@Test(dataProvider = "name") public void test_name(OvernightIndex convention, String name) { assertEquals(convention.getName(), name); }
private static double checkedFixing( LocalDate currentFixingTs, LocalDateDoubleTimeSeries indexFixingDateSeries, OvernightIndex index) { OptionalDouble fixedRate = indexFixingDateSeries.get(currentFixingTs); return fixedRate.orElseThrow(() -> new PricingException( "Could not get fixing value of index " + index.getName() + " for date " + currentFixingTs)); } }
private static double checkedFixing( LocalDate currentFixingTs, LocalDateDoubleTimeSeries indexFixingDateSeries, OvernightIndex index) { OptionalDouble fixedRate = indexFixingDateSeries.get(currentFixingTs); return fixedRate.orElseThrow(() -> new PricingException( "Could not get fixing value of index " + index.getName() + " for date " + currentFixingTs)); }
private static double checkedFixing( LocalDate currentFixingTs, LocalDateDoubleTimeSeries indexFixingDateSeries, OvernightIndex index) { OptionalDouble fixedRate = indexFixingDateSeries.get(currentFixingTs); return fixedRate.orElseThrow(() -> new PricingException( "Could not get fixing value of index " + index.getName() + " for date " + currentFixingTs)); } }
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_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_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_usdSofr() { OvernightIndex test = OvernightIndex.of("USD-SOFR"); assertEquals(test.getName(), "USD-SOFR"); assertEquals(test.getCurrency(), USD); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), USGS); assertEquals(test.getPublicationDateOffset(), 1); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.toString(), "USD-SOFR"); }
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_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_sgdSonar() { HolidayCalendarId SGSI = HolidayCalendarId.of("SGSI"); OvernightIndex test = OvernightIndex.of("SGD-SONAR"); assertEquals(test.getName(), "SGD-SONAR"); assertEquals(test.getCurrency(), SGD); assertEquals(test.isActive(), true); assertEquals(test.getFixingCalendar(), SGSI); assertEquals(test.getPublicationDateOffset(), 0); assertEquals(test.getEffectiveDateOffset(), 0); assertEquals(test.getDayCount(), ACT_365F); assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); assertEquals(test.toString(), "SGD-SONAR"); }
public void test_getFloatingRateName() { for (OvernightIndex index : OvernightIndex.extendedEnum().lookupAll().values()) { assertEquals(index.getFloatingRateName(), FloatingRateName.of(index.getName())); } }
public void test_of_1arg() { IndexQuoteId test = IndexQuoteId.of(GBP_SONIA); assertEquals(test.getIndex(), GBP_SONIA); assertEquals(test.getFieldName(), FieldName.MARKET_VALUE); assertEquals(test.getObservableSource(), ObservableSource.NONE); assertEquals(test.getStandardId(), StandardId.of("OG-Index", GBP_SONIA.getName())); assertEquals(test.getMarketDataType(), Double.class); assertEquals(test.toString(), "IndexQuoteId:GBP-SONIA/MarketValue"); }
public void test_of_2args() { IndexQuoteId test = IndexQuoteId.of(GBP_SONIA, FIELD); assertEquals(test.getIndex(), GBP_SONIA); assertEquals(test.getFieldName(), FIELD); assertEquals(test.getObservableSource(), ObservableSource.NONE); assertEquals(test.getStandardId(), StandardId.of("OG-Index", GBP_SONIA.getName())); assertEquals(test.getMarketDataType(), Double.class); assertEquals(test.toString(), "IndexQuoteId:GBP-SONIA/Field"); }
public void test_of_3args() { IndexQuoteId test = IndexQuoteId.of(GBP_SONIA, FIELD, OBS_SOURCE); assertEquals(test.getIndex(), GBP_SONIA); assertEquals(test.getFieldName(), FIELD); assertEquals(test.getObservableSource(), OBS_SOURCE); assertEquals(test.getStandardId(), StandardId.of("OG-Index", GBP_SONIA.getName())); assertEquals(test.getMarketDataType(), Double.class); assertEquals(test.toString(), "IndexQuoteId:GBP-SONIA/Field/Vendor"); }