLATE.createTrade(tradeDate, BUY, -quantity, rate + SPREAD, REF_DATA); assertEquals(trade, expected); }