// ------------------------------------------------------------------------- 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); }
@Override public DatedCurveParameterMetadata metadata(LocalDate valuationDate) { SwapTrade trade = template.toTrade(valuationDate, BuySell.BUY, 1, 1, 0); return TenorCurveNodeMetadata.of(trade.getProduct().getEndDate(), template.getTenor(), label); }