public virtual void test_trade_noMarketData()
{
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
public virtual void test_initialGuess()
{
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
assertEquals(node.initialGuess(MARKET_DATA, ValueType.ZERO_RATE), 0d);
assertEquals(node.initialGuess(MARKET_DATA, ValueType.DISCOUNT_FACTOR), 1.0d);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
coverImmutableBean(test);
XCcyIborIborSwapCurveNode test2 = XCcyIborIborSwapCurveNode.builder().label(LABEL).template(TEMPLATE2).fxRateId(FX_RATE_ID2).spreadId(SPREAD_ID2).additionalSpread(0.1).date(CurveNodeDate.LAST_FIXING).build();
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ, LABEL).withDate(CurveNodeDate.of(nodeDate));
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, nodeDate);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_of_withSpreadAndLabel()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ, LABEL);
assertEquals(test.Label, LABEL);
assertEquals(test.SpreadId, SPREAD_ID);
assertEquals(test.AdditionalSpread, SPREAD_ADJ);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_of_noSpread()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.SpreadId, SPREAD_ID);
assertEquals(test.AdditionalSpread, 0.0d);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_builder_defaults()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.builder().template(TEMPLATE).spreadId(SPREAD_ID).build();
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.FxRateId, FX_RATE_ID);
assertEquals(test.SpreadId, SPREAD_ID);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.Date, CurveNodeDate.END);
}
public virtual void test_metadata_last_fixing()
{
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
LocalDate fixingExpected = LocalDate.of(2024, 10, 24);
assertEquals(metadata.Date, fixingExpected);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_10Y);
}
public virtual void test_metadata_end()
{
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
// 2015-01-22 is Thursday, start is 2015-01-26, but 2025-01-26 is Sunday, so end is 2025-01-27
assertEquals(((TenorDateParameterMetadata)metadata).Date, LocalDate.of(2025, 1, 27));
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y);
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.builder().label(LABEL).template(TEMPLATE).fxRateId(FX_RATE_ID2).spreadId(SPREAD_ID).additionalSpread(SPREAD_ADJ).build();
assertEquals(test.Label, LABEL);
assertEquals(test.FxRateId, FX_RATE_ID2);
assertEquals(test.SpreadId, SPREAD_ID);
assertEquals(test.AdditionalSpread, SPREAD_ADJ);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.Date, CurveNodeDate.END);
}
public virtual void test_trade()
{
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
double quantity = -1234.56;
SwapTrade trade = node.trade(quantity, MARKET_DATA, REF_DATA);
double rate = FX_EUR_USD.fxRate(Currency.EUR, Currency.USD);
SwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BUY, -quantity, rate, SPREAD_XCS + SPREAD_ADJ, REF_DATA);
assertEquals(trade, expected);
assertEquals(node.resolvedTrade(quantity, MARKET_DATA, REF_DATA), trade.resolve(REF_DATA));
}
public virtual void test_requirements()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<? extends com.opengamma.strata.data.MarketDataId<?>> setExpected = com.google.common.collect.ImmutableSet.of(SPREAD_ID, FX_RATE_ID);
ISet <MarketDataId <object> > setExpected = ImmutableSet.of(SPREAD_ID, FX_RATE_ID);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<? extends com.opengamma.strata.data.MarketDataId<?>> set = test.requirements();
ISet <MarketDataId <object> > set = test.requirements();
assertTrue(set.SetEquals(setExpected));
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
XCcyIborIborSwapCurveNode other = (XCcyIborIborSwapCurveNode)obj;
return(JodaBeanUtils.equal(template, other.template) && JodaBeanUtils.equal(fxRateId, other.fxRateId) && JodaBeanUtils.equal(spreadId, other.spreadId) && JodaBeanUtils.equal(additionalSpread, other.additionalSpread) && JodaBeanUtils.equal(label, other.label) && JodaBeanUtils.equal(date_Renamed, other.date_Renamed) && JodaBeanUtils.equal(dateOrder, other.dateOrder));
}
return(false);
}
public virtual void test_serialization()
{
XCcyIborIborSwapCurveNode test = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ);
assertSerialization(test);
}
public virtual void test_builder_noTemplate()
{
assertThrowsIllegalArg(() => XCcyIborIborSwapCurveNode.builder().label(LABEL).spreadId(SPREAD_ID).build());
}