//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_extendedEnum(ThreeLegBasisSwapConvention convention, String name)
public virtual void test_extendedEnum(ThreeLegBasisSwapConvention convention, string name)
{
ThreeLegBasisSwapConvention.of(name); // ensures map is populated
ImmutableMap <string, ThreeLegBasisSwapConvention> map = ThreeLegBasisSwapConvention.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "stubIbor") public void test_stub_ibor(ThreeLegBasisSwapConvention convention, com.opengamma.strata.basics.date.Tenor tenor)
public virtual void test_stub_ibor(ThreeLegBasisSwapConvention convention, Tenor tenor)
{
LocalDate tradeDate = LocalDate.of(2015, 10, 20);
SwapTrade swap = convention.createTrade(tradeDate, tenor, BuySell.BUY, 1, 0.01, REF_DATA);
ResolvedSwap swapResolved = swap.Product.resolve(REF_DATA);
LocalDate endDate = swapResolved.getLeg(PayReceive.PAY).get().EndDate;
assertTrue(endDate.isAfter(tradeDate.plus(tenor).minusMonths(1)));
assertTrue(endDate.isBefore(tradeDate.plus(tenor).plusMonths(1)));
}
private ThreeLegBasisSwapTemplate(Period periodToStart, Tenor tenor, ThreeLegBasisSwapConvention convention)
{
JodaBeanUtils.notNull(periodToStart, "periodToStart");
JodaBeanUtils.notNull(tenor, "tenor");
JodaBeanUtils.notNull(convention, "convention");
this.periodToStart = periodToStart;
this.tenor = tenor;
this.convention = convention;
validate();
}
public virtual void test_toTrade_dates()
{
ThreeLegBasisSwapConvention @base = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 5);
LocalDate endDate = date(2015, 11, 5);
SwapTrade test = @base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M), IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_toTrade_periodTenor()
{
ThreeLegBasisSwapConvention @base = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 7);
LocalDate endDate = date(2025, 8, 7);
SwapTrade test = @base.createTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M), IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
private static CurveNode curveThreeLegBasisCurveNode(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 Three legs basis swap: {}", timeStr));
}
Period periodToEnd = Period.parse("P" + matcher.group(1));
ThreeLegBasisSwapConvention convention = ThreeLegBasisSwapConvention.of(conventionStr);
ThreeLegBasisSwapTemplate template = ThreeLegBasisSwapTemplate.of(Tenor.of(periodToEnd), convention);
return(ThreeLegBasisSwapCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -574688858: // periodToStart
this.periodToStart_Renamed = (Period)newValue;
break;
case 110246592: // tenor
this.tenor_Renamed = (Tenor)newValue;
break;
case 2039569265: // convention
this.convention_Renamed = (ThreeLegBasisSwapConvention)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ThreeLegBasisSwapTemplate beanToCopy)
{
this.periodToStart_Renamed = beanToCopy.PeriodToStart;
this.tenor_Renamed = beanToCopy.Tenor;
this.convention_Renamed = beanToCopy.Convention;
}
/// <summary>
/// Creates a template based on the specified period, tenor and convention.
/// <para>
/// The period from the spot date to the start date is specified.
///
/// </para>
/// </summary>
/// <param name="periodToStart"> the period between the spot date and the start date </param>
/// <param name="tenor"> the tenor of the swap </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static ThreeLegBasisSwapTemplate of(Period periodToStart, Tenor tenor, ThreeLegBasisSwapConvention convention)
{
return(ThreeLegBasisSwapTemplate.builder().periodToStart(periodToStart).tenor(tenor).convention(convention).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_name(ThreeLegBasisSwapConvention convention, String name)
public virtual void test_name(ThreeLegBasisSwapConvention convention, string name)
{
assertEquals(convention.Name, name);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "period") public void test_period(ThreeLegBasisSwapConvention convention, com.opengamma.strata.basics.schedule.Frequency frequency)
public virtual void test_period(ThreeLegBasisSwapConvention convention, Frequency frequency)
{
assertEquals(convention.SpreadFloatingLeg.PaymentFrequency, frequency);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "dayCount") public void test_composition(ThreeLegBasisSwapConvention convention, com.opengamma.strata.product.swap.CompoundingMethod comp)
public virtual void test_composition(ThreeLegBasisSwapConvention convention, CompoundingMethod comp)
{
assertEquals(convention.SpreadLeg.CompoundingMethod, comp);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "dayConvention") public void test_day_convention(ThreeLegBasisSwapConvention convention, com.opengamma.strata.basics.date.BusinessDayConvention dayConvention)
public virtual void test_day_convention(ThreeLegBasisSwapConvention convention, BusinessDayConvention dayConvention)
{
assertEquals(convention.SpreadLeg.AccrualBusinessDayAdjustment.Convention, dayConvention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_toString(ThreeLegBasisSwapConvention convention, String name)
public virtual void test_toString(ThreeLegBasisSwapConvention convention, string name)
{
assertEquals(convention.ToString(), name);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_of_lookup(ThreeLegBasisSwapConvention convention, String name)
public virtual void test_of_lookup(ThreeLegBasisSwapConvention convention, string name)
{
assertEquals(ThreeLegBasisSwapConvention.of(name), convention);
}
/// <summary>
/// Sets the market convention of the swap. </summary>
/// <param name="convention"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder convention(ThreeLegBasisSwapConvention convention)
{
JodaBeanUtils.notNull(convention, "convention");
this.convention_Renamed = convention;
return(this);
}
public virtual void test_serialization()
{
ThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
assertSerialization(test);
}
public virtual void test_of_lookup_null()
{
assertThrowsIllegalArg(() => ThreeLegBasisSwapConvention.of((string)null));
}
public virtual void test_of_lookup_notFound()
{
assertThrowsIllegalArg(() => ThreeLegBasisSwapConvention.of("Rubbish"));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a template based on the specified tenor and convention.
/// <para>
/// The swap will start on the spot date.
///
/// </para>
/// </summary>
/// <param name="tenor"> the tenor of the swap </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static ThreeLegBasisSwapTemplate of(Tenor tenor, ThreeLegBasisSwapConvention convention)
{
return(of(Period.ZERO, tenor, convention));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "flatFloatingLeg") public void test_flat_floating_leg(ThreeLegBasisSwapConvention convention, com.opengamma.strata.basics.index.IborIndex index)
public virtual void test_flat_floating_leg(ThreeLegBasisSwapConvention convention, IborIndex index)
{
assertEquals(convention.FlatFloatingLeg.Index, index);
}
