/** * Gets the convention name, such as 'GBP-LIBOR-3M'. * This is the same as the name of the index by default. * <p> * This will default to the name of the index if not specified. * * @return the convention name */ @Override public String getName() { return name != null ? name : index.getName(); }
/** * Gets the convention name, such as 'GBP-LIBOR-3M'. * <p> * This will default to the name of the index if not specified. * * @return the convention name */ @Override public String getName() { return name != null ? name : index.getName(); }
@Test(dataProvider = "name") public void test_name(IborIndex convention, String name) { assertEquals(convention.getName(), name); }
@Override public Set<Tenor> getTenors() { if (!type.isIbor()) { return ImmutableSet.of(); } return IborIndex.extendedEnum().lookupAll().values().stream() .filter(index -> index.getName().startsWith(indexName)) .filter(index -> index.isActive()) .map(index -> index.getTenor()) .sorted() .collect(toImmutableSet()); }
/** * Obtains a convention based on the specified index. * <p> * This uses the index name to find the matching convention. * By default, this will always return a convention, however configuration may be added * to restrict the conventions that are registered. * * @param index the index, from which the index name is used to find the matching convention * @return the convention * @throws IllegalArgumentException if no convention is registered for the index */ public static FraConvention of(IborIndex index) { ArgChecker.notNull(index, "index"); return extendedEnum().lookup(index.getName()); }
/** * Obtains a convention based on the specified index. * <p> * This uses the index name to find the matching convention. * By default, this will always return a convention, however configuration may be added * to restrict the conventions that are registered. * * @param index the index, from which the index name is used to find the matching convention * @return the convention * @throws IllegalArgumentException if no convention is registered for the index */ public static IborFixingDepositConvention of(IborIndex index) { ArgChecker.notNull(index, "index"); return extendedEnum().lookup(index.getName()); }
public void test_usdLibor_all() { assertEquals(IborIndex.of("USD-LIBOR-1W").getName(), "USD-LIBOR-1W"); assertEquals(IborIndex.of("USD-LIBOR-1W"), IborIndices.USD_LIBOR_1W); assertEquals(IborIndex.of("USD-LIBOR-1M").getName(), "USD-LIBOR-1M"); assertEquals(IborIndex.of("USD-LIBOR-1M"), IborIndices.USD_LIBOR_1M); assertEquals(IborIndex.of("USD-LIBOR-2M").getName(), "USD-LIBOR-2M"); assertEquals(IborIndex.of("USD-LIBOR-2M"), IborIndices.USD_LIBOR_2M); assertEquals(IborIndex.of("USD-LIBOR-3M").getName(), "USD-LIBOR-3M"); assertEquals(IborIndex.of("USD-LIBOR-3M"), IborIndices.USD_LIBOR_3M); assertEquals(IborIndex.of("USD-LIBOR-6M").getName(), "USD-LIBOR-6M"); assertEquals(IborIndex.of("USD-LIBOR-6M"), IborIndices.USD_LIBOR_6M); assertEquals(IborIndex.of("USD-LIBOR-12M").getName(), "USD-LIBOR-12M"); assertEquals(IborIndex.of("USD-LIBOR-12M"), IborIndices.USD_LIBOR_12M); }
@ImmutablePreBuild private static void preBuild(Builder builder) { if (builder.index != null) { if (builder.name == null && builder.dateSequence != null) { builder.name = builder.index.getName() + "-" + builder.dateSequence.getName(); } if (builder.businessDayAdjustment == null) { builder.businessDayAdjustment = BusinessDayAdjustment.of( FOLLOWING, builder.index.getEffectiveDateOffset().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_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_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_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_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_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_builder_minSpecified() { ImmutableFraConvention test = ImmutableFraConvention.builder() .index(GBP_LIBOR_3M) .build(); assertEquals(test.getName(), GBP_LIBOR_3M.getName()); assertEquals(test.getIndex(), GBP_LIBOR_3M); assertEquals(test.getCurrency(), GBP); assertEquals(test.getSpotDateOffset(), GBP_LIBOR_3M.getEffectiveDateOffset()); assertEquals(test.getBusinessDayAdjustment(), BDA_MOD_FOLLOW); assertEquals(test.getPaymentDateOffset(), DaysAdjustment.NONE); assertEquals(test.getFixingDateOffset(), GBP_LIBOR_3M.getFixingDateOffset()); assertEquals(test.getDayCount(), GBP_LIBOR_3M.getDayCount()); assertEquals(test.getDiscounting(), ISDA); }