public void test_of() { BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN); PeriodicSchedule expected = PeriodicSchedule.builder() .startDate(START_DATE) .endDate(END_DATE) .businessDayAdjustment(bussAdj) .startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .frequency(P3M) .rollConvention(RollConventions.NONE) .stubConvention(SMART_INITIAL) .build(); assertEquals(PRODUCT.getPaymentSchedule(), expected); assertEquals(PRODUCT.getBuySell(), BUY); assertEquals(PRODUCT.getCurrency(), USD); assertEquals(PRODUCT.getDayCount(), ACT_360); assertEquals(PRODUCT.getFixedRate(), COUPON); assertEquals(PRODUCT.getCdsIndexId(), INDEX_ID); assertEquals(PRODUCT.getLegalEntityIds(), LEGAL_ENTITIES); assertEquals(PRODUCT.getNotional(), NOTIONAL); assertEquals(PRODUCT.getPaymentOnDefault(), ACCRUED_PREMIUM); assertEquals(PRODUCT.getProtectionStart(), BEGINNING); assertEquals(PRODUCT.getSettlementDateOffset(), SETTLE_DAY_ADJ); assertEquals(PRODUCT.getStepinDateOffset(), STEPIN_DAY_ADJ); CdsIndex test = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, START_DATE, END_DATE, P3M, SAT_SUN, COUPON); assertEquals(test, PRODUCT); }
public void coverage() { CdsIndexTrade test1 = sut(); coverImmutableBean(test1); CdsIndex product = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, 1.e9, START_DATE, END_DATE, P6M, SAT_SUN, 0.067); CdsIndexTrade test2 = CdsIndexTrade.builder() .product(product) .info(TradeInfo.empty()) .build(); coverBeanEquals(test1, test2); }
public void coverage() { ResolvedCdsIndexTrade test1 = ResolvedCdsIndexTrade.builder() .product(PRODUCT) .upfrontFee(UPFRONT) .info(TRADE_INFO) .build(); coverImmutableBean(test1); ResolvedCdsIndex product = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, 1.e9, START_DATE, END_DATE, P6M, SAT_SUN, 0.067).resolve(REF_DATA); ResolvedCdsIndexTrade test2 = ResolvedCdsIndexTrade.builder() .product(product) .info(TradeInfo.empty()) .build(); coverBeanEquals(test1, test2); }
CdsIndexCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA); CdsTrade cdsTrade = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, 0.01, REF_DATA); CdsIndex cdsIndex = CdsIndex.of( SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.getConvention().getCurrency(), -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.getConvention().getSettlementDateOffset().getCalendar(), 0.01); CdsTrade cdsTrade1 = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, rate, REF_DATA); CdsIndexCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA); CdsIndex cdsIndex1 = CdsIndex.of( SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.getConvention().getCurrency(), -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.getConvention().getSettlementDateOffset().getCalendar(), rate);