@Test(dataProvider = "floatLeg") public void test_holiday_calendars_match(FixedIborSwapConvention convention, IborIndex floatLeg) { assertEquals( convention.getFixedLeg().getAccrualBusinessDayAdjustment().getCalendar(), floatLeg.getMaturityDateOffset().getAdjustment().getCalendar()); }
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_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_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_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_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_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_tibor_japan3m() { IborIndex test = IborIndex.of("JPY-TIBOR-JAPAN-3M"); assertEquals(test.getCurrency(), JPY); assertEquals(test.getName(), "JPY-TIBOR-JAPAN-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), JPTO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, JPTO)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, JPTO)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.getFloatingRateName(), FloatingRateName.of("JPY-TIBOR-JAPAN")); assertEquals(test.toString(), "JPY-TIBOR-JAPAN-3M"); }
public void test_tibor_euroyen3m() { IborIndex test = IborIndex.of("JPY-TIBOR-EUROYEN-3M"); assertEquals(test.getCurrency(), JPY); assertEquals(test.getName(), "JPY-TIBOR-EUROYEN-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), JPTO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, JPTO)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, JPTO)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, JPTO))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.getFloatingRateName(), FloatingRateName.of("JPY-TIBOR-EUROYEN")); assertEquals(test.toString(), "JPY-TIBOR-EUROYEN-3M"); }
public void test_bbsw5m() { IborIndex test = IborIndex.of("AUD-BBSW-5M"); assertEquals(test.getCurrency(), AUD); assertEquals(test.getName(), "AUD-BBSW-5M"); assertEquals(test.getTenor(), TENOR_5M); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of( TENOR_5M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-BBSW-5M"); }
public void test_bbsw1m() { IborIndex test = IborIndex.of("AUD-BBSW-1M"); assertEquals(test.getCurrency(), AUD); assertEquals(test.getName(), "AUD-BBSW-1M"); assertEquals(test.getTenor(), TENOR_1M); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, AUSY)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, AUSY)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of( TENOR_1M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING_BI_MONTHLY, AUSY))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-BBSW-1M"); }
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_euribor3m() { IborIndex test = IborIndex.of("EUR-EURIBOR-3M"); assertEquals(test.getCurrency(), EUR); assertEquals(test.getName(), "EUR-EURIBOR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), EUTA); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-2, EUTA)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(2, EUTA)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.ofLastBusinessDay(TENOR_3M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUTA))); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), THIRTY_U_360); assertEquals(test.getFloatingRateName(), FloatingRateName.of("EUR-EURIBOR")); assertEquals(test.toString(), "EUR-EURIBOR-3M"); }
public void test_krw_cd() { HolidayCalendarId KRSE = HolidayCalendarId.of("KRSE"); IborIndex test = IborIndex.of("KRW-CD-13W"); assertEquals(test.getCurrency(), KRW); assertEquals(test.getName(), "KRW-CD-13W"); assertEquals(test.getTenor(), TENOR_13W); assertEquals(test.getFixingCalendar(), KRSE); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofBusinessDays(-1, KRSE)); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofBusinessDays(1, KRSE)); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_13W, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(FOLLOWING, KRSE))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "KRW-CD-13W"); IborIndex test2 = IborIndex.of("KRW-CD-3M"); assertEquals(test2.getName(), "KRW-CD-13W"); }
public void test_zar_jibar() { IborIndex test = IborIndex.of("ZAR-JIBAR-3M"); assertEquals(test.getCurrency(), ZAR); assertEquals(test.getName(), "ZAR-JIBAR-3M"); assertEquals(test.getTenor(), TENOR_3M); assertEquals(test.getFixingCalendar(), ZAJO); assertEquals(test.getFixingDateOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, ZAJO))); assertEquals(test.getEffectiveDateOffset(), DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, ZAJO))); assertEquals(test.getMaturityDateOffset(), TenorAdjustment.of(TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, ZAJO))); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "ZAR-JIBAR-3M"); }
private static IborIndex lockIndexCalendar(IborIndex index) { return ((ImmutableIborIndex) index).toBuilder() .fixingCalendar(CalendarUSD.NYC) .effectiveDateOffset(index.getEffectiveDateOffset().toBuilder() .calendar(CalendarUSD.NYC) .adjustment(index.getEffectiveDateOffset().getAdjustment().toBuilder() .calendar(CalendarUSD.NYC) .build()) .build()) .maturityDateOffset(index.getMaturityDateOffset().toBuilder() .adjustment(index.getMaturityDateOffset().getAdjustment().toBuilder() .calendar(CalendarUSD.NYC) .build()) .build()) .build(); }