public void test_ofLastBusinessDay() { TenorAdjustment test = TenorAdjustment.ofLastBusinessDay(TENOR_3M, BDA_FOLLOW_SAT_SUN); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getAdditionConvention(), LAST_BUSINESS_DAY); assertEquals(test.getAdjustment(), BDA_FOLLOW_SAT_SUN); assertEquals(test.toString(), "3M with LastBusinessDay then apply Following using calendar Sat/Sun"); }
public void test_tibor_japan3m() { IborIndex test = IborIndex.of("JPY-TIBOR-JAPAN-3M"); assertEquals(test.getCurrency(), JPY); assertEquals(test.getName(), "JPY-TIBOR-JAPAN-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), JPTO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, JPTO)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, JPTO)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.getFloatingRateName(), FloatingRateName.of("JPY-TIBOR-JAPAN")); assertEquals(test.toString(), "JPY-TIBOR-JAPAN-3M"); }
public void test_tibor_euroyen3m() { IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M"); assertEquals(test.getCurrency(), JPY); assertEquals(test.getName(), "JPY-TIBOR-EUROYEN-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), JPTO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, JPTO)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, JPTO)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.getFloatingRateName(), FloatingRateName.of("JPY-TIBOR-EUROYEN")); assertEquals(test.toString(), "JPY-TIBOR-EUROYEN-3M"); }
public void test_euribor3m() { IborIndex test = IborIndex.of("EUR-EURIBOR-3M"); assertEquals(test.getCurrency(), EUR); assertEquals(test.getName(), "EUR-EURIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), EUTA); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, EUTA)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, EUTA)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), THIRTY_U_360); assertEquals(test.getFloatingRateName(), FloatingRateName.of("EUR-EURIBOR")); assertEquals(test.toString(), "EUR-EURIBOR-3M"); }
public void test_usdLibor3m() { IborIndex test = IborIndex.of("USD-LIBOR-3M"); assertEquals(test.getCurrency(), USD); assertEquals(test.getName(), "USD-LIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), GBLO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, GBLO)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, GBLO, BusinessDayAdjustment.of(FOLLOWING, GBLO.combinedWith(USNY)))); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO.combinedWith(USNY)))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.getFloatingRateName(), FloatingRateName.of("USD-LIBOR")); assertEquals(test.toString(), "USD-LIBOR-3M"); }
public void test_gbpLibor3m() { IborIndex test = IborIndex.of("GBP-LIBOR-3M"); assertEquals(test.getName(), "GBP-LIBOR-3M"); assertEquals(test.getCurrency(), GBP); assertEquals(test.isActive(), true); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), GBLO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, GBLO))); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, GBLO))); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.getFloatingRateName(), FloatingRateName.of("GBP-LIBOR")); assertEquals(test.toString(), "GBP-LIBOR-3M"); }
public void test_of_invalid_conventionForPeriod() { assertThrowsIllegalArg(() -> TenorAdjustment.of(TENOR_1W, LAST_DAY, BDA_NONE)); assertThrowsIllegalArg(() -> TenorAdjustment.of(TENOR_1W, LAST_BUSINESS_DAY, BDA_NONE)); assertThrowsIllegalArg(() -> TenorAdjustment.ofLastDay(TENOR_1W, BDA_NONE)); assertThrowsIllegalArg(() -> TenorAdjustment.ofLastBusinessDay(TENOR_1W, BDA_NONE)); }
public void test_serialization() { IborIndex index = ImmutableIborIndex.builder() .name("Test-3M") .currency(Currency.GBP) .fixingCalendar(GBLO) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)) .effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)) .maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)) .dayCount(ACT_360) .fixingTime(LocalTime.NOON) .fixingZone(ZoneId.of("Europe/London")) .build(); assertSerialization(index); }
public void test_equals() { ImmutableIborIndex a = ImmutableIborIndex.builder() .name("Test-3M") .currency(Currency.GBP) .fixingCalendar(GBLO) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)) .effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)) .maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)) .dayCount(ACT_360) .fixingTime(LocalTime.NOON) .fixingZone(ZoneId.of("Europe/London")) .build(); IborIndex b = a.toBuilder().name("Rubbish-3M").build(); assertEquals(a.equals(b), false); }
public void coverage() { ImmutableIborIndex index = ImmutableIborIndex.builder() .name("Test-3M") .currency(Currency.GBP) .fixingCalendar(GBLO) .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, GBLO)) .effectiveDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)) .maturityDateOffset(TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.NONE)) .dayCount(ACT_360) .fixingTime(LocalTime.NOON) .fixingZone(ZoneId.of("Europe/London")) .build(); coverImmutableBean(index); coverPrivateConstructor(IborIndices.class); }