Пример #1
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 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);
 }
Пример #2
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 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());
 }
Пример #3
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 // -------------------------------------------------------------------------
 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);
 }
Пример #4
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 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());
 }
Пример #5
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 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);
 }
Пример #6
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 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);
 }
Пример #7
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 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);
 }
Пример #8
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 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);
 }
Пример #9
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 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);
 }
Пример #10
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 public void test_serialization() {
   TermDepositCurveNode test = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
   assertSerialization(test);
 }
Пример #11
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 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);
 }
Пример #12
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 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);
 }