public virtual void test_createTrade_periods_adjust_payOffset()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).paymentDateOffset(PLUS_TWO_DAYS).build();
LocalDate tradeDate = LocalDate.of(2016, 8, 11);
FraTrade test = @base.createTrade(tradeDate, Period.ofMonths(1), Period.ofMonths(4), BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2016, 9, 12)).endDate(date(2016, 12, 12)).paymentDate(AdjustableDate.of(date(2016, 9, 14), PLUS_TWO_DAYS.Adjustment)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade_periods()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).build();
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
FraTrade test = @base.createTrade(tradeDate, Period.ofMonths(3), Period.ofMonths(6), BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableFraConvention test = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).build();
coverImmutableBean(test);
ImmutableFraConvention test2 = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).name("Test").currency(USD).spotDateOffset(PLUS_ONE_DAY).businessDayAdjustment(BDA_FOLLOW).paymentDateOffset(PLUS_TWO_DAYS).fixingDateOffset(MINUS_FIVE_DAYS).dayCount(ACT_360).discounting(FraDiscountingMethod.NONE).build();
coverBeanEquals(test, test2);
coverPrivateConstructor(typeof(FraConventions));
coverPrivateConstructor(typeof(FraConventionLookup));
}
public virtual void test_toTrade_dates_paymentOffset()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).paymentDateOffset(PLUS_TWO_DAYS).build();
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 5);
LocalDate endDate = date(2015, 11, 5);
LocalDate paymentDate = date(2015, 8, 7);
FraTrade test = @base.toTrade(tradeDate, startDate, endDate, paymentDate, BUY, NOTIONAL_2M, 0.25d);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2015, 8, 5)).endDate(date(2015, 11, 5)).paymentDate(AdjustableDate.of(paymentDate, PLUS_TWO_DAYS.Adjustment)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_builder_allSpecified()
{
ImmutableFraConvention test = ImmutableFraConvention.builder().name(GBP_LIBOR_3M.Name).index(GBP_LIBOR_3M).currency(GBP).spotDateOffset(PLUS_ONE_DAY).businessDayAdjustment(BDA_FOLLOW).paymentDateOffset(PLUS_TWO_DAYS).fixingDateOffset(MINUS_FIVE_DAYS).dayCount(ACT_360).discounting(FraDiscountingMethod.NONE).build();
assertEquals(test.Name, GBP_LIBOR_3M.Name);
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.Currency, GBP);
assertEquals(test.SpotDateOffset, PLUS_ONE_DAY);
assertEquals(test.BusinessDayAdjustment, BDA_FOLLOW);
assertEquals(test.PaymentDateOffset, PLUS_TWO_DAYS);
assertEquals(test.FixingDateOffset, MINUS_FIVE_DAYS);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.Discounting, FraDiscountingMethod.NONE);
}
//-------------------------------------------------------------------------
public virtual void test_builder_minSpecified()
{
ImmutableFraConvention test = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).build();
assertEquals(test.Name, GBP_LIBOR_3M.Name);
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.Currency, GBP);
assertEquals(test.SpotDateOffset, GBP_LIBOR_3M.EffectiveDateOffset);
assertEquals(test.BusinessDayAdjustment, BDA_MOD_FOLLOW);
assertEquals(test.PaymentDateOffset, DaysAdjustment.NONE);
assertEquals(test.FixingDateOffset, GBP_LIBOR_3M.FixingDateOffset);
assertEquals(test.DayCount, GBP_LIBOR_3M.DayCount);
assertEquals(test.Discounting, ISDA);
}
public virtual void test_serialization()
{
ImmutableFraConvention test = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).build();
assertSerialization(test);
}
//-------------------------------------------------------------------------
public virtual void test_builder_noIndex()
{
assertThrowsIllegalArg(() => ImmutableFraConvention.builder().spotDateOffset(NEXT_SAME_BUS_DAY).build());
}