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);
}
/** Test {@link CurveGroup}. */
@Test
public class CurveGroupTest {
private static final CurveGroupName NAME = CurveGroupName.of("TestGroup");
private static final CurveGroupName NAME2 = CurveGroupName.of("TestGroup2");
private static final CurveName DISCOUNT_NAME = CurveName.of("Discount");
private static final CurveName IBOR_NAME = CurveName.of("Ibor");
private static final CurveName OVERNIGHT_NAME = CurveName.of("Overnight");
private static final Curve DISCOUNT_CURVE = ConstantNodalCurve.of("Discount", 0.99);
private static final Map<Currency, Curve> DISCOUNT_CURVES = ImmutableMap.of(GBP, DISCOUNT_CURVE);
private static final Curve IBOR_CURVE = ConstantNodalCurve.of("Ibor", 0.5);
private static final Curve OVERNIGHT_CURVE = ConstantNodalCurve.of("Overnight", 0.6);
private static final Map<Index, Curve> IBOR_CURVES = ImmutableMap.of(GBP_LIBOR_3M, IBOR_CURVE);
// -------------------------------------------------------------------------
public void test_of() {
CurveGroup test = CurveGroup.of(NAME, DISCOUNT_CURVES, IBOR_CURVES);
assertThat(test.getName()).isEqualTo(NAME);
assertThat(test.getDiscountCurves()).isEqualTo(DISCOUNT_CURVES);
assertThat(test.getForwardCurves()).isEqualTo(IBOR_CURVES);
assertThat(test.findDiscountCurve(GBP)).hasValue(DISCOUNT_CURVE);
assertThat(test.findDiscountCurve(USD)).isEmpty();
assertThat(test.findForwardCurve(GBP_LIBOR_3M)).hasValue(IBOR_CURVE);
assertThat(test.findForwardCurve(CHF_LIBOR_3M)).isEmpty();
}
public void test_builder() {
CurveGroup test =
CurveGroup.builder()
.name(NAME)
.discountCurves(DISCOUNT_CURVES)
.forwardCurves(IBOR_CURVES)
.build();
assertThat(test.getName()).isEqualTo(NAME);
assertThat(test.getDiscountCurves()).isEqualTo(DISCOUNT_CURVES);
assertThat(test.getForwardCurves()).isEqualTo(IBOR_CURVES);
assertThat(test.findDiscountCurve(GBP)).hasValue(DISCOUNT_CURVE);
assertThat(test.findDiscountCurve(USD)).isEmpty();
assertThat(test.findForwardCurve(GBP_LIBOR_3M)).hasValue(IBOR_CURVE);
assertThat(test.findForwardCurve(CHF_LIBOR_3M)).isEmpty();
}
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);
}
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 coverage() {
CurveGroup test = CurveGroup.of(NAME, DISCOUNT_CURVES, IBOR_CURVES);
coverImmutableBean(test);
CurveGroup test2 = CurveGroup.of(NAME2, ImmutableMap.of(), ImmutableMap.of());
coverBeanEquals(test, test2);
}
public void test_serialization() {
CurveGroup test = CurveGroup.of(NAME, DISCOUNT_CURVES, IBOR_CURVES);
assertSerialization(test);
}
}
