public void test_ofCurves_missingCurve() {
CurveGroupDefinition definition =
CurveGroupDefinition.builder()
.name(CurveGroupName.of("group"))
.addCurve(DISCOUNT_NAME, GBP, GBP_LIBOR_1M)
.addForwardCurve(IBOR_NAME, USD_LIBOR_1M, USD_LIBOR_2M)
.addForwardCurve(OVERNIGHT_NAME, EUR_EONIA)
.build();
assertThrowsIllegalArg(
() -> CurveGroup.ofCurves(definition, DISCOUNT_CURVE, IBOR_CURVE),
"No curve found named 'Overnight' when building curve group 'group'");
}
public void test_ofCurves() {
CurveGroupDefinition definition =
CurveGroupDefinition.builder()
.name(CurveGroupName.of("group"))
.addCurve(DISCOUNT_NAME, GBP, GBP_LIBOR_1M)
.addForwardCurve(IBOR_NAME, USD_LIBOR_1M, USD_LIBOR_2M)
.addForwardCurve(OVERNIGHT_NAME, EUR_EONIA)
.build();
CurveGroup group = CurveGroup.ofCurves(definition, DISCOUNT_CURVE, OVERNIGHT_CURVE, IBOR_CURVE);
assertThat(group.findDiscountCurve(GBP)).hasValue(DISCOUNT_CURVE);
assertThat(group.findForwardCurve(USD_LIBOR_1M)).hasValue(IBOR_CURVE);
assertThat(group.findForwardCurve(USD_LIBOR_2M)).hasValue(IBOR_CURVE);
assertThat(group.findForwardCurve(EUR_EONIA)).hasValue(OVERNIGHT_CURVE);
}