//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
FixedInflationSwapCurveNode test2 = FixedInflationSwapCurveNode.of(FixedInflationSwapTemplate.of(TENOR_10Y, FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
private static CurveNode curveFixedInflationCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
Matcher matcher = SIMPLE_YM_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (!matcher.matches())
{
throw new System.ArgumentException(Messages.format("Invalid time format for Fixed-Inflation swap: {}", timeStr));
}
Period periodToEnd = Period.parse("P" + matcher.group(1));
FixedInflationSwapConvention convention = FixedInflationSwapConvention.of(conventionStr);
FixedInflationSwapTemplate template = FixedInflationSwapTemplate.of(Tenor.of(periodToEnd), convention);
return(FixedInflationSwapCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
static CalibrationInflationUsdTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[CPI_CURVE_NAME] = usdLibor3Set;
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
for (int i = 0; i < CPI_NB_NODES; i++)
{
CPI_NODES[i] = FixedInflationSwapCurveNode.builder().template(FixedInflationSwapTemplate.of(Tenor.of(CPI_TENORS[i]), FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI)).rateId(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i]))).date(CurveNodeDate.LAST_FIXING).build();
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < CPI_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i])), CPI_MARKET_QUOTES[i]);
}
builder.addTimeSeries(IndexQuoteId.of(US_CPI_U), TS_USD_CPI);
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupCpi = new List <CurveNode[]>();
groupCpi.Add(CPI_NODES);
CURVES_NODES.Add(groupCpi);
}