/** * Creates curve metadata for a curve providing recovery rates. * <p> * The x-values represent year fractions relative to an unspecified base date * as defined by the specified day count. * * @param name the curve name * @param dayCount the day count * @return the curve metadata */ public static CurveMetadata recoveryRates(String name, DayCount dayCount) { return recoveryRates(CurveName.of(name), dayCount); }
public void recoveryRates_string() { CurveMetadata test = Curves.recoveryRates(NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.RECOVERY_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void recoveryRates_curveName() { CurveMetadata test = Curves.recoveryRates(CURVE_NAME, ACT_360); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.RECOVERY_RATE) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void recoveryRates_curveNameParams() { CurveMetadata test = Curves.recoveryRates(CURVE_NAME, ACT_360, PARAMS); CurveMetadata expected = DefaultCurveMetadata.builder() .curveName(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.RECOVERY_RATE) .dayCount(ACT_360) .parameterMetadata(PARAMS) .build(); assertEquals(test, expected); }