//-------------------------------------------------------------------------
public virtual void test_collectIndices()
{
KnownAmountSwapLeg test = KnownAmountSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build()).amount(ValueSchedule.of(123d)).currency(GBP).build();
ImmutableSet.Builder <Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of());
assertEquals(test.allIndices(), ImmutableSet.of());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
KnownAmountSwapLeg test = KnownAmountSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).amount(ValueSchedule.of(123d)).currency(GBP).build();
coverImmutableBean(test);
KnownAmountSwapLeg test2 = KnownAmountSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_02_05).endDate(DATE_03_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_THREE_DAYS).build()).amount(ValueSchedule.of(2000d)).currency(EUR).build();
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_resolve()
{
// test case
KnownAmountSwapLeg test = KnownAmountSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(PLUS_TWO_DAYS).build()).amount(ValueSchedule.builder().initialValue(123d).steps(ValueStep.of(1, ValueAdjustment.ofReplace(234d))).build()).currency(GBP).build();
// expected
KnownAmountSwapPaymentPeriod rpp1 = KnownAmountSwapPaymentPeriod.builder().payment(Payment.ofPay(CurrencyAmount.of(GBP, 123d), DATE_02_07)).startDate(DATE_01_06).endDate(DATE_02_05).unadjustedStartDate(DATE_01_05).build();
KnownAmountSwapPaymentPeriod rpp2 = KnownAmountSwapPaymentPeriod.builder().payment(Payment.ofPay(CurrencyAmount.of(GBP, 234d), DATE_03_07)).startDate(DATE_02_05).endDate(DATE_03_05).build();
KnownAmountSwapPaymentPeriod rpp3 = KnownAmountSwapPaymentPeriod.builder().payment(Payment.ofPay(CurrencyAmount.of(GBP, 234d), DATE_04_09)).startDate(DATE_03_05).endDate(DATE_04_07).unadjustedEndDate(DATE_04_05).build();
// assertion
assertEquals(test.resolve(REF_DATA), ResolvedSwapLeg.builder().type(FIXED).payReceive(PAY).paymentPeriods(rpp1, rpp2, rpp3).build());
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, GBLO);
PeriodicSchedule accrualSchedule = PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(bda).build();
PaymentSchedule paymentSchedule = PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build();
ValueSchedule amountSchedule = ValueSchedule.of(123d);
KnownAmountSwapLeg test = KnownAmountSwapLeg.builder().payReceive(PAY).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).amount(amountSchedule).currency(GBP).build();
assertEquals(test.PayReceive, PAY);
assertEquals(test.StartDate, AdjustableDate.of(DATE_01_05, bda));
assertEquals(test.EndDate, AdjustableDate.of(DATE_04_05, bda));
assertEquals(test.AccrualSchedule, accrualSchedule);
assertEquals(test.PaymentSchedule, paymentSchedule);
assertEquals(test.Amount, amountSchedule);
assertEquals(test.Currency, GBP);
assertEquals(test.allCurrencies(), ImmutableSet.of(GBP));
}
public virtual void test_summarize_knownAmountVarying()
{
Swap test = Swap.of(KnownAmountSwapLeg.builder().accrualSchedule(PeriodicSchedule.of(date(2018, 2, 12), date(2020, 2, 12), Frequency.P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, false)).amount(ValueSchedule.builder().initialValue(145_000).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(-20_000))).build()).currency(GBP).payReceive(PAY).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).build());
assertEquals(test.summaryDescription(), "2Y Pay GBP 145k variable : 12Feb18-12Feb20");
}
public virtual void test_serialization()
{
KnownAmountSwapLeg test = KnownAmountSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(DATE_01_05).endDate(DATE_04_05).frequency(P1M).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P1M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).build()).amount(ValueSchedule.of(123d)).currency(GBP).build();
assertSerialization(test);
}
