public virtual void test_metadata_dates()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, LEGAL_ENTITY);
ParameterMetadata metadata = node.metadata(END_DATE);
assertEquals(((LabelDateParameterMetadata)metadata).Date, END_DATE);
}
public virtual void test_trade_noMarketData()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() => node.trade(1d, marketData, REF_DATA), typeof(MarketDataNotFoundException));
}
//-------------------------------------------------------------------------
public virtual void test_metadata_tenor()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
LocalDate nodeDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(nodeDate);
assertEquals(((TenorDateParameterMetadata)metadata).Date, nodeDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y);
}
public virtual void test_of_pointsUpfront()
{
CdsIsdaCreditCurveNode test = CdsIsdaCreditCurveNode.ofPointsUpfront(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
assertEquals(test.Label, LABEL_AUTO);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.ObservableId, QUOTE_ID);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20));
}
public virtual void test_of_pardSpread()
{
CdsIsdaCreditCurveNode test = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, LEGAL_ENTITY);
assertEquals(test.Label, END_DATE.ToString());
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.ObservableId, QUOTE_ID);
assertEquals(test.Template, TEMPLATE_NS);
assertEquals(test.date(VAL_DATE, REF_DATA), END_DATE);
}
public virtual void test_builder()
{
CdsIsdaCreditCurveNode test = CdsIsdaCreditCurveNode.builder().label(LABEL).template(TEMPLATE).observableId(QUOTE_ID).quoteConvention(CdsQuoteConvention.PAR_SPREAD).legalEntityId(LEGAL_ENTITY).build();
assertEquals(test.Label, LABEL);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.ObservableId, QUOTE_ID);
assertEquals(test.Template, TEMPLATE);
assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CdsIsdaCreditCurveNode test1 = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
coverImmutableBean(test1);
CdsIsdaCreditCurveNode test2 = CdsIsdaCreditCurveNode.ofPointsUpfront(TenorCdsTemplate.of(TENOR_10Y, CdsConventions.EUR_GB_STANDARD), QuoteId.of(StandardId.of("OG-Ticker", "Cds2")), StandardId.of("OG", "DEF"), 0.01);
QuoteId.of(StandardId.of("OG-Ticker", "Deposit2"));
coverBeanEquals(test1, test2);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
CdsIsdaCreditCurveNode other = (CdsIsdaCreditCurveNode)obj;
return(JodaBeanUtils.equal(template, other.template) && JodaBeanUtils.equal(label, other.label) && JodaBeanUtils.equal(observableId, other.observableId) && JodaBeanUtils.equal(legalEntityId, other.legalEntityId) && JodaBeanUtils.equal(quoteConvention, other.quoteConvention) && JodaBeanUtils.equal(fixedRate, other.fixedRate));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade expected = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIsdaCreditCurveNode node1 = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY);
CdsTrade expected1 = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
public virtual void test_serialization()
{
CdsIsdaCreditCurveNode test = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
assertSerialization(test);
}
public virtual void test_build_fail_noRate()
{
assertThrows(() => CdsIsdaCreditCurveNode.builder().template(TEMPLATE).observableId(QUOTE_ID).legalEntityId(LEGAL_ENTITY).quoteConvention(CdsQuoteConvention.QUOTED_SPREAD).build(), typeof(System.ArgumentException));
}
