public virtual void test_trade_noMarketData()
{
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
public virtual void test_of_withSpreadAndLabel()
{
ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.Label, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_of_noSpread()
{
ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, 0.0d);
assertEquals(test.Template, TEMPLATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
ThreeLegBasisSwapCurveNode test2 = ThreeLegBasisSwapCurveNode.of(TEMPLATE2, QUOTE_ID2, 0.1);
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(nodeDate));
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, nodeDate);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_end()
{
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, LocalDate.of(2025, 1, 27));
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y);
}
public virtual void test_builder()
{
ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.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()
{
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate fixingExpected = LocalDate.of(2024, 7, 24);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, fixingExpected);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_initialGuess()
{
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 0d);
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), 1.0d);
}
public virtual void test_trade()
{
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
SwapTrade trade = node.trade(quantity, marketData, REF_DATA);
SwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BUY, -quantity, rate + SPREAD, REF_DATA);
assertEquals(trade, expected);
}
public virtual void test_requirements()
{
ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.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 override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ThreeLegBasisSwapCurveNode other = (ThreeLegBasisSwapCurveNode)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_serialization()
{
ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}