public virtual void test_resolve()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
ResolvedCdsIndex test = PRODUCT.resolve(REF_DATA);
int nDates = 44;
LocalDate[] dates = new LocalDate[nDates];
for (int i = 0; i < nDates; ++i)
{
dates[i] = START_DATE.plusMonths(3 * i);
}
IList <CreditCouponPaymentPeriod> payments = new List <CreditCouponPaymentPeriod>(nDates - 1);
for (int i = 0; i < nDates - 2; ++i)
{
LocalDate start = i == 0 ? dates[i] : bussAdj.adjust(dates[i], REF_DATA);
LocalDate end = bussAdj.adjust(dates[i + 1], REF_DATA);
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end).unadjustedStartDate(dates[i]).unadjustedEndDate(dates[i + 1]).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end.minusDays(1)).paymentDate(end).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end)).build());
}
LocalDate start = bussAdj.adjust(dates[nDates - 2], REF_DATA);
LocalDate end = dates[nDates - 1];
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end.plusDays(1)).unadjustedStartDate(dates[nDates - 2]).unadjustedEndDate(end).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end).paymentDate(bussAdj.adjust(end, REF_DATA)).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end.plusDays(1))).build());
ResolvedCdsIndex expected = ResolvedCdsIndex.builder().buySell(BUY).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).dayCount(ACT_360).paymentOnDefault(ACCRUED_PREMIUM).paymentPeriods(payments).protectionStart(BEGINNING).protectionEndDate(END_DATE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
public virtual void test_totoSingleNameCds()
{
ResolvedCdsIndex @base = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
ResolvedCds test = @base.toSingleNameCds();
ResolvedCds expected = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(INDEX_ID).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsIndex test1 = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
coverImmutableBean(test1);
ResolvedCdsIndex test2 = ResolvedCdsIndex.builder().buySell(BuySell.SELL).dayCount(DayCounts.ACT_365F).cdsIndexId(StandardId.of("OG", "AA-INDEX")).legalEntityIds(ImmutableList.of(StandardId.of("OG", "ABC1"), StandardId.of("OG", "ABC2"))).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).paymentPeriods(PAYMENTS[0]).protectionEndDate(PAYMENTS[0].EffectiveEndDate).settlementDateOffset(DaysAdjustment.NONE).stepinDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(test1, test2);
}
public virtual void test_effectiveStartDate()
{
ResolvedCdsIndex test1 = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
LocalDate date1 = LocalDate.of(2016, 3, 22);
assertEquals(test1.calculateEffectiveStartDate(date1), date1.minusDays(1));
LocalDate date2 = LocalDate.of(2013, 9, 22);
assertEquals(test1.calculateEffectiveStartDate(date2), START_DATE.minusDays(1));
ResolvedCdsIndex test2 = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.NONE).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
LocalDate date3 = LocalDate.of(2016, 3, 22);
assertEquals(test2.calculateEffectiveStartDate(date3), date3);
LocalDate date4 = LocalDate.of(2013, 9, 22);
assertEquals(test2.calculateEffectiveStartDate(date4), START_DATE);
}
public virtual void test_builder()
{
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test.BuySell, BUY);
assertEquals(test.Currency, USD);
assertEquals(test.AccrualStartDate, PAYMENTS[0].StartDate);
assertEquals(test.AccrualEndDate, PAYMENTS[42].EndDate);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.CdsIndexId, INDEX_ID);
assertEquals(test.LegalEntityIds, LEGAL_ENTITIES);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentOnDefault, ACCRUED_PREMIUM);
assertEquals(test.PaymentPeriods, PAYMENTS);
assertEquals(test.ProtectionEndDate, PAYMENTS[42].EffectiveEndDate);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.ProtectionStart, BEGINNING);
assertEquals(test.StepinDateOffset, STEPIN_DAY_ADJ);
}
public virtual void test_accruedYearFraction()
{
double eps = 1.0e-15;
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
double accStart = test.accruedYearFraction(START_DATE.minusDays(1));
double accNextMinusOne = test.accruedYearFraction(START_DATE.plusMonths(3).minusDays(1));
double accNext = test.accruedYearFraction(START_DATE.plusMonths(3));
double accNextOne = test.accruedYearFraction(START_DATE.plusMonths(3).plusDays(1));
double accMod = test.accruedYearFraction(START_DATE.plusYears(1));
double accEnd = test.accruedYearFraction(END_DATE);
double accEndOne = test.accruedYearFraction(END_DATE.plusDays(1));
assertEquals(accStart, 0d);
assertEquals(accNext, 0d);
assertEquals(accNextMinusOne, ACT_360.relativeYearFraction(START_DATE, START_DATE.plusMonths(3).minusDays(1)), eps);
assertEquals(accNextOne, 1d / 360d, eps);
// 2.x
assertEquals(accMod, 0.24722222222222223, eps);
assertEquals(accEnd, 0.25555555555555554, eps);
assertEquals(accEndOne, 0.25833333333333336, eps);
}
public virtual void test_serialization()
{
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertSerialization(test);
}
