/** Tests related to the discounting method for bond security. */
public class BondSecurityFRDiscountingMethodTest {
// Calculators
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final BondSecurityDiscountingMethod METHOD =
BondSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-8;
private static final String REPO_TYPE = "General collateral";
private static final Currency EUR = Currency.EUR;
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final DayCount DAY_COUNT_ACTACTICMA =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");
private static final BusinessDayConvention BUSINESS_DAY_FOL =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM_FIXED = false;
// To derivatives
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final String CREDIT_CURVE_NAME = "Credit";
private static final String REPO_CURVE_NAME = "Repo";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAME = {
CREDIT_CURVE_NAME, REPO_CURVE_NAME, FORWARD_CURVE_NAME
};
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurvesBond1();
// FRTR 4 1/2 04/25/41 - ISIN: FR0010773192
private static final String ISSUER_FR = "FRANCE (GOVT OF)";
private static final YieldConvention YIELD_CONVENTION_FRANCE =
SimpleYieldConvention.FRANCE_COMPOUND_METHOD;
private static final int SETTLEMENT_DAYS_FR = 3;
private static final Period PAYMENT_TENOR_FR = Period.ofMonths(12);
// private static final int COUPON_PER_YEAR_FR = 1;
private static final ZonedDateTime BOND_START_FR = DateUtils.getUTCDate(2009, 4, 25);
private static final ZonedDateTime BOND_MATURITY_FR = DateUtils.getUTCDate(2041, 4, 25);
private static final ZonedDateTime BOND_FIRSTCPN_FR = DateUtils.getUTCDate(2010, 4, 25);
private static final double RATE_FR = 0.0450;
private static final BondFixedSecurityDefinition BOND_FR_SECURITY_DEFINITION =
BondFixedSecurityDefinition.from(
EUR,
BOND_START_FR,
BOND_FIRSTCPN_FR,
BOND_MATURITY_FR,
PAYMENT_TENOR_FR,
RATE_FR,
SETTLEMENT_DAYS_FR,
TARGET,
DAY_COUNT_ACTACTICMA,
BUSINESS_DAY_FOL,
YIELD_CONVENTION_FRANCE,
IS_EOM_FIXED,
ISSUER_FR);
}
static {
for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
MATURITY_DATE[loopbasket] = START_ACCRUAL_DATE[loopbasket].plus(BOND_TENOR[loopbasket]);
BASKET_DEFINITION[loopbasket] =
BondFixedSecurityDefinition.from(
CUR,
MATURITY_DATE[loopbasket],
START_ACCRUAL_DATE[loopbasket],
PAYMENT_TENOR,
RATE[loopbasket],
SETTLEMENT_DAYS,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
YIELD_CONVENTION,
IS_EOM,
ISSUER_NAME);
}
}
