public void test_of_firstIndexValue() { InflationRateCalculation test1 = InflationRateCalculation.of(CH_CPI, 3, MONTHLY, 123d); assertEquals(test1.getIndex(), CH_CPI); assertEquals(test1.getLag(), Period.ofMonths(3)); assertEquals(test1.getIndexCalculationMethod(), MONTHLY); assertEquals(test1.getFirstIndexValue(), OptionalDouble.of(123d)); assertEquals(test1.getGearing(), Optional.empty()); assertEquals(test1.getType(), SwapLegType.INFLATION); }
public void test_of() { InflationRateCalculation test1 = InflationRateCalculation.of(CH_CPI, 3, MONTHLY); assertEquals(test1.getIndex(), CH_CPI); assertEquals(test1.getLag(), Period.ofMonths(3)); assertEquals(test1.getIndexCalculationMethod(), MONTHLY); assertEquals(test1.getFirstIndexValue(), OptionalDouble.empty()); assertEquals(test1.getGearing(), Optional.empty()); assertEquals(test1.getType(), SwapLegType.INFLATION); }
public void test_toLeg() { InflationRateSwapLegConvention base = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW); LocalDate startDate = LocalDate.of(2015, 5, 5); LocalDate endDate = LocalDate.of(2020, 5, 5); RateCalculationSwapLeg test = base.toLeg( startDate, endDate, PAY, NOTIONAL_2M); RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder() .payReceive(PAY) .accrualSchedule(PeriodicSchedule.builder() .frequency(Frequency.TERM) .startDate(startDate) .endDate(endDate) .businessDayAdjustment(BDA_MOD_FOLLOW) .build()) .paymentSchedule(PaymentSchedule.builder() .paymentFrequency(Frequency.TERM) .paymentDateOffset(DaysAdjustment.NONE) .build()) .notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)) .calculation(InflationRateCalculation.of(GB_HICP, 3, MONTHLY)) .build(); assertEquals(test, expected); }