//------------------------------------------------------------------------- public virtual void test_resolve() { IborFuture test = sut(); ResolvedIborFuture expected = ResolvedIborFuture.builder().securityId(SECURITY_ID).currency(USD).notional(NOTIONAL).accrualFactor(ACCRUAL_FACTOR).iborRate(IborRateComputation.of(USD_LIBOR_3M, LAST_TRADE_DATE, REF_DATA)).rounding(ROUNDING).build(); assertEquals(test.resolve(REF_DATA), expected); }
public virtual void test_builder_defaults() { ResolvedIborFuture test = ResolvedIborFuture.builder().securityId(SECURITY_ID).currency(GBP).notional(NOTIONAL).iborRate(IborRateComputation.of(GBP_LIBOR_2M, LAST_TRADE_DATE, REF_DATA)).build(); assertEquals(test.Currency, GBP); assertEquals(test.Notional, NOTIONAL); assertEquals(test.AccrualFactor, ACCRUAL_FACTOR_2M); assertEquals(test.LastTradeDate, LAST_TRADE_DATE); assertEquals(test.Index, GBP_LIBOR_2M); assertEquals(test.Rounding, Rounding.none()); assertEquals(test.IborRate, IborRateComputation.of(GBP_LIBOR_2M, LAST_TRADE_DATE, REF_DATA)); }
public virtual void test_builder_noCurrency() { ResolvedIborFuture test = ResolvedIborFuture.builder().securityId(SECURITY_ID).notional(NOTIONAL).iborRate(IborRateComputation.of(GBP_LIBOR_2M, LAST_TRADE_DATE, REF_DATA)).rounding(ROUNDING).build(); assertEquals(GBP, test.Currency); }
public virtual void test_builder_noObservation() { assertThrowsIllegalArg(() => ResolvedIborFuture.builder().securityId(SECURITY_ID).notional(NOTIONAL).currency(GBP).rounding(ROUNDING).build()); }