Example #1
0
 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'");
 }
Example #2
0
 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);
 }