// -------------------------------------------------------------------------
@DataProvider(name = "name")
static Object[][] data_name() {
return new Object[][] {
{ImmutableIborFixingDepositConvention.of(GBP_LIBOR_3M), "GBP-LIBOR-3M"},
{ImmutableIborFixingDepositConvention.of(USD_LIBOR_3M), "USD-LIBOR-3M"},
};
}
// -------------------------------------------------------------------------
public void coverage() {
ImmutableIborFixingDepositConvention test1 =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
coverImmutableBean(test1);
ImmutableIborFixingDepositConvention test2 =
ImmutableIborFixingDepositConvention.of(EUR_LIBOR_3M).toBuilder().name("Foo").build();
coverBeanEquals(test1, test2);
coverPrivateConstructor(IborFixingDepositConventions.class);
coverPrivateConstructor(IborFixingDepositConventionLookup.class);
}
public void test_toTrade() {
IborFixingDepositConvention convention =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.currency(EUR)
.dayCount(ACT_365F)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.spotDateOffset(SPOT_ADJ)
.build();
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
Period depositPeriod = Period.ofMonths(3);
double notional = 1d;
double fixedRate = 0.045;
IborFixingDepositTrade trade =
convention.toTrade(tradeDate, depositPeriod, BUY, notional, fixedRate);
LocalDate startExpected = SPOT_ADJ.adjust(tradeDate);
LocalDate endExpected = startExpected.plus(depositPeriod);
IborFixingDeposit productExpected =
IborFixingDeposit.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.buySell(BUY)
.currency(EUR)
.dayCount(ACT_365F)
.startDate(startExpected)
.endDate(endExpected)
.fixedRate(fixedRate)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.notional(notional)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(tradeDate).build();
assertEquals(trade.getProduct(), productExpected);
assertEquals(trade.getTradeInfo(), tradeInfoExpected);
}
public void test_expand() {
ImmutableIborFixingDepositConvention base =
ImmutableIborFixingDepositConvention.of(EUR_LIBOR_3M);
IborFixingDepositConvention test = base.expand();
IborFixingDepositConvention expected =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUR_LIBOR_3M.getFixingCalendar()))
.currency(EUR_LIBOR_3M.getCurrency())
.dayCount(EUR_LIBOR_3M.getDayCount())
.fixingDateOffset(EUR_LIBOR_3M.getFixingDateOffset())
.index(EUR_LIBOR_3M)
.name(EUR_LIBOR_3M.getName())
.spotDateOffset(EUR_LIBOR_3M.getEffectiveDateOffset())
.build();
assertEquals(test.getName(), EUR_LIBOR_3M.getName());
assertEquals(test, expected);
}
public void test_of_indexOnly() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
assertEquals(
test.getBusinessDayAdjustment(),
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBP_LIBOR_6M.getFixingCalendar()));
assertEquals(test.getCurrency(), GBP_LIBOR_6M.getCurrency());
assertEquals(test.getDayCount(), GBP_LIBOR_6M.getDayCount());
assertEquals(test.getFixingDateOffset(), GBP_LIBOR_6M.getFixingDateOffset());
assertEquals(test.getIndex(), GBP_LIBOR_6M);
assertEquals(test.getSpotDateOffset(), GBP_LIBOR_6M.getEffectiveDateOffset());
}
public void test_builder_full() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.builder()
.businessDayAdjustment(BDA_MOD_FOLLOW)
.currency(EUR)
.dayCount(ACT_365F)
.fixingDateOffset(FIXING_ADJ)
.index(EUR_LIBOR_3M)
.spotDateOffset(SPOT_ADJ)
.build();
assertEquals(test.getBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getCurrency(), EUR);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getFixingDateOffset(), FIXING_ADJ);
assertEquals(test.getIndex(), EUR_LIBOR_3M);
assertEquals(test.getName(), EUR_LIBOR_3M.getName());
assertEquals(test.getSpotDateOffset(), SPOT_ADJ);
}
public void test_serialization() {
ImmutableIborFixingDepositConvention test =
ImmutableIborFixingDepositConvention.of(GBP_LIBOR_6M);
assertSerialization(test);
}
