public virtual void test_of_spotDateOffset() { ImmutableIborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR1M, IBOR3M, PLUS_ONE_DAY); assertEquals(test.Name, NAME); assertEquals(test.SpreadLeg, IBOR1M); assertEquals(test.FlatLeg, IBOR3M); assertEquals(test.SpotDateOffset, PLUS_ONE_DAY); }
//------------------------------------------------------------------------- public virtual void test_of() { ImmutableIborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); assertEquals(test.Name, NAME); assertEquals(test.SpreadLeg, IBOR3M); assertEquals(test.FlatLeg, IBOR6M); assertEquals(test.SpotDateOffset, USD_LIBOR_3M.EffectiveDateOffset); }
//------------------------------------------------------------------------- public virtual void test_toTrade_tenor() { IborIborSwapConvention @base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = @base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of(IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.Info.TradeDate, tradeDate); assertEquals(test.Product, expected); }
//------------------------------------------------------------------------- public virtual void coverage() { ImmutableIborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); coverImmutableBean(test); ImmutableIborIborSwapConvention test2 = ImmutableIborIborSwapConvention.of(NAME, IBOR1M, IBOR6M); coverBeanEquals(test, test2); ImmutableIborIborSwapConvention test3 = ImmutableIborIborSwapConvention.of(NAME, IBOR1M, IBOR3M); coverBeanEquals(test, test3); }
public virtual void test_serialization() { IborIborSwapConvention test = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); assertSerialization(test); }