public virtual void test_trade_noMarketData() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.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() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL); assertEquals(test.Label, LABEL); assertEquals(test.RateId, QUOTE_ID); assertEquals(test.AdditionalSpread, SPREAD); assertEquals(test.Template, TEMPLATE); }
public virtual void test_of_noSpread() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID); assertEquals(test.Label, LABEL_AUTO); assertEquals(test.RateId, QUOTE_ID); assertEquals(test.AdditionalSpread, 0.0d); assertEquals(test.Template, TEMPLATE); }
//------------------------------------------------------------------------- public virtual void coverage() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); coverImmutableBean(test); ThreeLegBasisSwapCurveNode test2 = ThreeLegBasisSwapCurveNode.of(TEMPLATE2, QUOTE_ID2, 0.1); coverBeanEquals(test, test2); }
public virtual void test_metadata_fixed() { LocalDate nodeDate = VAL_DATE.plusMonths(1); ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.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_metadata_end() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(((TenorDateParameterMetadata)metadata).Date, LocalDate.of(2025, 1, 27)); assertEquals(((TenorDateParameterMetadata)metadata).Tenor, Tenor.TENOR_10Y); }
public virtual void test_builder() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.builder().label(LABEL).template(TEMPLATE).rateId(QUOTE_ID).additionalSpread(SPREAD).build(); assertEquals(test.Label, LABEL); assertEquals(test.RateId, QUOTE_ID); assertEquals(test.AdditionalSpread, SPREAD); assertEquals(test.Template, TEMPLATE); assertEquals(test.Date, CurveNodeDate.END); }
public virtual void test_metadata_last_fixing() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING); LocalDate valuationDate = LocalDate.of(2015, 1, 22); LocalDate fixingExpected = LocalDate.of(2024, 7, 24); DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(metadata.Date, fixingExpected); assertEquals(metadata.Label, node.Label); }
public virtual void test_initialGuess() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 0d); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), 1.0d); }
public virtual void test_trade() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.125; double quantity = -1234.56; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); SwapTrade trade = node.trade(quantity, marketData, REF_DATA); SwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BUY, -quantity, rate + SPREAD, REF_DATA); assertEquals(trade, expected); }
public virtual void test_requirements() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.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 override bool Equals(object obj) { if (obj == this) { return(true); } if (obj != null && obj.GetType() == this.GetType()) { ThreeLegBasisSwapCurveNode other = (ThreeLegBasisSwapCurveNode)obj; return(JodaBeanUtils.equal(template, other.template) && JodaBeanUtils.equal(rateId, other.rateId) && JodaBeanUtils.equal(additionalSpread, other.additionalSpread) && JodaBeanUtils.equal(label, other.label) && JodaBeanUtils.equal(date_Renamed, other.date_Renamed) && JodaBeanUtils.equal(dateOrder, other.dateOrder)); } return(false); }
public virtual void test_serialization() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); assertSerialization(test); }