/** * Returns a curve node for a three leg basis swap using the * specified instrument template and rate. * <p> * A suitable default label will be created. * * @param template the template used for building the instrument for the node * @param rateId the identifier of the market rate used when building the instrument for the node * @return a node whose instrument is built from the template using a market rate */ public static ThreeLegBasisSwapCurveNode of(ThreeLegBasisSwapTemplate template, ObservableId rateId) { return of(template, rateId, 0d); }
public void test_requirements() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); Set<ObservableId> set = test.requirements(); Iterator<ObservableId> itr = set.iterator(); assertEquals(itr.next(), QUOTE_ID); assertFalse(itr.hasNext()); }
public void test_serialization() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); assertSerialization(test); }
public void test_metadata_end() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2025, 1, 27)); assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_10Y); }
public void test_of_noSpread() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), 0.0d); assertEquals(test.getTemplate(), TEMPLATE); }
public void test_of_withSpread() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); }
public void test_of_withSpreadAndLabel() { ThreeLegBasisSwapCurveNode test = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL); assertEquals(test.getLabel(), LABEL); assertEquals(test.getRateId(), QUOTE_ID); assertEquals(test.getAdditionalSpread(), SPREAD); assertEquals(test.getTemplate(), TEMPLATE); }
public void test_metadata_last_fixing() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING); LocalDate valuationDate = LocalDate.of(2015, 1, 22); LocalDate fixingExpected = LocalDate.of(2024, 7, 24); DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(metadata.getDate(), fixingExpected); assertEquals(metadata.getLabel(), node.getLabel()); }
public void test_initialGuess() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 0d); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), 1.0d); }
public void test_trade_noMarketData() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); MarketData marketData = MarketData.empty(VAL_DATE); assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class); }
public void test_trade() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.125; double quantity = -1234.56; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); SwapTrade trade = node.trade(quantity, marketData, REF_DATA); SwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BUY, -quantity, rate + SPREAD, REF_DATA); assertEquals(trade, expected); }
public void test_metadata_fixed() { LocalDate nodeDate = VAL_DATE.plusMonths(1); ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(nodeDate)); DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA); assertEquals(metadata.getDate(), nodeDate); assertEquals(metadata.getLabel(), node.getLabel()); }