// -------------------------------------------------------------------------
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);
}
