public void test_of() { ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE); assertEquals(test.getCurrency(), GBP); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getCurve(), CURVE); assertEquals(test.getParameterCount(), CURVE.getParameterCount()); assertEquals(test.getParameter(0), CURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); }
public void test_of_withoutFixings() { DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE); assertEquals(test.getIndex(), GBP_SONIA); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getFixings(), SERIES_EMPTY); assertEquals(test.getDiscountFactors(), DFCURVE); assertEquals(test.getParameterCount(), DFCURVE.getParameterCount()); assertEquals(test.getParameter(0), DFCURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), DFCURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getDiscountFactors(), DFCURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getDiscountFactors(), DFCURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); // check IborIndexRates OvernightIndexRates test2 = OvernightIndexRates.of(GBP_SONIA, DATE_VAL, CURVE); assertEquals(test, test2); }
public void test_of_withoutFixings() { DiscountIborIndexRates test = DiscountIborIndexRates.of(GBP_LIBOR_3M, DFCURVE); assertEquals(test.getIndex(), GBP_LIBOR_3M); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getFixings(), SERIES_EMPTY); assertEquals(test.getDiscountFactors(), DFCURVE); assertEquals(test.getDiscountFactors(), DFCURVE); assertEquals(test.getParameterCount(), DFCURVE.getParameterCount()); assertEquals(test.getParameter(0), DFCURVE.getParameter(0)); assertEquals(test.getParameterMetadata(0), DFCURVE.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getDiscountFactors(), DFCURVE.withParameter(0, 1d)); assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getDiscountFactors(), DFCURVE.withPerturbation((i, v, m) -> v + 1d)); assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); // check IborIndexRates IborIndexRates test2 = IborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE); assertEquals(test, test2); }
public void test_of() { DiscountFxForwardRates test = DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD); assertEquals(test.getCurrencyPair(), CURRENCY_PAIR); assertEquals(test.getValuationDate(), DATE_VAL); assertEquals(test.getBaseCurrencyDiscountFactors(), DFCURVE_GBP); assertEquals(test.getCounterCurrencyDiscountFactors(), DFCURVE_USD); assertEquals(test.getFxRateProvider(), FX_RATE); assertEquals(test.findData(CURVE1.getName()), Optional.of(CURVE1)); assertEquals(test.findData(CURVE2.getName()), Optional.of(CURVE2)); assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty()); int baseSize = DFCURVE_USD.getParameterCount(); assertEquals(test.getParameterCount(), DFCURVE_GBP.getParameterCount() + baseSize); assertEquals(test.getParameter(0), DFCURVE_GBP.getParameter(0)); assertEquals(test.getParameter(baseSize), DFCURVE_USD.getParameter(0)); assertEquals(test.getParameterMetadata(0), DFCURVE_GBP.getParameterMetadata(0)); assertEquals(test.getParameterMetadata(baseSize), DFCURVE_USD.getParameterMetadata(0)); assertEquals(test.withParameter(0, 1d).getBaseCurrencyDiscountFactors(), DFCURVE_GBP.withParameter(0, 1d)); assertEquals(test.withParameter(0, 1d).getCounterCurrencyDiscountFactors(), DFCURVE_USD); assertEquals(test.withParameter(baseSize, 1d).getBaseCurrencyDiscountFactors(), DFCURVE_GBP); assertEquals(test.withParameter(baseSize, 1d).getCounterCurrencyDiscountFactors(), DFCURVE_USD.withParameter(0, 1d)); assertEquals( test.withPerturbation((i, v, m) -> v + 1d).getBaseCurrencyDiscountFactors(), DFCURVE_GBP.withPerturbation((i, v, m) -> v + 1d)); assertEquals( test.withPerturbation((i, v, m) -> v + 1d).getCounterCurrencyDiscountFactors(), DFCURVE_USD.withPerturbation((i, v, m) -> v + 1d)); }