@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));
}
@Test
public void testEqualHash() {
final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
// 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]),
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]),
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);
final AnnuityCouponIborDefinition iborAnnuity2 = new AnnuityCouponIborDefinition(coupons);
assertEquals(iborAnnuity, iborAnnuity2);
assertEquals(iborAnnuity.hashCode(), iborAnnuity2.hashCode());
AnnuityCouponIborDefinition modifiedIborAnnuity =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
assertFalse(iborAnnuity.equals(modifiedIborAnnuity));
final CouponIborDefinition[] couponsModified = new CouponIborDefinition[PAYMENT_DATES.length];
CouponFixedDefinition couponModified =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
NOTIONAL,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
couponsModified[0] = CouponIborDefinition.from(couponModified, fixingDate, INDEX);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponModified =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
NOTIONAL + 5.0,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
PAYMENT_DATES[loopcpn - 1], BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
couponsModified[loopcpn] = CouponIborDefinition.from(couponModified, fixingDate, INDEX);
}
modifiedIborAnnuity = new AnnuityCouponIborDefinition(couponsModified);
assertFalse(iborAnnuity.equals(modifiedIborAnnuity));
}
