/** * Creates curve metadata for a curve providing forward rates. * <p> * The x-values represent year fractions relative to an unspecified base date * as defined by the specified day count. * * @param name the curve name * @param dayCount the day count * @return the curve metadata */ public static CurveMetadata forwardRates(String name, DayCount dayCount) { return forwardRates(CurveName.of(name), dayCount); }
public void forwardRates_string() { CurveMetadata test = Curves.forwardRates(NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void forwardRates_curveName() { CurveMetadata test = Curves.forwardRates(CURVE_NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void forwardRates_curveNameParams() { CurveMetadata test = Curves.forwardRates(CURVE_NAME, ACT_360, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.FORWARD_RATE) .dayCount(ACT_360) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }
private SimpleRatesProvider createProvider(ResolvedFra fraExp) { DiscountFactors mockDf = SimpleDiscountFactors.of( GBP, VAL_DATE, ConstantCurve.of(Curves.discountFactors("DSC", DAY_COUNT), DISCOUNT_FACTOR)); LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE, FORWARD_RATE); IborIndexRates mockIbor = SimpleIborIndexRates.of( GBP_LIBOR_3M, VAL_DATE, ConstantCurve.of(Curves.forwardRates("L3M", DAY_COUNT), FORWARD_RATE), timeSeries); SimpleRatesProvider prov = new SimpleRatesProvider(VAL_DATE, mockDf); prov.setIborRates(mockIbor); return prov; }