@Test
public void test() {
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
// First coupon uses settlement date
final double sign = IS_PAYER ? -1.0 : 1.0;
coupons[0] =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
sign * NOTIONAL,
RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
sign * NOTIONAL,
RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons);
assertEquals(fixedAnnuity.isPayer(), IS_PAYER);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
assertEquals(fixedAnnuity.getNthPayment(loopcpn), coupons[loopcpn]);
}
}
@Test
public void testStaticConstruction() {
AnnuityCouponFixedDefinition definition1 =
AnnuityCouponFixedDefinition.from(
CUR,
SETTLEMENT_DATE,
ANNUITY_TENOR,
PAYMENT_TENOR,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
AnnuityCouponFixedDefinition definition2 =
AnnuityCouponFixedDefinition.from(
CUR,
SETTLEMENT_DATE,
MATURITY_DATE,
PAYMENT_FREQUENCY,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
assertEquals(definition1, definition2);
assertEquals(IS_PAYER, definition1.isPayer());
definition2 =
AnnuityCouponFixedDefinition.from(
CUR,
SETTLEMENT_DATE,
MATURITY_DATE,
PAYMENT_FREQUENCY,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
!IS_PAYER);
assertFalse(definition1.equals(definition2));
assertEquals(!IS_PAYER, definition2.isPayer());
definition1 =
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(
CUR,
SETTLEMENT_DATE,
MATURITY_DATE,
PAYMENT_TENOR,
true,
true,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
definition2 =
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(
CUR,
SETTLEMENT_DATE,
MATURITY_DATE,
PAYMENT_TENOR,
2,
true,
true,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
assertEquals(definition1, definition2);
definition2 =
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(
CUR,
SETTLEMENT_DATE,
MATURITY_DATE,
PAYMENT_TENOR,
2,
true,
true,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
!IS_PAYER);
assertFalse(definition1.equals(definition2));
}
