//------------------------------------------------------------------------- public virtual void test_collectIndices() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); ImmutableSet.Builder <Index> builder = ImmutableSet.builder(); test.collectIndices(builder); assertEquals(builder.build(), ImmutableSet.of(USD_FED_FUND)); }
//------------------------------------------------------------------------- public virtual void coverage() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); coverImmutableBean(test); OvernightAveragedDailyRateComputation test2 = OvernightAveragedDailyRateComputation.of(GBP_SONIA, date(2014, 6, 3), date(2014, 7, 3), REF_DATA); coverBeanEquals(test, test2); }
public virtual void test_of_noRateCutoff() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals(test.StartDate, date(2016, 2, 24)); assertEquals(test.EndDate, date(2016, 3, 24)); assertEquals(test.Index, USD_FED_FUND); assertEquals(test.FixingCalendar, USD_FED_FUND.FixingCalendar.resolve(REF_DATA)); }
//------------------------------------------------------------------------- public virtual void test_calculate() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals(test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals(test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals(test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals(test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals(test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }
public override bool Equals(object obj) { if (obj == this) { return(true); } if (obj != null && obj.GetType() == this.GetType()) { OvernightAveragedDailyRateComputation other = (OvernightAveragedDailyRateComputation)obj; return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(fixingCalendar, other.fixingCalendar) && JodaBeanUtils.equal(startDate, other.startDate) && JodaBeanUtils.equal(endDate, other.endDate)); } return(false); }
public virtual void test_serialization() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertSerialization(test); }
public virtual void test_observeOn() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals(test.observeOn(date(2016, 2, 24)), OvernightIndexObservation.of(USD_FED_FUND, date(2016, 2, 24), REF_DATA)); }
public virtual void test_of_badDateOrder() { assertThrowsIllegalArg(() => OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 2, 24), REF_DATA)); assertThrowsIllegalArg(() => OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 25), date(2016, 2, 24), REF_DATA)); }
//------------------------------------------------------------------------- /// <summary> /// Creates an instance from an index and accrual period dates /// <para> /// The dates represent the accrual period. /// /// </para> /// </summary> /// <param name="index"> the index </param> /// <param name="startDate"> the first date of the accrual period </param> /// <param name="endDate"> the last date of the accrual period </param> /// <param name="refData"> the reference data to use when resolving holiday calendars </param> /// <returns> the rate computation </returns> public static OvernightAveragedDailyRateComputation of(OvernightIndex index, LocalDate startDate, LocalDate endDate, ReferenceData refData) { return(OvernightAveragedDailyRateComputation.builder().index(index).fixingCalendar(index.FixingCalendar.resolve(refData)).startDate(startDate).endDate(endDate).build()); }