//-------------------------------------------------------------------------
// proper end-to-end tests are elsewhere
public virtual void test_parameterSensitivity()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
IborRateSensitivity point = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, GBP, 1d);
assertEquals(test.parameterSensitivity(point).size(), 1);
}
public virtual void test_rateIgnoringFixingsPointSensitivity_onValuation()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_VAL, 1d);
assertEquals(test.rateIgnoringFixingsPointSensitivity(GBP_LIBOR_3M_VAL), expected);
}
public virtual void test_ratePointSensitivity_afterValuation()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
IborRateSensitivity expected = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, 1d);
assertEquals(test.ratePointSensitivity(GBP_LIBOR_3M_AFTER), expected);
}
public virtual void test_of_badCurve()
{
CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.FORWARD_RATE).build();
InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of(noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
assertThrowsIllegalArg(() => SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, notDayCount));
}
//-------------------------------------------------------------------------
public virtual void test_ratePointSensitivity_fixing()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
assertEquals(test.ratePointSensitivity(GBP_LIBOR_3M_BEFORE), PointSensitivityBuilder.none());
assertEquals(test.ratePointSensitivity(GBP_LIBOR_3M_VAL), PointSensitivityBuilder.none());
}
//-------------------------------------------------------------------------
public virtual void test_createParameterSensitivity()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
DoubleArray sensitivities = DoubleArray.of(0.12, 0.15);
CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities);
assertEquals(sens.Sensitivities.get(0), CURVE.createParameterSensitivity(USD, sensitivities));
}
public virtual void test_rate_afterValuation()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
double time = CURVE_DAY_COUNT.yearFraction(DATE_VAL, GBP_LIBOR_3M_AFTER.MaturityDate);
double expected = CURVE.yValue(time);
assertEquals(test.rate(GBP_LIBOR_3M_AFTER), expected, TOLERANCE_RATE);
}
public virtual void test_rateIgnoringFixings_onValuation_fixing()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
double time = CURVE_DAY_COUNT.yearFraction(DATE_VAL, GBP_LIBOR_3M_VAL.MaturityDate);
double expected = CURVE.yValue(time);
assertEquals(test.rateIgnoringFixings(GBP_LIBOR_3M_VAL), expected, TOLERANCE_RATE);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
coverImmutableBean(test);
SimpleIborIndexRates test2 = SimpleIborIndexRates.of(USD_LIBOR_3M, DATE_AFTER, CURVE2, SERIES_EMPTY);
coverBeanEquals(test, test2);
}
public virtual void test_of_withFixings()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Fixings, SERIES);
assertEquals(test.Curve, CURVE);
}
//-------------------------------------------------------------------------
public virtual void test_withDiscountFactors()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
test = test.withCurve(CURVE2);
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Fixings, SERIES);
assertEquals(test.Curve, CURVE2);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SimpleIborIndexRates other = (SimpleIborIndexRates)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(valuationDate, other.valuationDate) && JodaBeanUtils.equal(curve, other.curve) && JodaBeanUtils.equal(fixings, other.fixings));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_of_withoutFixings()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE);
assertEquals(test.Index, GBP_LIBOR_3M);
assertEquals(test.ValuationDate, DATE_VAL);
assertEquals(test.Fixings, SERIES_EMPTY);
assertEquals(test.Curve, CURVE);
assertEquals(test.ParameterCount, CURVE.ParameterCount);
assertEquals(test.getParameter(0), CURVE.getParameter(0));
assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0));
assertEquals(test.withParameter(0, 1d).Curve, CURVE.withParameter(0, 1d));
assertEquals(test.withPerturbation((i, v, m) => v + 1d).Curve, CURVE.withPerturbation((i, v, m) => v + 1d));
assertEquals(test.findData(CURVE.Name), CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
// check IborIndexRates
IborIndexRates test2 = IborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE);
assertEquals(test, test2);
}
public virtual void test_rate_onValuation_fixing()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
assertEquals(test.rate(GBP_LIBOR_3M_VAL), RATE_VAL);
}
public virtual void test_rate_beforeValuation_noFixing_notEmptySeries()
{
SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES_MINIMAL);
assertThrowsIllegalArg(() => test.rate(GBP_LIBOR_3M_BEFORE));
}
