public virtual void test_dates()
{
FxIndex test = ImmutableFxIndex.builder().name("Test").currencyPair(CurrencyPair.of(EUR, GBP)).fixingCalendar(NO_HOLIDAYS).maturityDateOffset(DaysAdjustment.ofCalendarDays(2)).build();
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 15), REF_DATA), date(2014, 10, 13));
// weekend
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 16), REF_DATA), date(2014, 10, 18));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 18), REF_DATA), date(2014, 10, 16));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 17), REF_DATA), date(2014, 10, 19));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17));
// input date is Sunday
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 19), REF_DATA), date(2014, 10, 21));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17));
}
//-------------------------------------------------------------------------
public virtual void test_ecb_eur_gbp_dates()
{
FxIndex test = FxIndices.EUR_GBP_ECB;
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, EUTA.combinedWith(GBLO)));
assertEquals(test.MaturityDateOffset, DaysAdjustment.ofBusinessDays(2, EUTA.combinedWith(GBLO)));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 15), REF_DATA), date(2014, 10, 13));
// weekend
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 16), REF_DATA), date(2014, 10, 20));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 20), REF_DATA), date(2014, 10, 16));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 17), REF_DATA), date(2014, 10, 21));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 21), REF_DATA), date(2014, 10, 17));
// input date is Sunday
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 19), REF_DATA), date(2014, 10, 22));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 16));
// skip maturity over EUR (1st May) and GBP (5th May) holiday
assertEquals(test.calculateMaturityFromFixing(date(2014, 4, 30), REF_DATA), date(2014, 5, 6));
assertEquals(test.calculateFixingFromMaturity(date(2014, 5, 6), REF_DATA), date(2014, 4, 30));
// resolve
assertEquals(test.resolve(REF_DATA).apply(date(2014, 5, 6)), FxIndexObservation.of(test, date(2014, 5, 6), REF_DATA));
}
