@Override public Currency getCurrency() { return product.getCurrency(); }
public void test_builder() { OvernightFutureSecurity test = sut(); assertEquals(test.getInfo(), INFO); assertEquals(test.getSecurityId(), PRODUCT.getSecurityId()); assertEquals(test.getCurrency(), PRODUCT.getCurrency()); assertEquals(test.getUnderlyingIds(), ImmutableSet.of()); }
public void test_builder() { OvernightFuture test = sut(); assertEquals(test.getSecurityId(), SECURITY_ID); assertEquals(test.getCurrency(), USD); assertEquals(test.getNotional(), NOTIONAL); assertEquals(test.getAccrualFactor(), ACCRUAL_FACTOR); assertEquals(test.getLastTradeDate(), LAST_TRADE_DATE); assertEquals(test.getIndex(), USD_FED_FUND); assertEquals(test.getRounding(), ROUNDING); assertEquals(test.getStartDate(), START_DATE); assertEquals(test.getEndDate(), END_DATE); assertEquals(test.getLastTradeDate(), LAST_TRADE_DATE); assertEquals(test.getAccrualMethod(), OvernightAccrualMethod.AVERAGED_DAILY); }
public void test_presentValue_after_trade_date() { double lastClosingPrice = 1.005; double expected = (PRICER_PRODUCT.price(RESOLVED_TRADE.getProduct(), RATES_PROVIDER_AFTER) - lastClosingPrice) * FUTURE.getAccrualFactor() * FUTURE.getNotional() * RESOLVED_TRADE.getQuantity(); CurrencyAmount computed = PRICER_TRADE.presentValue(RESOLVED_TRADE, RATES_PROVIDER_AFTER, lastClosingPrice); assertEquals(computed.getAmount(), expected, NOTIONAL * TOL); assertEquals(computed.getCurrency(), FUTURE.getCurrency()); }
public void test_presentValue_on_trade_date() { double lastClosingPrice = 1.005; double expected = (PRICER_PRODUCT.price(RESOLVED_TRADE.getProduct(), RATES_PROVIDER_ON) - RESOLVED_TRADE.getTradedPrice().get().getPrice()) * FUTURE.getAccrualFactor() * FUTURE.getNotional() * RESOLVED_TRADE.getQuantity(); CurrencyAmount computed = PRICER_TRADE.presentValue(RESOLVED_TRADE, RATES_PROVIDER_ON, lastClosingPrice); assertEquals(computed.getAmount(), expected, TOLERANCE_PV); assertEquals(computed.getCurrency(), FUTURE.getCurrency()); }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 1574023291: // securityId return ((OvernightFuture) bean).getSecurityId(); case 575402001: // currency return ((OvernightFuture) bean).getCurrency(); case 1585636160: // notional return ((OvernightFuture) bean).getNotional(); case -1540322338: // accrualFactor return ((OvernightFuture) bean).getAccrualFactor(); case -1041950404: // lastTradeDate return ((OvernightFuture) bean).getLastTradeDate(); case -2129778896: // startDate return ((OvernightFuture) bean).getStartDate(); case -1607727319: // endDate return ((OvernightFuture) bean).getEndDate(); case 100346066: // index return ((OvernightFuture) bean).getIndex(); case -1335729296: // accrualMethod return ((OvernightFuture) bean).getAccrualMethod(); case -142444: // rounding return ((OvernightFuture) bean).getRounding(); } return super.propertyGet(bean, propertyName, quiet); }
/** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(OvernightFuture beanToCopy) { this.securityId = beanToCopy.getSecurityId(); this.currency = beanToCopy.getCurrency(); this.notional = beanToCopy.getNotional(); this.accrualFactor = beanToCopy.getAccrualFactor(); this.lastTradeDate = beanToCopy.getLastTradeDate(); this.startDate = beanToCopy.getStartDate(); this.endDate = beanToCopy.getEndDate(); this.index = beanToCopy.getIndex(); this.accrualMethod = beanToCopy.getAccrualMethod(); this.rounding = beanToCopy.getRounding(); }
public void test_builder_default() { OvernightFuture test = OvernightFuture.builder() .securityId(SECURITY_ID) .notional(NOTIONAL) .accrualFactor(ACCRUAL_FACTOR) .startDate(START_DATE) .endDate(END_DATE) .lastTradeDate(LAST_TRADE_DATE) .index(USD_FED_FUND) .accrualMethod(OvernightAccrualMethod.AVERAGED_DAILY) .build(); assertEquals(test.getSecurityId(), SECURITY_ID); assertEquals(test.getCurrency(), USD); assertEquals(test.getNotional(), NOTIONAL); assertEquals(test.getAccrualFactor(), ACCRUAL_FACTOR); assertEquals(test.getLastTradeDate(), LAST_TRADE_DATE); assertEquals(test.getIndex(), USD_FED_FUND); assertEquals(test.getRounding(), Rounding.none()); assertEquals(test.getStartDate(), START_DATE); assertEquals(test.getEndDate(), END_DATE); assertEquals(test.getLastTradeDate(), LAST_TRADE_DATE); assertEquals(test.getAccrualMethod(), OvernightAccrualMethod.AVERAGED_DAILY); }