public void test_usdFedFund3m() { OvernightIndex test = OvernightIndex.of("USD-FED-FUND"); assertEquals(test.getCurrency(), USD); assertEquals(test.getName(), "USD-FED-FUND"); assertEquals(test.getFixingCalendar(), USNY); assertEquals(test.getPublicationDateOffset(), 1); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.toString(), "USD-FED-FUND"); }
public void test_dkkOis() { OvernightIndex test = OvernightIndex.of("DKK-TNR"); assertEquals(test.getName(), "DKK-TNR"); assertEquals(test.getCurrency(), DKK); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), DKCO); assertEquals(test.getPublicationDateOffset(), 1); assertEquals(test.getEffectiveDateOffset(), 1); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.toString(), "DKK-TNR"); }
public void test_sekOis() { OvernightIndex test = OvernightIndex.of("SEK-SIOR"); assertEquals(test.getName(), "SEK-SIOR"); assertEquals(test.getCurrency(), SEK); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), SEST); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 1); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getDefaultFixedLegDayCount(), ACT_360); assertEquals(test.toString(), "SEK-SIOR"); }
public void test_zarSabor() { OvernightIndex test = OvernightIndex.of("ZAR-SABOR"); assertEquals(test.getName(), "ZAR-SABOR"); assertEquals(test.getCurrency(), ZAR); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), ZAJO); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "ZAR-SABOR"); }
public void test_audAonia() { OvernightIndex test = OvernightIndex.of("AUD-AONIA"); assertEquals(test.getName(), "AUD-AONIA"); assertEquals(test.getCurrency(), AUD); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), AUSY); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "AUD-AONIA"); }
public void test_plnOis() { OvernightIndex test = OvernightIndex.of("PLN-POLONIA"); assertEquals(test.getName(), "PLN-POLONIA"); assertEquals(test.getCurrency(), PLN); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), PLWA); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "PLN-POLONIA"); }
public void test_inrOis() { OvernightIndex test = OvernightIndex.of("INR-OMIBOR"); assertEquals(test.getName(), "INR-OMIBOR"); assertEquals(test.getCurrency(), INR); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), HolidayCalendarId.of("INMU")); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "INR-OMIBOR"); }
public void test_brlCdi() { OvernightIndex test = OvernightIndex.of("BRL-CDI"); assertEquals(test.getName(), "BRL-CDI"); assertEquals(test.getCurrency(), BRL); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), BRBD); assertEquals(test.getPublicationDateOffset(), 1); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), DayCount.ofBus252(BRBD)); assertEquals(test.toString(), "BRL-CDI"); }
public void test_nzdOis() { OvernightIndex test = OvernightIndex.of("NZD-NZIONA"); assertEquals(test.getName(), "NZD-NZIONA"); assertEquals(test.getCurrency(), NZD); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), HolidayCalendarId.of("NZBD")); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "NZD-NZIONA"); }
public void test_gbpSonia() { OvernightIndex test = OvernightIndex.of("GBP-SONIA"); assertEquals(test.getName(), "GBP-SONIA"); assertEquals(test.getCurrency(), GBP); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), GBLO); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.getFloatingRateName(), FloatingRateName.of("GBP-SONIA")); assertEquals(test.toString(), "GBP-SONIA"); }
public void test_of() { OvernightCompoundedAnnualRateComputation test = sut(); assertEquals(test.getStartDate(), date(2016, 2, 24)); assertEquals(test.getEndDate(), date(2016, 3, 24)); assertEquals(test.getIndex(), BRL_CDI); assertEquals(test.getFixingCalendar(), BRL_CDI.getFixingCalendar().resolve(REF_DATA)); }
public void test_of_noRateCutoff() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of( USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals(test.getStartDate(), date(2016, 2, 24)); assertEquals(test.getEndDate(), date(2016, 3, 24)); assertEquals(test.getIndex(), USD_FED_FUND); assertEquals(test.getFixingCalendar(), USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)); }
public void test_of_rateCutoff_0() { OvernightAveragedRateComputation test = OvernightAveragedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), 0, REF_DATA); OvernightAveragedRateComputation expected = OvernightAveragedRateComputation.builder() .index(USD_FED_FUND) .fixingCalendar(USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 24)) .endDate(date(2016, 3, 24)) .rateCutOffDays(0) .build(); assertEquals(test, expected); }
public void test_of_rateCutoff_2() { OvernightAveragedRateComputation test = OvernightAveragedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), 2, REF_DATA); OvernightAveragedRateComputation expected = OvernightAveragedRateComputation.builder() .index(USD_FED_FUND) .fixingCalendar(USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 24)) .endDate(date(2016, 3, 24)) .rateCutOffDays(2) .build(); assertEquals(test, expected); }
public void test_of_rateCutoff_2() { OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), 2, REF_DATA); OvernightCompoundedRateComputation expected = OvernightCompoundedRateComputation.builder() .index(USD_FED_FUND) .fixingCalendar(USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 24)) .endDate(date(2016, 3, 24)) .rateCutOffDays(2) .build(); assertEquals(test, expected); }
public void test_of_noRateCutoff() { OvernightAveragedRateComputation test = OvernightAveragedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); OvernightAveragedRateComputation expected = OvernightAveragedRateComputation.builder() .index(USD_FED_FUND) .fixingCalendar(USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 24)) .endDate(date(2016, 3, 24)) .rateCutOffDays(0) .build(); assertEquals(test, expected); }
public void test_of_noRateCutoff_tomNext() { OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(CHF_TOIS, date(2016, 2, 24), date(2016, 3, 24), 0, REF_DATA); OvernightCompoundedRateComputation expected = OvernightCompoundedRateComputation.builder() .index(CHF_TOIS) .fixingCalendar(CHF_TOIS.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 23)) .endDate(date(2016, 3, 23)) .rateCutOffDays(0) .build(); assertEquals(test, expected); }
public void test_of_rateCutoff_0() { OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), 0, REF_DATA); OvernightCompoundedRateComputation expected = OvernightCompoundedRateComputation.builder() .index(USD_FED_FUND) .fixingCalendar(USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 24)) .endDate(date(2016, 3, 24)) .rateCutOffDays(0) .build(); assertEquals(test, expected); }
public void test_of_noRateCutoff_tomNext() { OvernightAveragedRateComputation test = OvernightAveragedRateComputation.of(CHF_TOIS, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); OvernightAveragedRateComputation expected = OvernightAveragedRateComputation.builder() .index(CHF_TOIS) .fixingCalendar(CHF_TOIS.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 23)) .endDate(date(2016, 3, 23)) .rateCutOffDays(0) .build(); assertEquals(test, expected); }
public void test_of_noRateCutoff() { OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); OvernightCompoundedRateComputation expected = OvernightCompoundedRateComputation.builder() .index(USD_FED_FUND) .fixingCalendar(USD_FED_FUND.getFixingCalendar().resolve(REF_DATA)) .startDate(date(2016, 2, 24)) .endDate(date(2016, 3, 24)) .rateCutOffDays(0) .build(); assertEquals(test, expected); }