private ResolvedSwap createUnderlyingSwap(LocalDate fixingDate)
{
FixedIborSwapConvention conv = INDEX.Template.Convention;
LocalDate effectiveDate = conv.calculateSpotDateFromTradeDate(fixingDate, REF_DATA);
LocalDate maturityDate = effectiveDate.plus(INDEX.Template.Tenor);
Swap swap = conv.toTrade(fixingDate, effectiveDate, maturityDate, BuySell.BUY, 1d, 1d).Product;
return(swap.resolve(REF_DATA));
}
public virtual void test_toTrade_dates()
{
FixedIborSwapConvention @base = ImmutableFixedIborSwapConvention.of(NAME, FIXED, IBOR);
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), IBOR.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
