public void test_serialization() { DepositIsdaCreditCurveNode test = DepositIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, ACT_360); assertSerialization(test); }
public void test_of() { DepositIsdaCreditCurveNode test = DepositIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, ACT_360); assertEquals(test.getBusinessDayAdjustment(), BUS_ADJ); assertEquals(test.getDayCount(), ACT_360); assertEquals(test.getLabel(), TENOR.toString()); assertEquals(test.getObservableId(), OBS_ID); assertEquals(test.getSpotDateOffset(), ADJ_3D); assertEquals(test.getTenor(), TENOR); assertEquals(test.date(TRADE_DATE, REF_DATA), LocalDate.of(2017, 1, 4)); assertEquals(test.metadata(LocalDate.of(2017, 1, 4)), TenorDateParameterMetadata.of(LocalDate.of(2017, 1, 4), TENOR)); }
private List<IsdaCreditCurveNode> createsNode( DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, DayCount depositDayCount, DayCount swapDayCount, Frequency paymentFrequency, int[] termMonths, int[] swapYears, String[] idValues) { int nInstruments = idValues.length; int nTerms = termMonths.length; List<IsdaCreditCurveNode> nodes = new ArrayList<>(nInstruments); for (int i = 0; i < nTerms; i++) { Tenor tenor = Tenor.ofMonths(termMonths[i]); nodes.add(DepositIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[i])), spotDateOffset, businessDayAdjustment, tenor, depositDayCount)); } for (int i = nTerms; i < nInstruments; i++) { Tenor tenor = Tenor.ofYears(swapYears[i - nTerms]); nodes.add(SwapIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[i])), spotDateOffset, businessDayAdjustment, tenor, swapDayCount, paymentFrequency)); } return nodes; }
for (int i = 0; i < nMoneyMarket; i++) { Tenor tenor = Tenor.ofMonths(mmMonths[i]); nodes.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", idValues[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360)); QuoteId.of(StandardId.of("OG", idValues[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P6M)); nodes.add(DepositIsdaCreditCurveNode.of( QuoteId.of(StandardId.of("OG", idValues[nInstruments])), ADJ_3D, BUS_ADJ, Tenor.ofMonths(18), ACT_360)); ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(snapDate);
for (int i = 0; i < nMoneyMarket; i++) { Tenor tenor = Tenor.ofMonths(mmMonths[i]); nodes.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", idValues[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360));
public void coverage() { DepositIsdaCreditCurveNode test1 = DepositIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, ACT_360); coverImmutableBean(test1); DepositIsdaCreditCurveNode test2 = DepositIsdaCreditCurveNode.builder() .observableId(QuoteId.of(StandardId.of("OG", "foo"))) .spotDateOffset(DaysAdjustment.NONE) .businessDayAdjustment(BusinessDayAdjustment.NONE) .tenor(Tenor.TENOR_6M) .dayCount(DayCounts.ACT_365F) .label("test2") .build(); coverBeanEquals(test1, test2); }
Tenor tenor = Tenor.ofMonths(mmMonths1[i]); ImmutableTermDepositConvention convention = (ImmutableTermDepositConvention) TermDepositConventions.USD_SHORT_DEPOSIT_T2; nodes1.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", idValues1[i])), convention.getSpotDateOffset(), convention.getBusinessDayAdjustment(), tenor, convention.getDayCount())); Tenor tenor = Tenor.ofMonths(mmMonths2[i]); nodes2.add( DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", idValues2[i])), ADJ_0D, BUS_ADJ, tenor, ACT_360));