public void equals() { TenorAdjustment a = TenorAdjustment.of(TENOR_3M, LAST_DAY, BDA_FOLLOW_SAT_SUN); TenorAdjustment b = TenorAdjustment.of(TENOR_1M, LAST_DAY, BDA_FOLLOW_SAT_SUN); TenorAdjustment c = TenorAdjustment.of(TENOR_3M, PAC_NONE, BDA_FOLLOW_SAT_SUN); TenorAdjustment d = TenorAdjustment.of(TENOR_3M, LAST_DAY, BDA_NONE); assertEquals(a.equals(b), false); assertEquals(a.equals(c), false); assertEquals(a.equals(d), false); }
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 coverage() { coverImmutableBean(TenorAdjustment.of(TENOR_3M, LAST_DAY, BDA_FOLLOW_SAT_SUN)); }
public void test_serialization() { assertSerialization(TenorAdjustment.of(TENOR_3M, LAST_DAY, BDA_FOLLOW_SAT_SUN)); }
public void test_of_additionConventionLastDay() { TenorAdjustment test = TenorAdjustment.of(TENOR_3M, LAST_DAY, BDA_FOLLOW_SAT_SUN); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getAdditionConvention(), LAST_DAY); assertEquals(test.getAdjustment(), BDA_FOLLOW_SAT_SUN); assertEquals(test.toString(), "3M with LastDay then apply Following using calendar Sat/Sun"); }
@Test(dataProvider = "adjust") public void test_adjust(int months, LocalDate date, LocalDate expected) { TenorAdjustment test = TenorAdjustment.of(Tenor.ofMonths(months), LAST_DAY, BDA_FOLLOW_SAT_SUN); assertEquals(test.adjust(date, REF_DATA), expected); assertEquals(test.resolve(REF_DATA).adjust(date), expected); }
public void test_pln_wibor() { IborIndex test = IborIndex.of("PLN-WIBOR-3M"); assertEquals(test.getCurrency(), PLN); assertEquals(test.getName(), "PLN-WIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), PLWA); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, PLWA)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, PLWA)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, PLWA))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_ACT_ISDA); assertEquals(test.toString(), "PLN-WIBOR-3M"); }
public void test_dkk_cibor() { IborIndex test = IborIndex.of("DKK-CIBOR-3M"); assertEquals(test.getCurrency(), DKK); assertEquals(test.getName(), "DKK-CIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), DKCO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, DKCO)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, DKCO)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, DKCO))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), THIRTY_U_360); assertEquals(test.toString(), "DKK-CIBOR-3M"); }
public void test_czk_pribor() { IborIndex test = IborIndex.of("CZK-PRIBOR-3M"); assertEquals(test.getCurrency(), CZK); assertEquals(test.getName(), "CZK-PRIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), CZPR); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, CZPR)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, CZPR)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, CZPR))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.toString(), "CZK-PRIBOR-3M"); }
public void test_sek_stibor() { IborIndex test = IborIndex.of("SEK-STIBOR-3M"); assertEquals(test.getCurrency(), SEK); assertEquals(test.getName(), "SEK-STIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), SEST); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, SEST)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, SEST)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SEST))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), THIRTY_U_360); assertEquals(test.toString(), "SEK-STIBOR-3M"); }
public void test_mxn_tiie() { IborIndex test = IborIndex.of("MXN-TIIE-4W"); assertEquals(test.getCurrency(), MXN); assertEquals(test.getName(), "MXN-TIIE-4W"); assertEquals(test.getTenor(), TENOR_4W); assertEquals(test.getFixingCalendar(), MXMC); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, MXMC)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, MXMC)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_4W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, MXMC))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.toString(), "MXN-TIIE-4W"); }
public void test_bbsw4m() { IborIndex test = IborIndex.of("AUD-BBSW-4M"); assertEquals(test.getCurrency(), AUD); assertEquals(test.getName(), "AUD-BBSW-4M"); assertEquals(test.getTenor(), TENOR_4M); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of( TENOR_4M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-BBSW-4M"); }
public void test_huf_bubor() { IborIndex test = IborIndex.of("HUF-BUBOR-3M"); assertEquals(test.getCurrency(), HUF); assertEquals(test.getName(), "HUF-BUBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), HUBU); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, HUBU)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, HUBU)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HUBU))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "HUF-BUBOR-3M"); }
public void test_of_additionConventionNone() { TenorAdjustment test = TenorAdjustment.of(Tenor.of(Period.of(1, 2, 3)), PAC_NONE, BDA_NONE); assertEquals(test.getTenor(), Tenor.of(Period.of(1, 2, 3))); assertEquals(test.getAdditionConvention(), PAC_NONE); assertEquals(test.getAdjustment(), BDA_NONE); assertEquals(test.toString(), "1Y2M3D"); }
public void test_bbsw2m() { IborIndex test = IborIndex.of("AUD-BBSW-2M"); assertEquals(test.getCurrency(), AUD); assertEquals(test.getName(), "AUD-BBSW-2M"); assertEquals(test.getTenor(), TENOR_2M); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of( TENOR_2M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-BBSW-2M"); }
public void test_bbsw6m() { IborIndex test = IborIndex.of("AUD-BBSW-6M"); assertEquals(test.getCurrency(), AUD); assertEquals(test.getName(), "AUD-BBSW-6M"); assertEquals(test.getTenor(), TENOR_6M); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of( TENOR_6M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-BBSW-6M"); }
public void test_bbsw3m() { IborIndex test = IborIndex.of("AUD-BBSW-3M"); assertEquals(test.getCurrency(), AUD); assertEquals(test.getName(), "AUD-BBSW-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of( TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-BBSW-3M"); }
public void test_hkd_hibor() { HolidayCalendarId HKHK = HolidayCalendarId.of("HKHK"); IborIndex test = IborIndex.of("HKD-HIBOR-3M"); assertEquals(test.getCurrency(), HKD); assertEquals(test.getName(), "HKD-HIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), HKHK); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, HKHK)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, HKHK)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HKHK))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "HKD-HIBOR-3M"); }
public void test_sgd_sibor() { HolidayCalendarId SGSI = HolidayCalendarId.of("SGSI"); IborIndex test = IborIndex.of("SGD-SIBOR-3M"); assertEquals(test.getCurrency(), SGD); assertEquals(test.getName(), "SGD-SIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), SGSI); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, SGSI)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, SGSI)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, SGSI))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "SGD-SIBOR-3M"); }
public void test_nzd_bkbm() { IborIndex test = IborIndex.of("NZD-BKBM-3M"); assertEquals(test.getCurrency(), NZD); assertEquals(test.getName(), "NZD-BKBM-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), NZBD); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, NZBD))); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, NZBD))); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, NZBD))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "NZD-BKBM-3M"); }