public void test_of_int() { assertEquals(Tenor.ofDays(1), TENOR_1D); assertEquals(Tenor.ofDays(7), TENOR_1W); assertEquals(Tenor.ofWeeks(2), TENOR_2W); assertEquals(Tenor.ofMonths(1), TENOR_1M); assertEquals(Tenor.ofMonths(15), TENOR_15M); assertEquals(Tenor.ofMonths(18), TENOR_18M); assertEquals(Tenor.ofMonths(21), TENOR_21M); assertEquals(Tenor.ofYears(1), TENOR_1Y); assertEquals(Tenor.ofYears(35), TENOR_35Y); assertEquals(Tenor.ofYears(40), TENOR_40Y); assertEquals(Tenor.ofYears(45), TENOR_45Y); assertEquals(Tenor.ofYears(50), TENOR_50Y); }
private List<IsdaCreditCurveNode> createsNode( DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, DayCount depositDayCount, DayCount swapDayCount, Frequency paymentFrequency, int[] termMonths, int[] swapYears, String[] idValues) { int nInstruments = idValues.length; int nTerms = termMonths.length; List<IsdaCreditCurveNode> nodes = new ArrayList<>(nInstruments); for (int i = 0; i < nTerms; i++) { Tenor tenor = Tenor.ofMonths(termMonths[i]); nodes.add(DepositIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[i])), spotDateOffset, businessDayAdjustment, tenor, depositDayCount)); } for (int i = nTerms; i < nInstruments; i++) { Tenor tenor = Tenor.ofYears(swapYears[i - nTerms]); nodes.add(SwapIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[i])), spotDateOffset, businessDayAdjustment, tenor, swapDayCount, paymentFrequency)); } return nodes; }
@DataProvider(name = "based") public static Object[][] data_based() { return new Object[][] { {Tenor.ofDays(1), false, false}, {Tenor.ofDays(2), false, false}, {Tenor.ofDays(6), false, false}, {Tenor.ofDays(7), true, false}, {Tenor.ofWeeks(1), true, false}, {Tenor.ofWeeks(3), true, false}, {Tenor.ofMonths(1), false, true}, {Tenor.ofMonths(3), false, true}, {Tenor.ofYears(1), false, true}, {Tenor.ofYears(3), false, true}, {Tenor.of(Period.of(1, 2, 3)), false, false}, }; }
Tenor tenor = Tenor.ofYears(swapYears[i - nMoneyMarket]); nodes.add(SwapIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P6M));
Tenor tenor = Tenor.ofYears(swapYears[i - nMoneyMarket]); nodes.add(SwapIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P6M));
public void test_of_notZero() { assertThrowsIllegalArg(() -> Tenor.of(Period.ofDays(0))); assertThrowsIllegalArg(() -> Tenor.ofDays(0)); assertThrowsIllegalArg(() -> Tenor.ofWeeks(0)); assertThrowsIllegalArg(() -> Tenor.ofMonths(0)); assertThrowsIllegalArg(() -> Tenor.ofYears(0)); }
public void test_compare() { List<Tenor> tenors = ImmutableList.of( Tenor.ofDays(1), Tenor.ofDays(3), Tenor.ofDays(7), Tenor.ofWeeks(2), Tenor.ofWeeks(4), Tenor.ofDays(30), Tenor.ofMonths(1), Tenor.ofDays(31), Tenor.of(Period.of(0, 1, 1)), Tenor.ofDays(60), Tenor.ofMonths(2), Tenor.ofDays(61), Tenor.ofDays(91), Tenor.ofMonths(3), Tenor.ofDays(92), Tenor.ofDays(182), Tenor.ofMonths(6), Tenor.ofDays(183), Tenor.ofDays(365), Tenor.ofYears(1), Tenor.ofDays(366)); List<Tenor> test = new ArrayList<>(tenors); Collections.shuffle(test); Collections.sort(test); assertEquals(test, tenors); }
public void test_of_notNegative() { assertThrowsIllegalArg(() -> Tenor.of(Period.ofDays(-1))); assertThrowsIllegalArg(() -> Tenor.ofDays(-1)); assertThrowsIllegalArg(() -> Tenor.ofWeeks(-1)); assertThrowsIllegalArg(() -> Tenor.ofMonths(-1)); assertThrowsIllegalArg(() -> Tenor.ofYears(-1)); }
Tenor tenor = Tenor.ofYears(swapYears1[i - nMoneyMarket1]); FixedIborSwapConvention convention = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M; nodes1.add(SwapIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", idValues1[i])), convention.getSpotDateOffset(), Tenor tenor = Tenor.ofYears(swapYears2[i - nMoneyMarket2]); nodes2.add(SwapIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues2[i])), ADJ_0D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P6M));