public void test_serialization() {
IborIndex index =
ImmutableIborIndex.builder()
.name("OGIBOR")
.currency(Currency.GBP)
.fixingCalendar(GBLO)
.fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO))
.effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO))
.maturityDateOffset(
TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE))
.dayCount(ACT_360)
.build();
assertSerialization(index);
}
// -------------------------------------------------------------------------
public void coverage() {
ImmutableIborIndex index =
ImmutableIborIndex.builder()
.name("OGIBOR")
.currency(Currency.GBP)
.fixingCalendar(GBLO)
.fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO))
.effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO))
.maturityDateOffset(
TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE))
.dayCount(ACT_360)
.build();
coverImmutableBean(index);
coverPrivateConstructor(IborIndices.class);
}
// -------------------------------------------------------------------------
public void test_equals() {
ImmutableIborIndex a =
ImmutableIborIndex.builder()
.name("OGIBOR")
.currency(Currency.GBP)
.fixingCalendar(GBLO)
.fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO))
.effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO))
.maturityDateOffset(
TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE))
.dayCount(ACT_360)
.build();
IborIndex b = a.toBuilder().name("Rubbish").build();
assertEquals(a.equals(b), false);
}
public void test_euibor3m() {
IborIndex test = IborIndex.of("EUR-EURIBOR-3M");
assertEquals(test.getCurrency(), EUR);
assertEquals(test.getName(), "EUR-EURIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), EUTA);
assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, EUTA));
assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, EUTA));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA)));
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.toString(), "EUR-EURIBOR-3M");
}
public void test_usdLibor3m() {
IborIndex test = IborIndex.of("USD-LIBOR-3M");
assertEquals(test.getCurrency(), USD);
assertEquals(test.getName(), "USD-LIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), GBLO);
assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, GBLO));
assertEquals(
test.getEffectiveDateOffset(),
DaysAdjustment.ofBusinessDays(
2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combineWith(USNY))));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combineWith(USNY))));
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.toString(), "USD-LIBOR-3M");
}
public void test_gbpLibor3m() {
IborIndex test = IborIndex.of("GBP-LIBOR-3M");
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getName(), "GBP-LIBOR-3M");
assertEquals(test.getTenor(), TENOR_3M);
assertEquals(test.getFixingCalendar(), GBLO);
assertEquals(
test.getFixingDateOffset(),
DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO)));
assertEquals(
test.getEffectiveDateOffset(),
DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO)));
assertEquals(
test.getMaturityDateOffset(),
TenorAdjustment.ofLastBusinessDay(
TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO)));
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.toString(), "GBP-LIBOR-3M");
}