@Test
/** Tests the getters */
public void getter() {
assertEquals("DepositZeroDefinition: getter", SPOT_DATE, DEPOSIT_DEFINITION.getStartDate());
assertEquals("DepositZeroDefinition: getter", END_DATE, DEPOSIT_DEFINITION.getEndDate());
assertEquals("DepositZeroDefinition: getter", NOTIONAL, DEPOSIT_DEFINITION.getNotional());
assertEquals("DepositZeroDefinition: getter", RATE, DEPOSIT_DEFINITION.getRate());
assertEquals("DepositZeroDefinition: getter", EUR, DEPOSIT_DEFINITION.getCurrency());
assertEquals(
"DepositZeroDefinition: getter", DEPOSIT_AF, DEPOSIT_DEFINITION.getPaymentAccrualFactor());
final double interestAmount = (1.0 / RATE.getDiscountFactor(DEPOSIT_AF) - 1) * NOTIONAL;
assertEquals(
"DepositZeroDefinition: getter", interestAmount, DEPOSIT_DEFINITION.getInterestAmount());
}
@Test
/** Tests toDerivative. */
public void toDerivativeBetweenTradeAndSettle() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositZero expected =
new DepositZero(
EUR,
startTime,
endTime,
NOTIONAL,
NOTIONAL,
DEPOSIT_AF,
RATE,
DEPOSIT_DEFINITION.getInterestAmount());
assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
}
@Test
/** Tests toDerivative. */
public void toDerivativeMaturity() {
final ZonedDateTime referenceDate = END_DATE;
final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositZero expected =
new DepositZero(
EUR,
startTime,
endTime,
0.0,
NOTIONAL,
DEPOSIT_AF,
RATE,
DEPOSIT_DEFINITION.getInterestAmount());
assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
}
@SuppressWarnings("deprecation")
@Test
/** Tests toDerivative. */
public void toDerivativeBetweenSettleMaturityDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositZero expected =
new DepositZero(
EUR,
startTime,
endTime,
0.0,
NOTIONAL,
DEPOSIT_AF,
RATE,
DEPOSIT_DEFINITION.getInterestAmount(),
CURVE_NAME);
assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
}
