Exemplo n.º 1
0
        //-------------------------------------------------------------------------
        public virtual void coverage()
        {
            CdsIndexIsdaCreditCurveNode test1 = CdsIndexIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01);

            coverImmutableBean(test1);
            CdsIndexIsdaCreditCurveNode test2 = CdsIndexIsdaCreditCurveNode.ofPointsUpfront(TenorCdsTemplate.of(TENOR_10Y, CdsConventions.EUR_GB_STANDARD), QuoteId.of(StandardId.of("OG-Ticker", "Cdx2")), StandardId.of("OG", "DEF"), ImmutableList.of(StandardId.of("OG", "DEF1"), StandardId.of("OG", "DEF2")), 0.01);

            QuoteId.of(StandardId.of("OG-Ticker", "Deposit2"));
            coverBeanEquals(test1, test2);
        }
Exemplo n.º 2
0
        public virtual void test_of_pointsUpfront()
        {
            CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.ofPointsUpfront(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01);

            assertEquals(test.Label, LABEL_AUTO);
            assertEquals(test.CdsIndexId, INDEX_ID);
            assertEquals(test.LegalEntityIds, LEGAL_ENTITIES);
            assertEquals(test.ObservableId, QUOTE_ID);
            assertEquals(test.Template, TEMPLATE);
            assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20));
        }