public void test_expand_onePeriod_with_futureValueNotional() { FixedRateCalculation test = FixedRateCalculation.builder() .dayCount(ACT_365F) .rate(ValueSchedule.of(0.025d)) .futureValueNotional(FutureValueNotional.of(1000d)) .build(); SchedulePeriod period = SchedulePeriod.of(date(2014, 1, 6), date(2014, 2, 5), date(2014, 1, 5), date(2014, 2, 5)); Schedule schedule = Schedule.builder() .periods(period) .frequency(Frequency.TERM) .rollConvention(RollConventions.NONE) .build(); double yearFraction = period.yearFraction(ACT_365F, schedule); RateAccrualPeriod rap = RateAccrualPeriod.builder(period) .yearFraction(period.yearFraction(ACT_365F, schedule)) .rateComputation(FixedOvernightCompoundedAnnualRateComputation.of(0.025d, yearFraction)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA); assertEquals(periods, ImmutableList.of(rap)); }
public void test_expand_multiplePeriod_with_futureValueNotional() { FixedRateCalculation test = FixedRateCalculation.builder() .dayCount(ACT_365F) .rate(ValueSchedule.of(0.025d)) .futureValueNotional(FutureValueNotional.of(1000d)) .build(); SchedulePeriod period1 = SchedulePeriod.of(date(2014, 1, 6), date(2014, 2, 5), date(2014, 1, 5), date(2014, 2, 5)); SchedulePeriod period2 = SchedulePeriod.of(date(2014, 1, 5), date(2014, 2, 5), date(2014, 2, 5), date(2014, 3, 5)); SchedulePeriod period3 = SchedulePeriod.of(date(2014, 3, 5), date(2014, 4, 7), date(2014, 3, 5), date(2014, 4, 5)); Schedule schedule = Schedule.builder() .periods(period1, period2, period3) .frequency(Frequency.P1M) .rollConvention(RollConventions.DAY_5) .build(); assertThrowsIllegalArg(() -> test.createAccrualPeriods(schedule, schedule, REF_DATA)); }
public void test_expand_oneValue() { FixedRateCalculation test = FixedRateCalculation.builder() .dayCount(ACT_365F) .rate(ValueSchedule.of(0.025d)) .build(); SchedulePeriod period1 = SchedulePeriod.of(date(2014, 1, 6), date(2014, 2, 5), date(2014, 1, 5), date(2014, 2, 5)); SchedulePeriod period2 = SchedulePeriod.of(date(2014, 1, 5), date(2014, 2, 5), date(2014, 2, 5), date(2014, 3, 5)); SchedulePeriod period3 = SchedulePeriod.of(date(2014, 3, 5), date(2014, 4, 7), date(2014, 3, 5), date(2014, 4, 5)); Schedule schedule = Schedule.builder() .periods(period1, period2, period3) .frequency(Frequency.P1M) .rollConvention(RollConventions.DAY_5) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(period1) .yearFraction(period1.yearFraction(ACT_365F, schedule)) .rateComputation(FixedRateComputation.of(0.025d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(period2) .yearFraction(period2.yearFraction(ACT_365F, schedule)) .rateComputation(FixedRateComputation.of(0.025d)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(period3) .yearFraction(period3.yearFraction(ACT_365F, schedule)) .rateComputation(FixedRateComputation.of(0.025d)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
.rateComputation(FixedRateComputation.of(0.015d)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3));