public virtual void test_trade_noMarketData()
{
IborFutureCurveNode node = IborFutureCurveNode.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()
{
IborFutureCurveNode test = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, SPREAD);
assertEquals(test.Template, TEMPLATE);
}
public virtual void test_of_no_spread()
{
IborFutureCurveNode test = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.RateId, QUOTE_ID);
assertEquals(test.AdditionalSpread, 0.0d);
assertEquals(test.Template, TEMPLATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborFutureCurveNode test = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborFutureCurveNode test2 = IborFutureCurveNode.of(IborFutureTemplate.of(PERIOD_TO_START, NUMBER, CONVENTION), QuoteId.of(StandardId.of("OG-Ticker", "Unknown")));
coverBeanEquals(test, test2);
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
IborFutureCurveNode node = IborFutureCurveNode.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_trade()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double price = 0.99;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, price).build();
IborFutureTrade trade = node.trade(1d, marketData, REF_DATA);
IborFutureTrade expected = TEMPLATE.createTrade(VAL_DATE, SecurityId.of(STANDARD_ID), 1L, 1.0, price + SPREAD, REF_DATA);
assertEquals(trade, expected);
}
public virtual void test_requirements()
{
IborFutureCurveNode test = IborFutureCurveNode.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 virtual void test_metadata_last_fixing()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build();
IborFutureTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate fixingDate = trade.Product.FixingDate;
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, fixingDate);
LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(VAL_DATE, REF_DATA);
assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate));
}
public virtual void test_metadata_end()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
LocalDate date = LocalDate.of(2015, 10, 20);
LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(date, REF_DATA);
LocalDate maturityDate = TEMPLATE.Index.calculateMaturityFromEffective(referenceDate, REF_DATA);
ParameterMetadata metadata = node.metadata(date, REF_DATA);
assertEquals(metadata.Label, LABEL);
assertTrue(metadata is YearMonthDateParameterMetadata);
assertEquals(((YearMonthDateParameterMetadata)metadata).Date, maturityDate);
assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate));
}
public virtual void test_initialGuess()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double price = 0.99;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, price).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 1.0 - price, TOLERANCE_RATE);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), 1.0 - price, TOLERANCE_RATE);
double approximateMaturity = TEMPLATE.approximateMaturity(VAL_DATE);
double df = Math.Exp(-approximateMaturity * (1.0 - price));
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df, TOLERANCE_RATE);
assertEquals(node.initialGuess(marketData, ValueType.UNKNOWN), 0.0d, TOLERANCE_RATE);
}
public virtual void test_serialization()
{
IborFutureCurveNode test = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}