@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurveTest() {
final CreditDefaultSwapDefinition cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition()
.withMaturityDate(VALUATION_DATE.plusYears(10));
final ISDAYieldCurveAndHazardRateCurveProvider cv = null;
CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, cv);
}
@Test
public void testNonOverlappingHazardRateAndYieldCurveDates() {
final ZonedDateTime[] hrDates = new ZonedDateTime[HR_DATES.length];
final double[] hrTimes = new double[HR_TIMES.length];
for (int i = 0; i < HR_DATES.length; i++) {
hrDates[i] = HR_DATES[i].plusDays(12);
hrTimes[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, hrDates[i]);
}
final HazardRateCurve hazardRateCurve = new HazardRateCurve(hrDates, hrTimes, HR_RATES, OFFSET);
final ZonedDateTime[] expected = new ZonedDateTime[hrDates.length + YC_DATES.length + 2];
for (int i = 0; i < YC_DATES.length; i++) {
expected[i * 2 + 1] = YC_DATES[i];
}
for (int i = 0; i < hrDates.length; i++) {
expected[i * 2 + 2] = hrDates[i];
}
CreditDefaultSwapDefinition cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true)
.withMaturityDate(VALUATION_DATE.plusYears(50));
final ISDAYieldCurveAndHazardRateCurveProvider curves =
new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, hazardRateCurve);
ZonedDateTime[] actual =
CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, curves);
expected[0] = cds.getStartDate();
expected[expected.length - 1] = cds.getMaturityDate().plusDays(1);
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, hazardRateCurve, false));
cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(false)
.withMaturityDate(VALUATION_DATE.plusYears(50));
actual = CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, curves);
expected[0] = cds.getStartDate();
expected[expected.length - 1] = cds.getMaturityDate();
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, hazardRateCurve, false));
}
@Test
public void testCDSWithinCurves() {
CreditDefaultSwapDefinition cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true)
.withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(1))
.withEffectiveDate(VALUATION_DATE.minusMonths(1).plusDays(1))
.withStartDate(VALUATION_DATE.minusMonths(1));
final ISDAYieldCurveAndHazardRateCurveProvider curves =
new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, HAZARD_RATE_CURVE);
ZonedDateTime[] actual =
CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, CURVES);
ZonedDateTime[] expected = new ZonedDateTime[YC_DATES.length + 1];
for (int i = 0; i < YC_DATES.length; i++) {
expected[i + 1] = YC_DATES[i];
}
expected[0] = cds.getStartDate();
expected[YC_DATES.length] = cds.getMaturityDate().plusDays(1);
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, false));
cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(false)
.withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(1))
.withEffectiveDate(VALUATION_DATE.minusMonths(1).plusDays(1))
.withStartDate(VALUATION_DATE.minusMonths(1));
actual = CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, CURVES);
expected = new ZonedDateTime[YC_DATES.length + 1];
for (int i = 0; i < YC_DATES.length; i++) {
expected[i + 1] = YC_DATES[i];
}
expected[0] = cds.getStartDate();
expected[YC_DATES.length] = cds.getMaturityDate();
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, false));
}