public void test_toLeg_withSpread() {
OvernightRateSwapLegConvention base =
OvernightRateSwapLegConvention.builder().index(GBP_SONIA).accrualMethod(AVERAGED).build();
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected =
RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.frequency(TERM)
.startDate(startDate)
.endDate(endDate)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(TERM)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M))
.calculation(
OvernightRateCalculation.builder()
.index(GBP_SONIA)
.accrualMethod(AVERAGED)
.spread(ValueSchedule.of(0.25d))
.build())
.build();
assertEquals(test, expected);
}
