public virtual void test_of()
{
ThreeLegBasisSwapTemplate test = ThreeLegBasisSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV);
assertEquals(test.PeriodToStart, Period.ofMonths(3));
assertEquals(test.Tenor, TENOR_10Y);
assertEquals(test.Convention, CONV);
}
//-------------------------------------------------------------------------
public virtual void test_of_spot()
{
ThreeLegBasisSwapTemplate test = ThreeLegBasisSwapTemplate.of(TENOR_10Y, CONV);
assertEquals(test.PeriodToStart, Period.ZERO);
assertEquals(test.Tenor, TENOR_10Y);
assertEquals(test.Convention, CONV);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ThreeLegBasisSwapTemplate test = ThreeLegBasisSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV);
coverImmutableBean(test);
ThreeLegBasisSwapTemplate test2 = ThreeLegBasisSwapTemplate.of(Period.ofMonths(2), TENOR_2Y, CONV2);
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
ThreeLegBasisSwapTemplate @base = ThreeLegBasisSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 8, 7);
LocalDate endDate = date(2025, 8, 7);
SwapTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ThreeLegBasisSwapTemplate other = (ThreeLegBasisSwapTemplate)obj;
return(JodaBeanUtils.equal(periodToStart, other.periodToStart) && JodaBeanUtils.equal(tenor, other.tenor) && JodaBeanUtils.equal(convention, other.convention));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_builder_notEnoughData()
{
assertThrowsIllegalArg(() => ThreeLegBasisSwapTemplate.builder().tenor(TENOR_2Y).build());
}
public virtual void test_serialization()
{
ThreeLegBasisSwapTemplate test = ThreeLegBasisSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV);
assertSerialization(test);
}
/// <summary>
/// Creates a template based on the specified period, tenor and convention.
/// <para>
/// The period from the spot date to the start date is specified.
///
/// </para>
/// </summary>
/// <param name="periodToStart"> the period between the spot date and the start date </param>
/// <param name="tenor"> the tenor of the swap </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static ThreeLegBasisSwapTemplate of(Period periodToStart, Tenor tenor, ThreeLegBasisSwapConvention convention)
{
return(ThreeLegBasisSwapTemplate.builder().periodToStart(periodToStart).tenor(tenor).convention(convention).build());
}
