@Test
public void test() {
final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
final double sign = IS_PAYER ? -1.0 : 1.0;
// First coupon uses settlement date
CouponFixedDefinition coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
sign * NOTIONAL,
0.0);
ZonedDateTime fixingDate =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[0] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
sign * NOTIONAL,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
PAYMENT_DATES[loopcpn - 1], BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
}
final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(coupons);
// assertEquals(iborAnnuity.getPayments(), coupons);
assertEquals(iborAnnuity.isPayer(), IS_PAYER);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
assertEquals(iborAnnuity.getNthPayment(loopcpn), coupons[loopcpn]);
assertEquals(iborAnnuity.getPayments()[loopcpn], coupons[loopcpn]);
}
final AnnuityCouponIborDefinition iborAnnuity2 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
assertEquals(iborAnnuity, iborAnnuity2);
}
@Test
public void testStaticConstruction() {
AnnuityCouponIborDefinition definition1 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
AnnuityCouponIborDefinition definition2 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
assertEquals(definition1, definition2);
assertEquals(IS_PAYER, definition1.isPayer());
definition2 =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
definition2 =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
definition1 =
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
definition2 =
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
}
