//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
IborFutureTemplate @base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
double quantity = 3;
double price = 0.99;
double notional = 100.0;
SecurityId secId = SecurityId.of("OG-Future", "GBP-LIBOR-3M-Jun16");
IborFutureTrade trade = @base.createTrade(date, secId, quantity, notional, price, REF_DATA);
IborFutureTrade expected = CONVENTION.createTrade(date, secId, YEAR_MONTH, quantity, notional, price, REF_DATA);
assertEquals(trade, expected);
}
public virtual void test_toTrade()
{
LocalDate date = LocalDate.of(2015, 10, 20);
Period start = Period.ofMonths(2);
int number = 2; // Future should be 20 Dec 15 + 2 IMM = effective 15-Jun-2016, fixing 13-Jun-2016
IborFutureConvention convention = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
double quantity = 3;
double price = 0.99;
SecurityId secId = SecurityId.of("OG-Future", "GBP-LIBOR-3M-Jun16");
IborFutureTrade trade = convention.createTrade(date, secId, start, number, quantity, NOTIONAL_1M, price, REF_DATA);
assertEquals(trade.Product.FixingDate, LocalDate.of(2016, 6, 13));
assertEquals(trade.Product.Index, USD_LIBOR_3M);
assertEquals(trade.Product.Notional, NOTIONAL_1M);
assertEquals(trade.Product.AccrualFactor, 0.25);
assertEquals(trade.Quantity, quantity);
assertEquals(trade.Price, price);
}
