public virtual void test_initialGuess_wrongType()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).build();
assertThrowsIllegalArg(() => node.initialGuess(marketData, ValueType.BLACK_VOLATILITY));
}
public virtual void test_trade_noMarketData()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
MarketData marketData = MarketData.empty(valuationDate);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
public virtual void test_of_withSpread()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
FixedInflationSwapCurveNode test2 = FixedInflationSwapCurveNode.of(FixedInflationSwapTemplate.of(TENOR_10Y, FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(VAL_DATE));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, VAL_DATE);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_builder()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.builder().label(LABEL).template(TEMPLATE).rateId(QUOTE_ID).additionalSpread(SPREAD).build();
assertEquals(test.Label, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.Date, CurveNodeDate.END);
}
public virtual void test_metadata_last_fixing()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate fixingExpected = LocalDate.of(2024, 10, 31); // Last day of the month
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, fixingExpected);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_end()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
// 2015-01-22 is Thursday, start is 2015-01-26, but 2025-01-26 is Sunday, so end is 2025-01-27
assertEquals(((TenorDateParameterMetadata)metadata).Date, LocalDate.of(2025, 1, 27));
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y);
}
public virtual void test_requirements()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
ISet <ObservableId> set = test.requirements();
IEnumerator <ObservableId> itr = set.GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertEquals(itr.next(), QUOTE_ID);
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
assertFalse(itr.hasNext());
}
public virtual void test_trade()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
double rate = 0.125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(tradeDate).addValue(QUOTE_ID, rate).build();
SwapTrade trade = node.trade(quantity, marketData, REF_DATA);
SwapTrade expected = TEMPLATE.createTrade(tradeDate, BUY, -quantity, rate + SPREAD, REF_DATA);
assertEquals(trade, expected);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FixedInflationSwapCurveNode other = (FixedInflationSwapCurveNode)obj;
return(JodaBeanUtils.equal(template, other.template) && JodaBeanUtils.equal(rateId, other.rateId) && JodaBeanUtils.equal(additionalSpread, other.additionalSpread) && JodaBeanUtils.equal(label, other.label) && JodaBeanUtils.equal(date_Renamed, other.date_Renamed) && JodaBeanUtils.equal(dateOrder, other.dateOrder));
}
return(false);
}
public virtual void test_initialGuess()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
double lastPriceIndex = 123.4;
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.builder().put(LocalDate.of(2024, 10, 31), lastPriceIndex).build();
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).addTimeSeries(IndexQuoteId.of(PriceIndices.EU_EXT_CPI), ts).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
double priceIndexGuess = lastPriceIndex * Math.Pow(1.0d + rate, TENOR_10Y.get(ChronoUnit.YEARS));
assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), priceIndexGuess, TOLERANCE_GUESS);
}
public virtual void test_serialization()
{
FixedInflationSwapCurveNode test = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
