public virtual void test_bbsw6m()
{
IborIndex test = IborIndex.of("AUD-BBSW-6M");
assertEquals(test.Currency, AUD);
assertEquals(test.Name, "AUD-BBSW-6M");
assertEquals(test.Tenor, TENOR_6M);
assertEquals(test.FixingCalendar, AUSY);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, AUSY));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, AUSY));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_6M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.ToString(), "AUD-BBSW-6M");
}
public virtual void test_zar_jibar()
{
IborIndex test = IborIndex.of("ZAR-JIBAR-3M");
assertEquals(test.Currency, ZAR);
assertEquals(test.Name, "ZAR-JIBAR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, ZAJO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, ZAJO)));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, ZAJO)));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, ZAJO)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "ZAR-JIBAR-3M");
}
public virtual void test_sek_stibor()
{
IborIndex test = IborIndex.of("SEK-STIBOR-3M");
assertEquals(test.Currency, SEK);
assertEquals(test.Name, "SEK-STIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, SEST);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, SEST));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, SEST));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SEST)));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, THIRTY_U_360);
assertEquals(test.ToString(), "SEK-STIBOR-3M");
}
public virtual void test_pln_wibor()
{
IborIndex test = IborIndex.of("PLN-WIBOR-3M");
assertEquals(test.Currency, PLN);
assertEquals(test.Name, "PLN-WIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, PLWA);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, PLWA));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, PLWA));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, PLWA)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_ACT_ISDA);
assertEquals(test.ToString(), "PLN-WIBOR-3M");
}
public virtual void test_mxn_tiie()
{
IborIndex test = IborIndex.of("MXN-TIIE-4W");
assertEquals(test.Currency, MXN);
assertEquals(test.Name, "MXN-TIIE-4W");
assertEquals(test.Tenor, TENOR_4W);
assertEquals(test.FixingCalendar, MXMC);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, MXMC));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, MXMC));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_4W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, MXMC)));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, ACT_360);
assertEquals(test.ToString(), "MXN-TIIE-4W");
}
public virtual void test_sgd_sibor()
{
HolidayCalendarId SGSI = HolidayCalendarId.of("SGSI");
IborIndex test = IborIndex.of("SGD-SIBOR-3M");
assertEquals(test.Currency, SGD);
assertEquals(test.Name, "SGD-SIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, SGSI);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, SGSI));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, SGSI));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SGSI)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "SGD-SIBOR-3M");
}
public virtual void test_tibor_euroyen3m()
{
IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M");
assertEquals(test.Currency, JPY);
assertEquals(test.Name, "JPY-TIBOR-EUROYEN-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, JPTO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, JPTO));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, JPTO));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO)));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.FloatingRateName, FloatingRateName.of("JPY-TIBOR-EUROYEN"));
assertEquals(test.ToString(), "JPY-TIBOR-EUROYEN-3M");
}
public virtual void test_euribor3m()
{
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.Currency, EUR);
assertEquals(test.Name, "EUR-EURIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, EUTA);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, EUTA));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, EUTA));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, THIRTY_U_360);
assertEquals(test.FloatingRateName, FloatingRateName.of("EUR-EURIBOR"));
assertEquals(test.ToString(), "EUR-EURIBOR-3M");
}
//-------------------------------------------------------------------------
public virtual void test_usdLibor3m()
{
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.Currency, USD);
assertEquals(test.Name, "USD-LIBOR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, GBLO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-2, GBLO));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combinedWith(USNY))));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combinedWith(USNY))));
assertEquals(test.DayCount, ACT_360);
assertEquals(test.DefaultFixedLegDayCount, ACT_360);
assertEquals(test.FloatingRateName, FloatingRateName.of("USD-LIBOR"));
assertEquals(test.ToString(), "USD-LIBOR-3M");
}
private static readonly HolidayCalendarId NZBD = HolidayCalendarId.of("NZBD"); // no constant for this
public virtual void test_gbpLibor3m()
{
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.Name, "GBP-LIBOR-3M");
assertEquals(test.Currency, GBP);
assertEquals(test.Active, true);
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, GBLO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO)));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.FloatingRateName, FloatingRateName.of("GBP-LIBOR"));
assertEquals(test.ToString(), "GBP-LIBOR-3M");
}
public virtual void test_krw_cd()
{
HolidayCalendarId KRSE = HolidayCalendarId.of("KRSE");
IborIndex test = IborIndex.of("KRW-CD-13W");
assertEquals(test.Currency, KRW);
assertEquals(test.Name, "KRW-CD-13W");
assertEquals(test.Tenor, TENOR_13W);
assertEquals(test.FixingCalendar, KRSE);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofBusinessDays(-1, KRSE));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofBusinessDays(1, KRSE));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_13W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, KRSE)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "KRW-CD-13W");
IborIndex test2 = IborIndex.of("KRW-CD-3M");
assertEquals(test2.Name, "KRW-CD-13W");
}
public virtual void test_serialization()
{
IborIndex index = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build();
assertSerialization(index);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableIborIndex index = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build();
coverImmutableBean(index);
coverPrivateConstructor(typeof(IborIndices));
}
//-------------------------------------------------------------------------
public virtual void test_equals()
{
ImmutableIborIndex a = ImmutableIborIndex.builder().name("Test-3M").currency(Currency.GBP).fixingCalendar(GBLO).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)).effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)).dayCount(ACT_360).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("Europe/London")).build();
IborIndex b = a.toBuilder().name("Rubbish-3M").build();
assertEquals(a.Equals(b), false);
}
public virtual void test_builder_NZD()
{
ImmutableIborIndex dummyIndex = ImmutableIborIndex.builder().name("NZD-INDEX-3M").currency(NZD).dayCount(ACT_360).fixingDateOffset(MINUS_TWO_DAYS).effectiveDateOffset(PLUS_TWO_DAYS).maturityDateOffset(TenorAdjustment.ofLastDay(TENOR_3M, BDA_MOD_FOLLOW)).fixingCalendar(SAT_SUN).fixingTime(LocalTime.NOON).fixingZone(ZoneId.of("NZ")).build();
Fra test = Fra.builder().buySell(BUY).notional(NOTIONAL_1M).startDate(date(2015, 6, 15)).endDate(date(2015, 9, 15)).paymentDate(AdjustableDate.of(date(2015, 6, 16))).fixedRate(FIXED_RATE).index(dummyIndex).fixingDateOffset(MINUS_TWO_DAYS).build();
assertEquals(test.BuySell, BUY);
assertEquals(test.Currency, NZD); // defaulted
assertEquals(test.Notional, NOTIONAL_1M, 0d);
assertEquals(test.StartDate, date(2015, 6, 15));
assertEquals(test.EndDate, date(2015, 9, 15));
assertEquals(test.BusinessDayAdjustment, null);
assertEquals(test.PaymentDate, AdjustableDate.of(date(2015, 6, 16)));
assertEquals(test.FixedRate, FIXED_RATE, 0d);
assertEquals(test.Index, dummyIndex);
assertEquals(test.IndexInterpolated, null);
assertEquals(test.FixingDateOffset, MINUS_TWO_DAYS);
assertEquals(test.DayCount, ACT_360); // defaulted
assertEquals(test.Discounting, AFMA); // defaulted
}