public virtual void test_of_null() { assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborRate(null)); assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(null, GBP_LIBOR_3M)); assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, null)); assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(null, null)); }
public virtual void test_ofIborInterpolatedRate() { IborRateStubCalculation test = IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1M, GBP_LIBOR_3M); assertEquals(test.FixedRate, double?.empty()); assertEquals(test.Index, GBP_LIBOR_1M); assertEquals(test.IndexInterpolated, GBP_LIBOR_3M); assertEquals(test.FixedRate, false); assertEquals(test.KnownAmount, false); assertEquals(test.FloatingRate, true); assertEquals(test.Interpolated, true); }
//------------------------------------------------------------------------- public virtual void coverage() { IborRateStubCalculation test = IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1M, GBP_LIBOR_3M); coverImmutableBean(test); IborRateStubCalculation test2 = IborRateStubCalculation.ofFixedRate(0.028d); coverBeanEquals(test, test2); IborRateStubCalculation test3 = IborRateStubCalculation.ofKnownAmount(GBP_P1000); coverBeanEquals(test, test3); }
public virtual void test_ofIborInterpolatedRate_invalid_interpolatedSameIndex() { assertThrowsIllegalArg(() => IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, GBP_LIBOR_3M)); }
public virtual void test_expand_singlePeriod_stubCalcsInitialStub_interpolated() { IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_2M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)).build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB).yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)).rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)).build(); ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(SINGLE_ACCRUAL_SCHEDULE_STUB, SINGLE_ACCRUAL_SCHEDULE_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1)); }
public virtual void test_collectIndices_stubCalcsTwoStubs_interpolated() { IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_1M).fixingDateOffset(MINUS_TWO_DAYS).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)).finalStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_3M, GBP_LIBOR_1M)).build(); ImmutableSet.Builder <Index> builder = ImmutableSet.builder(); test.collectIndices(builder); assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_1W, GBP_LIBOR_3M)); }