public void test_metadata_end() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2015, 4, 27));
assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_3M);
}
public void test_requirements() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
Set<ObservableId> set = test.requirements();
Iterator<ObservableId> itr = set.iterator();
assertEquals(itr.next(), QUOTE_ID);
assertFalse(itr.hasNext());
}
// -------------------------------------------------------------------------
public void coverage() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
TermDepositCurveNode test2 =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofMonths(1), CONVENTION),
QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public void test_metadata_fixed() {
LocalDate nodeDate = VAL_DATE.plusMonths(1);
TermDepositCurveNode node =
TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.getDate(), nodeDate);
assertEquals(metadata.getLabel(), node.getLabel());
}
public void test_initialGuess() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
assertEquals(
node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.exp(-rate * 0.25), 1.0e-12);
}
public void test_of_noSpread() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.getLabel(), LABEL_AUTO);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), 0.0d);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_of_withSpreadAndLabel() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_trade() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
TermDepositTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit depositExpected =
TermDeposit.builder()
.buySell(BuySell.BUY)
.currency(EUR)
.dayCount(ACT_360)
.startDate(startDateExpected)
.endDate(endDateExpected)
.notional(1.0d)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.rate(rate + SPREAD)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build();
assertEquals(trade.getProduct(), depositExpected);
assertEquals(trade.getInfo(), tradeInfoExpected);
}
public void test_builder_defaults() {
TermDepositCurveNode test =
TermDepositCurveNode.builder()
.label(LABEL)
.template(TEMPLATE)
.rateId(QUOTE_ID)
.additionalSpread(SPREAD)
.build();
assertEquals(test.getLabel(), LABEL);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), SPREAD);
assertEquals(test.getTemplate(), TEMPLATE);
assertEquals(test.getDate(), CurveNodeDate.END);
}
public void test_serialization() {
TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
public void test_metadata_last_fixing() {
TermDepositCurveNode node =
TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
assertThrowsWithCause(
() -> node.metadata(VAL_DATE, REF_DATA), UnsupportedOperationException.class);
}
public void test_trade_noMarketData() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
MarketData marketData = MarketData.empty(valuationDate);
assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class);
}
