// ------------------------------------------------------------------------- public void coverage() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); coverImmutableBean(test); ImmutableThreeLegBasisSwapConvention test2 = ImmutableThreeLegBasisSwapConvention.of("swap", FIXED, IBOR3M, IBOR6M); coverBeanEquals(test, test2); ImmutableThreeLegBasisSwapConvention test3 = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR3M, IBOR12M); coverBeanEquals(test, test3); }
public void test_of_spotDateOffset() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M, PLUS_ONE_DAY); assertEquals(test.getName(), NAME); assertEquals(test.getSpreadLeg(), FIXED); assertEquals(test.getSpreadFloatingLeg(), IBOR6M); assertEquals(test.getFlatFloatingLeg(), IBOR12M); assertEquals(test.getSpotDateOffset(), PLUS_ONE_DAY); }
// ------------------------------------------------------------------------- public void test_of() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); assertEquals(test.getName(), NAME); assertEquals(test.getSpreadLeg(), FIXED); assertEquals(test.getSpreadFloatingLeg(), IBOR6M); assertEquals(test.getFlatFloatingLeg(), IBOR12M); assertEquals(test.getSpotDateOffset(), EUR_EURIBOR_6M.getEffectiveDateOffset()); }
// ------------------------------------------------------------------------- public void test_toTrade_tenor() { ThreeLegBasisSwapConvention base = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M), IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_builder() { ImmutableThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.builder() .name(NAME) .spreadLeg(FIXED) .spreadFloatingLeg(IBOR6M) .flatFloatingLeg(IBOR12M) .spotDateOffset(PLUS_ONE_DAY) .build(); assertEquals(test.getName(), NAME); assertEquals(test.getSpreadLeg(), FIXED); assertEquals(test.getSpreadFloatingLeg(), IBOR6M); assertEquals(test.getFlatFloatingLeg(), IBOR12M); assertEquals(test.getSpotDateOffset(), PLUS_ONE_DAY); }
public void test_serialization() { ThreeLegBasisSwapConvention test = ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M); assertSerialization(test); }