@Override public FloatingRateName getFloatingRateName() { return FloatingRateName.of(floatingRateName); }
@Override public FloatingRateName getFloatingRateName() { return FloatingRateName.of(name); }
@Override public FloatingRateName getFloatingRateName() { return FloatingRateName.of(name); }
@Test(dataProvider = "nameType") public void test_toString(String name, String indexName, FloatingRateType type) { FloatingRateName test = FloatingRateName.of(name); assertEquals(test.toString(), name); }
public void test_defaultOvernightIndex() { assertEquals(FloatingRateName.defaultOvernightIndex(Currency.GBP), FloatingRateName.of("GBP-SONIA")); assertEquals(FloatingRateName.defaultOvernightIndex(Currency.EUR), FloatingRateName.of("EUR-EONIA")); assertEquals(FloatingRateName.defaultOvernightIndex(Currency.USD), FloatingRateName.of("USD-FED-FUND")); }
public void test_tiee() { assertEquals(FloatingRateName.of("MXN-TIIE").getDefaultTenor(), Tenor.TENOR_13W); assertEquals(FloatingRateName.of("MXN-TIIE").toFloatingRateIndex(), IborIndices.MXN_TIIE_13W); assertEquals(FloatingRateName.of("MXN-TIIE").toFloatingRateIndex(Tenor.TENOR_4W), IborIndices.MXN_TIIE_4W); assertEquals(FloatingRateName.of("MXN-TIIE").toIborIndex(Tenor.TENOR_4W), IborIndices.MXN_TIIE_4W); assertEquals(FloatingRateName.of("MXN-TIIE").toIborIndexFixingOffset(), DaysAdjustment.ofBusinessDays(-1, MXMC)); }
public void test_normalized() { assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").normalized(), FloatingRateName.of("GBP-LIBOR")); assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").normalized(), FloatingRateName.of("GBP-SONIA")); for (FloatingRateName name : FloatingRateName.extendedEnum().lookupAll().values()) { assertNotNull(name.normalized()); } }
public void test_priceIndex() { assertEquals(FloatingRateName.of("UK-HICP").getDefaultTenor(), Tenor.TENOR_1Y); assertEquals(FloatingRateName.of("UK-HICP").toFloatingRateIndex(), PriceIndices.GB_HICP); assertEquals(FloatingRateName.of("UK-HICP").toFloatingRateIndex(Tenor.TENOR_1M), PriceIndices.GB_HICP); assertEquals(FloatingRateName.of("UK-HICP").toPriceIndex(), PriceIndices.GB_HICP); assertThrows(() -> FloatingRateName.of("GBP-LIBOR-BBA").toPriceIndex(), IllegalStateException.class); assertEquals(FloatingRateName.of("UK-HICP").getTenors(), ImmutableSet.of()); assertThrows(() -> FloatingRateName.of("UK-HICP").toIborIndexFixingOffset(), IllegalStateException.class); }
public void test_cibor() { assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").getDefaultTenor(), Tenor.TENOR_3M); assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toFloatingRateIndex(), IborIndices.DKK_CIBOR_3M); assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toFloatingRateIndex(Tenor.TENOR_1M), IborIndices.DKK_CIBOR_1M); assertEquals(FloatingRateName.of("DKK-CIBOR-DKNA13").toIborIndex(Tenor.TENOR_6M), IborIndices.DKK_CIBOR_6M); assertEquals(FloatingRateName.of("DKK-CIBOR2-DKNA13").toIborIndex(Tenor.TENOR_6M), IborIndices.DKK_CIBOR_6M); assertEquals( FloatingRateName.of("DKK-CIBOR-DKNA13").toIborIndexFixingOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, DKCO))); assertEquals( FloatingRateName.of("DKK-CIBOR2-DKNA13").toIborIndexFixingOffset(), DaysAdjustment.ofBusinessDays(-2, DKCO)); }
public void test_overnightIndex() { assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").getDefaultTenor(), Tenor.TENOR_1D); assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").toFloatingRateIndex(), OvernightIndices.GBP_SONIA); assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").toFloatingRateIndex(Tenor.TENOR_1M), OvernightIndices.GBP_SONIA); assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").toOvernightIndex(), OvernightIndices.GBP_SONIA); assertEquals(FloatingRateNames.USD_FED_FUND.toOvernightIndex(), OvernightIndices.USD_FED_FUND); assertEquals(FloatingRateNames.USD_FED_FUND_AVG.toOvernightIndex(), OvernightIndices.USD_FED_FUND); assertThrows(() -> FloatingRateName.of("GBP-LIBOR-BBA").toOvernightIndex(), IllegalStateException.class); assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").getTenors(), ImmutableSet.of()); assertThrows(() -> FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").toIborIndexFixingOffset(), IllegalStateException.class); }
/** * Converts an FpML 'FloatingRateIndex.model' to a {@code PriceIndex}. * * @param baseEl the FpML floating rate model element to parse * @return the index * @throws RuntimeException if unable to parse */ public PriceIndex parsePriceIndex(XmlElement baseEl) { XmlElement indexEl = baseEl.getChild("floatingRateIndex"); validateScheme(indexEl, "floatingRateIndexScheme", "http://www.fpml.org/coding-scheme/inflation-index-description"); FloatingRateName floatingName = FloatingRateName.of(indexEl.getContent()); return floatingName.toPriceIndex(); }
public void test_gbpHicp() { PriceIndex test = PriceIndex.of("GB-HICP"); assertEquals(test.getName(), "GB-HICP"); assertEquals(test.getCurrency(), GBP); assertEquals(test.getRegion(), GB); assertEquals(test.isActive(), true); assertEquals(test.getPublicationFrequency(), Frequency.P1M); assertEquals(test.getFloatingRateName(), FloatingRateName.of("GB-HICP")); assertEquals(test.toString(), "GB-HICP"); }
@Test(dataProvider = "nameType") public void test_name(String name, String indexName, FloatingRateType type) { FloatingRateName test = FloatingRateName.of(name); assertEquals(test.getName(), name); assertEquals(test.getType(), type); assertEquals(test.getCurrency(), test.toFloatingRateIndex().getCurrency()); }
public void test_getFloatingRateName() { for (IborIndex index : IborIndex.extendedEnum().lookupAll().values()) { String name = index.getName().substring(0, index.getName().lastIndexOf('-')); assertEquals(index.getFloatingRateName(), FloatingRateName.of(name)); } }
public void test_chfSaron() { OvernightIndex test = OvernightIndex.of("CHF-SARON"); assertEquals(test.getName(), "CHF-SARON"); assertEquals(test.getCurrency(), CHF); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), CHZU); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.getFloatingRateName(), FloatingRateName.of("CHF-SARON")); assertEquals(test.toString(), "CHF-SARON"); }
public void test_getFloatingRateName() { for (OvernightIndex index : OvernightIndex.extendedEnum().lookupAll().values()) { assertEquals(index.getFloatingRateName(), FloatingRateName.of(index.getName())); } }
public void test_getFloatingRateName() { for (PriceIndex index : PriceIndex.extendedEnum().lookupAll().values()) { assertEquals(index.getFloatingRateName(), FloatingRateName.of(index.getName())); } }