@Test
/** Tests the Bermuda swaption getters. */
public void getter() {
assertEquals(
"Getter: underlying swaps",
EXPIRY_SWAP_DEFINITION,
BERMUDA_SWAPTION_DEFINITION.getUnderlyingSwap());
assertEquals("Getter: long/short", IS_LONG, BERMUDA_SWAPTION_DEFINITION.isLong());
assertEquals("Getter: expiry dates", EXPIRY_DATE, BERMUDA_SWAPTION_DEFINITION.getExpiryDate());
}
@SuppressWarnings("deprecation")
@Test
/** Tests the toDerivative method. */
public void toDerivativesDeprecated() {
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final String FUNDING_CURVE_NAME = "Funding";
final String FORWARD_CURVE_NAME = "Forward";
final String[] CURVES_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
final double[] expiryTime = new double[NB_EXPIRY];
final double[] settleTime = new double[NB_EXPIRY];
@SuppressWarnings("unchecked")
final SwapFixedCoupon<Coupon>[] underlyingSwap = new SwapFixedCoupon[NB_EXPIRY];
for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
expiryTime[loopexp] = actAct.getDayCountFraction(REFERENCE_DATE, EXPIRY_DATE[loopexp]);
underlyingSwap[loopexp] =
EXPIRY_SWAP_DEFINITION[loopexp].toDerivative(REFERENCE_DATE, CURVES_NAME);
settleTime[loopexp] =
actAct.getDayCountFraction(
REFERENCE_DATE,
EXPIRY_SWAP_DEFINITION[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
}
final SwaptionBermudaFixedIbor swaptionBermuda =
new SwaptionBermudaFixedIbor(underlyingSwap, IS_LONG, expiryTime, settleTime);
assertEquals(
"Swaption Bermuda: to derivatives",
swaptionBermuda,
BERMUDA_SWAPTION_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME));
}
@Test
/** Tests the Bermuda swaption builder from a unique total swap. */
public void from() {
final SwaptionBermudaFixedIborDefinition bermuda2 =
SwaptionBermudaFixedIborDefinition.from(TOTAL_SWAP_DEFINITION, IS_LONG, EXPIRY_DATE);
assertEquals("Bermuda swaption builder", BERMUDA_SWAPTION_DEFINITION, bermuda2);
}
@Test
/** Tests the equal and hash-code methods. */
public void hashEqual() {
final SwaptionBermudaFixedIborDefinition bermuda2 =
SwaptionBermudaFixedIborDefinition.from(TOTAL_SWAP_DEFINITION, IS_LONG, EXPIRY_DATE);
assertTrue("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.equals(bermuda2));
assertEquals("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.hashCode(), bermuda2.hashCode());
SwaptionBermudaFixedIborDefinition modified;
modified =
new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, !IS_LONG, EXPIRY_DATE);
assertFalse("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.equals(modified));
final ZonedDateTime[] expiry2 = new ZonedDateTime[NB_EXPIRY];
System.arraycopy(EXPIRY_DATE, 0, expiry2, 0, NB_EXPIRY);
expiry2[0] = EXPIRY_DATE[0].minusDays(1);
modified = new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, IS_LONG, expiry2);
assertFalse("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.equals(modified));
}
