示例#1
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        public virtual void test_rate_unknownType()
        {
            RateComputation mockComputation   = mock(typeof(RateComputation));
            DispatchingRateComputationFn test = DispatchingRateComputationFn.DEFAULT;

            assertThrowsIllegalArg(() => test.rate(mockComputation, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
        }
示例#2
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        public virtual void test_rate_FixedRateComputation()
        {
            FixedRateComputation         ro   = FixedRateComputation.of(0.0123d);
            DispatchingRateComputationFn test = DispatchingRateComputationFn.DEFAULT;

            assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
        }
示例#3
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        public virtual void test_rate_IborRateComputation()
        {
            RateComputationFn <IborRateComputation> mockIbor = mock(typeof(RateComputationFn));
            IborRateComputation ro = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);

            when(mockIbor.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(0.0123d);
            DispatchingRateComputationFn test = new DispatchingRateComputationFn(mockIbor, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);

            assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), 0.0123d, 0d);
        }
示例#4
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        public virtual void test_rate_InflationEndInterpolatedRateComputation()
        {
            double mockRate = 223.0d;
            RateComputationFn <InflationEndInterpolatedRateComputation> mockInfInt = mock(typeof(RateComputationFn));
            InflationEndInterpolatedRateComputation ro = InflationEndInterpolatedRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH, 0.3);

            when(mockInfInt.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
            DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, mockInfInt);

            assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, TOLERANCE_RATE);
        }
示例#5
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        public virtual void test_rate_OvernightAveragedDailyRateComputation()
        {
            double mockRate = 0.0123d;
            RateComputationFn <OvernightAveragedDailyRateComputation> mockOnAve = mock(typeof(RateComputationFn));
            OvernightAveragedDailyRateComputation ro = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);

            when(mockOnAve.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
            DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, mockOnAve, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);

            assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, TOLERANCE_RATE);
        }
示例#6
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        //-------------------------------------------------------------------------
        public virtual void test_explainRate_FixedRateComputation()
        {
            FixedRateComputation         ro      = FixedRateComputation.of(0.0123d);
            DispatchingRateComputationFn test    = DispatchingRateComputationFn.DEFAULT;
            ExplainMapBuilder            builder = ExplainMap.builder();

            assertEquals(test.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, builder), 0.0123d, 0d);
            ExplainMap built = builder.build();

            assertEquals(built.get(ExplainKey.FIXED_RATE), 0.0123d);
            assertEquals(built.get(ExplainKey.COMBINED_RATE), 0.0123d);
        }
示例#7
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        //-------------------------------------------------------------------------
        public virtual void coverage()
        {
            DispatchingRateComputationFn            test               = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, MOCK_IBOR_AVE_EMPTY, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);
            FixedRateComputation                    @fixed             = FixedRateComputation.of(0.0123d);
            IborRateComputation                     ibor               = IborRateComputation.of(GBP_LIBOR_3M, FIXING_DATE, REF_DATA);
            IborInterpolatedRateComputation         iborInt            = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_6M, FIXING_DATE, REF_DATA);
            IborAveragedRateComputation             iborAvg            = IborAveragedRateComputation.of(ImmutableList.of(IborAveragedFixing.of(ibor.Observation)));
            OvernightCompoundedRateComputation      onCpd              = OvernightCompoundedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
            OvernightAveragedRateComputation        onAvg              = OvernightAveragedRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 0, REF_DATA);
            OvernightAveragedDailyRateComputation   onAvgDly           = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, REF_DATA);
            InflationMonthlyRateComputation         inflationMonthly   = InflationMonthlyRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH);
            InflationInterpolatedRateComputation    inflationInterp    = InflationInterpolatedRateComputation.of(US_CPI_U, ACCRUAL_START_MONTH, ACCRUAL_END_MONTH, 0.3);
            InflationEndMonthRateComputation        inflationEndMonth  = InflationEndMonthRateComputation.of(US_CPI_U, 234d, ACCRUAL_END_MONTH);
            InflationEndInterpolatedRateComputation inflationEndInterp = InflationEndInterpolatedRateComputation.of(US_CPI_U, 1234d, ACCRUAL_END_MONTH, 0.3);

            RateComputation mock = mock(typeof(RateComputation));

            ignoreThrows(() => test.rateSensitivity(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));
            ignoreThrows(() => test.rateSensitivity(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV));

            ExplainMapBuilder explain = ExplainMap.builder();

            ignoreThrows(() => test.explainRate(@fixed, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(ibor, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(iborInt, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(iborAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(onCpd, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(onAvg, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(onAvgDly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(inflationMonthly, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(inflationInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(inflationEndMonth, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(inflationEndInterp, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
            ignoreThrows(() => test.explainRate(mock, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, explain));
        }
示例#8
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        public virtual void test_rate_IborAverageRateComputation()
        {
            double mockRate = 0.0123d;
            RateComputationFn <IborAveragedRateComputation> mockIborAve = mock(typeof(RateComputationFn));

            LocalDate[] fixingDates            = new LocalDate[] { date(2014, 6, 30), date(2014, 7, 7), date(2014, 7, 14), date(2014, 7, 21) };
            double[]    weights                = new double[] { 0.10d, 0.20d, 0.30d, 0.40d };
            IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();

            for (int i = 0; i < fixingDates.Length; i++)
            {
                IborAveragedFixing fixing = IborAveragedFixing.builder().observation(IborIndexObservation.of(GBP_LIBOR_3M, fixingDates[i], REF_DATA)).weight(weights[i]).build();
                fixings.Add(fixing);
            }
            IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);

            when(mockIborAve.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV)).thenReturn(mockRate);
            DispatchingRateComputationFn test = new DispatchingRateComputationFn(MOCK_IBOR_EMPTY, MOCK_IBOR_INT_EMPTY, mockIborAve, MOCK_ON_CPD_EMPTY, MOCK_ON_AVE_EMPTY, MOCK_ON_AVE_DLY_EMPTY, MOCK_INF_MON_EMPTY, MOCK_INF_INT_EMPTY, MOCK_INF_BOND_MON_EMPTY, MOCK_INF_BOND_INT_EMPTY);

            assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), mockRate, 0d);
        }