static { USD_DSC_NODES[0] = TermDepositCurveNode.of( TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T0), QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0]))); USD_DSC_NODES[1] = TermDepositCurveNode.of( TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T1), QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1]))); for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) { USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of( FixedOvernightSwapTemplate.of( Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i]))); } }
// ------------------------------------------------------------------------- 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); }
/** Test {@link TermDepositCurveNode}. */ @Test public class TermDepositCurveNodeTest { private static final ReferenceData REF_DATA = ReferenceData.standard(); private static final LocalDate VAL_DATE = date(2015, 6, 30); private static final BusinessDayAdjustment BDA_MOD_FOLLOW = BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA); private static final DaysAdjustment PLUS_TWO_DAYS = DaysAdjustment.ofBusinessDays(2, EUTA); private static final TermDepositConvention CONVENTION = TermDepositConventions.EUR_DEPOSIT_T2; private static final Period DEPOSIT_PERIOD = Period.ofMonths(3); private static final TermDepositTemplate TEMPLATE = TermDepositTemplate.of(DEPOSIT_PERIOD, CONVENTION); private static final QuoteId QUOTE_ID = QuoteId.of(StandardId.of("OG-Ticker", "Deposit1")); private static final double SPREAD = 0.0015; private static final String LABEL = "Label"; private static final String LABEL_AUTO = "3M"; public void test_builder() { TermDepositCurveNode test = TermDepositCurveNode.builder() .label(LABEL) .template(TEMPLATE) .rateId(QUOTE_ID) .additionalSpread(SPREAD) .date(CurveNodeDate.LAST_FIXING) .build(); assertEquals(test.getLabel(), LABEL); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.getDate(), CurveNodeDate.LAST_FIXING); } 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_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_withSpread() { TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); 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_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 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_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); } 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_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_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_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 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_serialization() { TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); assertSerialization(test); } }