public void test_serialization() { CdsIsdaCreditCurveNode test = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01); assertSerialization(test); }
public void test_metadata_tenor() { CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01); LocalDate nodeDate = LocalDate.of(2015, 1, 22); ParameterMetadata metadata = node.metadata(nodeDate); assertEquals(((TenorDateParameterMetadata) metadata).getDate(), nodeDate); assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_10Y); }
public void test_of_quotedSpread() { CdsIsdaCreditCurveNode test = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getLegalEntityId(), LEGAL_ENTITY); assertEquals(test.getObservableId(), QUOTE_ID); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20)); }
public void test_trade() { CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01); double rate = 0.0125; double quantity = -1234.56; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); CdsCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA); CdsTrade expected = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, 0.01, REF_DATA); assertEquals(trade.getUnderlyingTrade(), expected); assertEquals(trade.getQuote(), CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate)); CdsIsdaCreditCurveNode node1 = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY); CdsTrade expected1 = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, rate, REF_DATA); CdsCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA); assertEquals(trade1.getUnderlyingTrade(), expected1); assertEquals(trade1.getQuote(), CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate)); }
CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDates[i], conv); QuoteId id = QuoteId.of(StandardId.of("OG", pillarDates[i].toString())); nodes.add(CdsIsdaCreditCurveNode.ofQuotedSpread(temp, id, LEGAL_ENTITY, coupon)); builderCredit.addValue(id, quotes[i]);
public void coverage() { CdsIsdaCreditCurveNode test1 = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01); coverImmutableBean(test1); CdsIsdaCreditCurveNode test2 = CdsIsdaCreditCurveNode.ofPointsUpfront( TenorCdsTemplate.of(TENOR_10Y, CdsConventions.EUR_GB_STANDARD), QuoteId.of(StandardId.of("OG-Ticker", "Cds2")), StandardId.of("OG", "DEF"), 0.01); QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")); coverBeanEquals(test1, test2); }