@Test
public void testToDerivativeAfterFixing() {
final String fundingCurve = "Funding";
final String forwardCurve = "Forward";
final String[] curves = {fundingCurve, forwardCurve};
final Payment[] couponIborConverted = new Payment[PAYMENT_DATES.length];
ZonedDateTime date = REFERENCE_DATE.plusMonths(1);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponIborConverted[loopcpn] =
IBOR_ANNUITY.getNthPayment(loopcpn).toDerivative(date, FIXING_TS, curves);
}
GenericAnnuity<Payment> referenceAnnuity = new GenericAnnuity<Payment>(couponIborConverted);
GenericAnnuity<? extends Payment> convertedDefinition =
IBOR_ANNUITY.toDerivative(date, FIXING_TS, curves);
assertEquals(referenceAnnuity, convertedDefinition);
assertTrue(convertedDefinition.getNthPayment(0) instanceof CouponFixed);
assertEquals(
((CouponFixed) convertedDefinition.getNthPayment(0)).getFixedRate(), FIXING_RATE, 0);
for (int i = 1; i < PAYMENT_DATES.length; i++) {
assertTrue(convertedDefinition.getNthPayment(i) instanceof CouponIbor);
}
date = REFERENCE_DATE;
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponIborConverted[loopcpn] =
IBOR_ANNUITY.getNthPayment(loopcpn).toDerivative(date, FIXING_TS, curves);
}
referenceAnnuity = new GenericAnnuity<Payment>(couponIborConverted);
convertedDefinition = IBOR_ANNUITY.toDerivative(date, FIXING_TS, curves);
assertEquals(referenceAnnuity, convertedDefinition);
assertTrue(convertedDefinition.getNthPayment(0) instanceof CouponFixed);
assertEquals(
((CouponFixed) convertedDefinition.getNthPayment(0)).getFixedRate(), FIXING_RATE, 0);
for (int i = 1; i < PAYMENT_DATES.length; i++) {
assertTrue(convertedDefinition.getNthPayment(i) instanceof CouponIbor);
}
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullConversionDate() {
IBOR_ANNUITY.toDerivative(null, FIXING_TS, new String[] {"L", "K"});
}