public void test_of_weekMonthCombination() { IborInterpolatedRateComputation test = IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, FIXING_DATE, REF_DATA); assertEquals(test.getShortObservation(), GBP_LIBOR_1W_OBS); assertEquals(test.getLongObservation(), GBP_LIBOR_1M_OBS); assertEquals(test.getFixingDate(), FIXING_DATE); }
public void test_of_monthly() { IborInterpolatedRateComputation test = IborInterpolatedRateComputation.of(GBP_LIBOR_1M, GBP_LIBOR_3M, FIXING_DATE, REF_DATA); assertEquals(test.getShortObservation(), GBP_LIBOR_1M_OBS); assertEquals(test.getLongObservation(), GBP_LIBOR_3M_OBS); assertEquals(test.getFixingDate(), FIXING_DATE); }
public void test_of_weekly() { IborInterpolatedRateComputation test = IborInterpolatedRateComputation.of(EUR_EURIBOR_1W, EUR_EURIBOR_2W, FIXING_DATE, REF_DATA); assertEquals(test.getShortObservation(), EUR_EURIBOR_1W_OBS); assertEquals(test.getLongObservation(), EUR_EURIBOR_2W_OBS); assertEquals(test.getFixingDate(), FIXING_DATE); }
public void test_of_monthly_byObs() { IborInterpolatedRateComputation test = IborInterpolatedRateComputation.of(GBP_LIBOR_1M_OBS, GBP_LIBOR_3M_OBS); assertEquals(test.getShortObservation(), GBP_LIBOR_1M_OBS); assertEquals(test.getLongObservation(), GBP_LIBOR_3M_OBS); assertEquals(test.getFixingDate(), FIXING_DATE); }
public void test_of_monthly_reverseOrder() { IborInterpolatedRateComputation test = IborInterpolatedRateComputation.of(GBP_LIBOR_3M, GBP_LIBOR_1M, FIXING_DATE, REF_DATA); assertEquals(test.getShortObservation(), GBP_LIBOR_1M_OBS); assertEquals(test.getLongObservation(), GBP_LIBOR_3M_OBS); assertEquals(test.getFixingDate(), FIXING_DATE); }
public void test_of_weekly_reverseOrder() { IborInterpolatedRateComputation test = IborInterpolatedRateComputation.of(EUR_EURIBOR_2W, EUR_EURIBOR_1W, FIXING_DATE, REF_DATA); assertEquals(test.getShortObservation(), EUR_EURIBOR_1W_OBS); assertEquals(test.getLongObservation(), EUR_EURIBOR_2W_OBS); assertEquals(test.getFixingDate(), FIXING_DATE); }
private void assertIborPaymentPeriod( ResolvedSwapLeg expandedPayLeg, int index, String paymentDateStr, String startDateStr, String endDateStr, double notional, String fixingDateStr) { RatePaymentPeriod pp = (RatePaymentPeriod) expandedPayLeg.getPaymentPeriods().get(index); assertEquals(pp.getPaymentDate().toString(), paymentDateStr); assertEquals(Math.abs(pp.getNotional()), notional); assertEquals(pp.getAccrualPeriods().size(), 1); RateAccrualPeriod ap = pp.getAccrualPeriods().get(0); assertEquals(ap.getStartDate().toString(), startDateStr); assertEquals(ap.getEndDate().toString(), endDateStr); if (ap.getRateComputation() instanceof IborInterpolatedRateComputation) { assertEquals(((IborInterpolatedRateComputation) ap.getRateComputation()).getFixingDate().toString(), fixingDateStr); } else if (ap.getRateComputation() instanceof IborRateComputation) { assertEquals(((IborRateComputation) ap.getRateComputation()).getFixingDate().toString(), fixingDateStr); } else { fail(); } }
private void assertIborPaymentPeriodCpd( ResolvedSwapLeg expandedPayLeg, int paymentIndex, int accrualIndex, String paymentDateStr, String startDateStr, String endDateStr, double notional, String fixingDateStr) { RatePaymentPeriod pp = (RatePaymentPeriod) expandedPayLeg.getPaymentPeriods().get(paymentIndex); assertEquals(pp.getPaymentDate().toString(), paymentDateStr); assertEquals(Math.abs(pp.getNotional()), notional); assertEquals(pp.getAccrualPeriods().size(), 2); RateAccrualPeriod ap = pp.getAccrualPeriods().get(accrualIndex); assertEquals(ap.getStartDate().toString(), startDateStr); assertEquals(ap.getEndDate().toString(), endDateStr); if (ap.getRateComputation() instanceof IborInterpolatedRateComputation) { assertEquals(((IborInterpolatedRateComputation) ap.getRateComputation()).getFixingDate().toString(), fixingDateStr); } else if (ap.getRateComputation() instanceof IborRateComputation) { assertEquals(((IborRateComputation) ap.getRateComputation()).getFixingDate().toString(), fixingDateStr); } else { fail(); } }