//-------------------------------------------------------------------------
public virtual void test_builder_ensureDefaults()
{
ResetSchedule test = ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build();
assertEquals(test.ResetFrequency, P1M);
assertEquals(test.BusinessDayAdjustment, BusinessDayAdjustment.of(FOLLOWING, GBLO));
assertEquals(test.ResetMethod, UNWEIGHTED);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResetSchedule test = ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build();
coverImmutableBean(test);
ResetSchedule test2 = ResetSchedule.builder().resetFrequency(P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)).resetMethod(WEIGHTED).build();
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
ResetSchedule test = ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build();
SchedulePeriod accrualPeriod = SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
Schedule schedule = test.createSchedule(DAY_5, REF_DATA).apply(accrualPeriod);
Schedule expected = Schedule.builder().periods(SchedulePeriod.of(DATE_01_06, DATE_02_05, DATE_01_05, DATE_02_05), SchedulePeriod.of(DATE_02_05, DATE_03_05, DATE_02_05, DATE_03_05), SchedulePeriod.of(DATE_03_05, DATE_04_07, DATE_03_05, DATE_04_05)).frequency(P1M).rollConvention(DAY_5).build();
assertEquals(schedule, expected);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ResetSchedule other = (ResetSchedule)obj;
return(JodaBeanUtils.equal(resetFrequency, other.resetFrequency) && JodaBeanUtils.equal(businessDayAdjustment, other.businessDayAdjustment) && JodaBeanUtils.equal(resetMethod, other.resetMethod));
}
return(false);
}
public virtual void test_serialization()
{
ResetSchedule test = ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build();
assertSerialization(test);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).build();
coverImmutableBean(test);
IborRateCalculation test2 = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_6M).resetPeriods(ResetSchedule.builder().resetFrequency(P3M).resetMethod(IborRateResetMethod.UNWEIGHTED).businessDayAdjustment(BusinessDayAdjustment.NONE).build()).fixingDateOffset(MINUS_THREE_DAYS).fixingRelativeTo(PERIOD_END).negativeRateMethod(NOT_NEGATIVE).firstRegularRate(0.028d).initialStub(IborRateStubCalculation.NONE).finalStub(IborRateStubCalculation.NONE).gearing(ValueSchedule.of(2d)).spread(ValueSchedule.of(-0.025d)).build();
coverBeanEquals(test, test2);
}
public virtual void test_expand_initialStubAndResetPeriods_weighted_firstFixed()
{
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_360).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstRegularRate(0.028d).initialStub(IborRateStubCalculation.ofFixedRate(0.030d)).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_02_05, DATE_04_07, DATE_02_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_360, schedule)).rateComputation(FixedRateComputation.of(0.030d)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06, 0.028d), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_360, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}
public virtual void test_expand_resetPeriods_weighted_firstFixingDateOffset()
{
// only the fixing date of the first reset period is changed, everything else stays the same
IborRateCalculation test = IborRateCalculation.builder().dayCount(ACT_365F).index(GBP_LIBOR_3M).fixingDateOffset(MINUS_TWO_DAYS).resetPeriods(ResetSchedule.builder().resetFrequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).resetMethod(WEIGHTED).build()).firstFixingDateOffset(MINUS_ONE_DAY).build();
SchedulePeriod accrual1 = SchedulePeriod.of(DATE_01_06, DATE_04_07, DATE_01_05, DATE_04_05);
SchedulePeriod accrual2 = SchedulePeriod.of(DATE_04_07, DATE_07_07, DATE_04_05, DATE_07_05);
Schedule schedule = Schedule.builder().periods(accrual1, accrual2).frequency(P3M).rollConvention(DAY_5).build();
IborIndexObservation obs1 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_01_03, REF_DATA);
IborIndexObservation obs2 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_02_03, REF_DATA);
IborIndexObservation obs3 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_03_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings1 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs1, DATE_01_06, DATE_02_05), IborAveragedFixing.ofDaysInResetPeriod(obs2, DATE_02_05, DATE_03_05), IborAveragedFixing.ofDaysInResetPeriod(obs3, DATE_03_05, DATE_04_07));
RateAccrualPeriod rap1 = RateAccrualPeriod.builder(accrual1).yearFraction(accrual1.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings1)).build();
IborIndexObservation obs4 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_04_03, REF_DATA);
IborIndexObservation obs5 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_05_01, REF_DATA);
IborIndexObservation obs6 = IborIndexObservation.of(GBP_LIBOR_3M, DATE_06_03, REF_DATA);
ImmutableList <IborAveragedFixing> fixings2 = ImmutableList.of(IborAveragedFixing.ofDaysInResetPeriod(obs4, DATE_04_07, DATE_05_06), IborAveragedFixing.ofDaysInResetPeriod(obs5, DATE_05_06, DATE_06_05), IborAveragedFixing.ofDaysInResetPeriod(obs6, DATE_06_05, DATE_07_07));
RateAccrualPeriod rap2 = RateAccrualPeriod.builder(accrual2).yearFraction(accrual2.yearFraction(ACT_365F, schedule)).rateComputation(IborAveragedRateComputation.of(fixings2)).build();
ImmutableList <RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA);
assertEquals(periods, ImmutableList.of(rap1, rap2));
}