public void test_gbpLibor3m_dates() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13)), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13)), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13)), date(2015, 1, 13));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10)), date(2014, 10, 10));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10)), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10)), date(2015, 1, 12));
// input date is Sunday
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12)), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12)), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12)), date(2015, 1, 13));
}
public void test_usdLibor3m_dates() {
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27)), date(2014, 10, 29));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 29)), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 29)), date(2015, 1, 29));
// weekend
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10)), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 14)), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 14)), date(2015, 1, 14));
// effective date is US holiday
assertEquals(test.calculateEffectiveFromFixing(date(2015, 1, 16)), date(2015, 1, 20));
assertEquals(test.calculateFixingFromEffective(date(2015, 1, 20)), date(2015, 1, 16));
assertEquals(test.calculateMaturityFromEffective(date(2015, 1, 20)), date(2015, 4, 20));
// input date is Sunday, 13th is US holiday, but not UK holiday (can fix, but not be effective)
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12)), date(2014, 10, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12)), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12)), date(2015, 1, 14));
}
public void test_null() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertThrowsIllegalArg(() -> test.calculateEffectiveFromFixing(null));
assertThrowsIllegalArg(() -> test.calculateFixingFromEffective(null));
assertThrowsIllegalArg(() -> test.calculateMaturityFromEffective(null));
}
