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));
}
/// <summary>
/// Creates an instance from an index, accrual period dates and rate cut-off.
/// <para>
/// Rate cut-off applies if the cut-off is 2 or greater.
/// A value of 0 or 1 should be used if no cut-off applies.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the first date of the accrual period </param>
/// <param name="endDate"> the last date of the accrual period </param>
/// <param name="rateCutOffDays"> the rate cut-off days offset, not negative or zero </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate computation </returns>
public static OvernightAveragedRateComputation of(OvernightIndex index, LocalDate startDate, LocalDate endDate, int rateCutOffDays, ReferenceData refData)
{
return(OvernightAveragedRateComputation.builder().index(index).fixingCalendar(index.FixingCalendar.resolve(refData)).startDate(index.calculateFixingFromEffective(startDate, refData)).endDate(index.calculateFixingFromEffective(endDate, refData)).rateCutOffDays(rateCutOffDays).build());
}
