public void test_metadata_dates() { CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES); ParameterMetadata metadata = node.metadata(END_DATE); assertEquals(((LabelDateParameterMetadata) metadata).getDate(), END_DATE); }
public void test_of_pardSpread() { CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES); assertEquals(test.getLabel(), END_DATE.toString()); assertEquals(test.getCdsIndexId(), INDEX_ID); assertEquals(test.getLegalEntityIds(), LEGAL_ENTITIES); assertEquals(test.getObservableId(), QUOTE_ID); assertEquals(test.getTemplate(), TEMPLATE_NS); assertEquals(test.date(VAL_DATE, REF_DATA), END_DATE); }
public void test_trade_noMarketData() { CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES); MarketData marketData = MarketData.empty(VAL_DATE); assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class); }
assertEquals(trade.getQuote(), CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate)); CdsIndexIsdaCreditCurveNode node1 = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES); CdsTrade cdsTrade1 = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, rate, REF_DATA); CdsIndexCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);