public virtual void test_zar_jibar()
{
IborIndex test = IborIndex.of("ZAR-JIBAR-3M");
assertEquals(test.Currency, ZAR);
assertEquals(test.Name, "ZAR-JIBAR-3M");
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, ZAJO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, ZAJO)));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, ZAJO)));
assertEquals(test.MaturityDateOffset, TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, ZAJO)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.ToString(), "ZAR-JIBAR-3M");
}
private static readonly HolidayCalendarId NZBD = HolidayCalendarId.of("NZBD"); // no constant for this
public virtual void test_gbpLibor3m()
{
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.Name, "GBP-LIBOR-3M");
assertEquals(test.Currency, GBP);
assertEquals(test.Active, true);
assertEquals(test.Tenor, TENOR_3M);
assertEquals(test.FixingCalendar, GBLO);
assertEquals(test.FixingDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
assertEquals(test.EffectiveDateOffset, DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO)));
assertEquals(test.MaturityDateOffset, TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)));
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.DefaultFixedLegDayCount, ACT_365F);
assertEquals(test.FloatingRateName, FloatingRateName.of("GBP-LIBOR"));
assertEquals(test.ToString(), "GBP-LIBOR-3M");
}
public virtual void test_builder()
{
ImmutableCdsConvention test = ImmutableCdsConvention.builder().businessDayAdjustment(BUSI_ADJ).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BUSI_ADJ).currency(GBP).dayCount(ACT_365F).name(NAME).paymentFrequency(P6M).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).rollConvention(RollConventions.NONE).settlementDateOffset(DaysAdjustment.ofCalendarDays(7)).stepinDateOffset(DaysAdjustment.NONE).stubConvention(StubConvention.LONG_INITIAL).build();
assertEquals(test.BusinessDayAdjustment, BUSI_ADJ);
assertEquals(test.StartDateBusinessDayAdjustment, BusinessDayAdjustment.NONE);
assertEquals(test.EndDateBusinessDayAdjustment, BUSI_ADJ);
assertEquals(test.Currency, GBP);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.Name, NAME);
assertEquals(test.PaymentFrequency, P6M);
assertEquals(test.PaymentOnDefault, PaymentOnDefault.NONE);
assertEquals(test.ProtectionStart, ProtectionStartOfDay.NONE);
assertEquals(test.RollConvention, RollConventions.NONE);
assertEquals(test.SettlementDateOffset, DaysAdjustment.ofCalendarDays(7));
assertEquals(test.StepinDateOffset, DaysAdjustment.NONE);
assertEquals(test.StubConvention, StubConvention.LONG_INITIAL);
}
public virtual void test_of()
{
ImmutableCdsConvention test = ImmutableCdsConvention.of(NAME, GBP, ACT_365F, P3M, BUSI_ADJ, SETTLE_DAY_ADJ);
assertEquals(test.BusinessDayAdjustment, BUSI_ADJ);
assertEquals(test.StartDateBusinessDayAdjustment, BUSI_ADJ);
assertEquals(test.EndDateBusinessDayAdjustment, BusinessDayAdjustment.NONE);
assertEquals(test.Currency, GBP);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.Name, NAME);
assertEquals(test.PaymentFrequency, P3M);
assertEquals(test.PaymentOnDefault, PaymentOnDefault.ACCRUED_PREMIUM);
assertEquals(test.ProtectionStart, ProtectionStartOfDay.BEGINNING);
assertEquals(test.RollConvention, RollConventions.DAY_20);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.StepinDateOffset, DaysAdjustment.ofCalendarDays(1));
assertEquals(test.StubConvention, StubConvention.SMART_INITIAL);
}
private Trade parseNdf(FpmlDocument document, XmlElement fxEl, XmlElement ndfEl, CurrencyAmount curr1Amount, CurrencyAmount curr2Amount, LocalDate valueDate, TradeInfoBuilder tradeInfoBuilder)
{
// rate
XmlElement rateEl = fxEl.getChild("exchangeRate");
double rate = document.parseDecimal(rateEl.getChild("rate"));
XmlElement pairEl = rateEl.getChild("quotedCurrencyPair");
Currency curr1 = document.parseCurrency(pairEl.getChild("currency1"));
Currency curr2 = document.parseCurrency(pairEl.getChild("currency2"));
string basis = pairEl.getChild("quoteBasis").Content;
FxRate fxRate;
if ("Currency2PerCurrency1".Equals(basis))
{
fxRate = FxRate.of(curr1, curr2, rate);
}
else if ("Currency1PerCurrency2".Equals(basis))
{
fxRate = FxRate.of(curr2, curr1, rate);
}
else
{
throw new FpmlParseException("Unknown quote basis: " + basis);
}
// settlement currency
Currency settleCurr = document.parseCurrency(ndfEl.getChild("settlementCurrency"));
CurrencyAmount settleCurrAmount = curr1Amount.Currency.Equals(settleCurr) ? curr1Amount : curr2Amount;
// index
XmlElement fixingEl = ndfEl.getChild("fixing"); // only support one of these in pricing model
LocalDate fixingDate = document.parseDate(fixingEl.getChild("fixingDate"));
DaysAdjustment offset = DaysAdjustment.ofCalendarDays(Math.toIntExact(valueDate.until(fixingDate, DAYS)));
XmlElement sourceEl = fixingEl.getChild("fxSpotRateSource"); // required for our model
XmlElement primarySourceEl = sourceEl.getChild("primaryRateSource");
string primarySource = primarySourceEl.getChild("rateSource").Content;
string primaryPage = primarySourceEl.findChild("rateSourcePage").map(e => e.Content).orElse("");
LocalTime time = document.parseTime(sourceEl.getChild("fixingTime").getChild("hourMinuteTime")); // required for our model
HolidayCalendarId calendar = document.parseBusinessCenter(sourceEl.getChild("fixingTime").getChild("businessCenter"));
FxIndex index = ImmutableFxIndex.builder().name(primarySource + "/" + primaryPage + "/" + time).currencyPair(CurrencyPair.of(curr1, curr2)).fixingCalendar(calendar).maturityDateOffset(offset).build();
return(FxNdfTrade.builder().info(tradeInfoBuilder.build()).product(FxNdf.builder().settlementCurrencyNotional(settleCurrAmount).agreedFxRate(fxRate).index(index).paymentDate(valueDate).build()).build());
}
public virtual void test_createTrade_periods_adjust()
{
FraConvention @base = ImmutableFraConvention.builder().index(GBP_LIBOR_3M).spotDateOffset(NEXT_SAME_BUS_DAY).paymentDateOffset(DaysAdjustment.ofCalendarDays(0, BDA_FOLLOW)).build();
LocalDate tradeDate = LocalDate.of(2016, 8, 11);
FraTrade test = @base.createTrade(tradeDate, Period.ofMonths(1), Period.ofMonths(4), BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Fra expected = Fra.builder().buySell(BUY).notional(NOTIONAL_2M).startDate(date(2016, 9, 12)).endDate(date(2016, 12, 12)).paymentDate(AdjustableDate.of(date(2016, 9, 12), BDA_FOLLOW)).fixedRate(0.25d).index(GBP_LIBOR_3M).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_dates()
{
FxIndex test = ImmutableFxIndex.builder().name("Test").currencyPair(CurrencyPair.of(EUR, GBP)).fixingCalendar(NO_HOLIDAYS).maturityDateOffset(DaysAdjustment.ofCalendarDays(2)).build();
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 15), REF_DATA), date(2014, 10, 13));
// weekend
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 16), REF_DATA), date(2014, 10, 18));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 18), REF_DATA), date(2014, 10, 16));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 17), REF_DATA), date(2014, 10, 19));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17));
// input date is Sunday
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 19), REF_DATA), date(2014, 10, 21));
assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableCdsConvention test1 = ImmutableCdsConvention.of(NAME, GBP, ACT_360, P3M, BUSI_ADJ_STD, SETTLE_DAY_ADJ_STD);
coverImmutableBean(test1);
ImmutableCdsConvention test2 = ImmutableCdsConvention.builder().businessDayAdjustment(BUSI_ADJ).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BUSI_ADJ).currency(USD).dayCount(ACT_365F).name("another").paymentFrequency(P6M).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).rollConvention(RollConventions.NONE).settlementDateOffset(DaysAdjustment.ofCalendarDays(7)).stepinDateOffset(DaysAdjustment.NONE).stubConvention(StubConvention.LONG_INITIAL).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void test_cibor()
{
assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").DefaultTenor, Tenor.TENOR_3M);
assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toFloatingRateIndex(), IborIndices.DKK_CIBOR_3M);
assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toFloatingRateIndex(Tenor.TENOR_1M), IborIndices.DKK_CIBOR_1M);
assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toIborIndex(Tenor.TENOR_6M), IborIndices.DKK_CIBOR_6M);
assertEquals(FloatingRateName.of("DKK-CIBOR2-DKNA13").toIborIndex(Tenor.TENOR_6M), IborIndices.DKK_CIBOR_6M);
assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toIborIndexFixingOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, DKCO)));
assertEquals(FloatingRateName.of("DKK-CIBOR2-DKNA13").toIborIndexFixingOffset(), DaysAdjustment.ofBusinessDays(-2, DKCO));
}
//-------------------------------------------------------------------------
public virtual void test_iborIndex_tenor()
{
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").DefaultTenor, Tenor.TENOR_3M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toFloatingRateIndex(), IborIndices.GBP_LIBOR_3M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toFloatingRateIndex(Tenor.TENOR_1M), IborIndices.GBP_LIBOR_1M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndex(Tenor.TENOR_6M), IborIndices.GBP_LIBOR_6M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndex(Tenor.TENOR_12M), IborIndices.GBP_LIBOR_12M);
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndex(Tenor.TENOR_1Y), IborIndices.GBP_LIBOR_12M);
assertThrows(() => FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").toIborIndex(Tenor.TENOR_6M), typeof(System.InvalidOperationException));
assertEquals(ImmutableList.copyOf(FloatingRateName.of("GBP-LIBOR-BBA").Tenors), ImmutableList.of(Tenor.TENOR_1W, Tenor.TENOR_1M, Tenor.TENOR_2M, Tenor.TENOR_3M, Tenor.TENOR_6M, Tenor.TENOR_12M));
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").toIborIndexFixingOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
}
