//------------------------------------------------------------------------- /// <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)); }