//-------------------------------------------------------------------------
/// <summary>
/// Creates an {@code IborRateObservation} from an index and fixing date.
/// <para>
/// The reference data is used to find the maturity date from the fixing date.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="fixingDate"> the fixing date </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate observation </returns>
public static OvernightIndexObservation of(OvernightIndex index, LocalDate fixingDate, ReferenceData refData)
{
LocalDate publicationDate = index.calculatePublicationFromFixing(fixingDate, refData);
LocalDate effectiveDate = index.calculateEffectiveFromFixing(fixingDate, refData);
LocalDate maturityDate = index.calculateMaturityFromEffective(effectiveDate, refData);
return(OvernightIndexObservation.builder().index(index).fixingDate(fixingDate).publicationDate(publicationDate).effectiveDate(effectiveDate).maturityDate(maturityDate).yearFraction(index.DayCount.yearFraction(effectiveDate, maturityDate)).build());
}
public virtual void test_usdFedFund_dates()
{
OvernightIndex test = OvernightIndex.of("USD-FED-FUND");
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
// weekend and US holiday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
// input date is Sunday, 13th is US holiday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
}
public virtual void test_gbpSonia_dates()
{
OvernightIndex test = OvernightIndex.of("GBP-SONIA");
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 14));
// weekend
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 13));
// input date is Sunday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
}
