public void test_builder_schedulePeriod() { SchedulePeriod schedulePeriod = SchedulePeriod.of(DATE_2014_03_31, DATE_2014_07_01, DATE_2014_03_30, DATE_2014_06_30); RateAccrualPeriod test = RateAccrualPeriod.builder(schedulePeriod) .yearFraction(0.25d) .rateComputation(GBP_LIBOR_3M_2014_03_28) .build(); assertEquals(test.getStartDate(), DATE_2014_03_31); assertEquals(test.getEndDate(), DATE_2014_07_01); assertEquals(test.getUnadjustedStartDate(), DATE_2014_03_30); assertEquals(test.getUnadjustedEndDate(), DATE_2014_06_30); assertEquals(test.getYearFraction(), 0.25d, 0d); assertEquals(test.getRateComputation(), GBP_LIBOR_3M_2014_03_28); assertEquals(test.getGearing(), 1d, 0d); assertEquals(test.getSpread(), 0d, 0d); assertEquals(test.getNegativeRateMethod(), ALLOW_NEGATIVE); }
/** * Returns a builder used to create an instance of the bean, based on a schedule period. * <p> * The start date and end date (adjusted and unadjusted) will be set in the builder. * * @param period the schedule period * @return the builder, not null */ public static RateAccrualPeriod.Builder builder(SchedulePeriod period) { return builder() .startDate(period.getStartDate()) .endDate(period.getEndDate()) .unadjustedStartDate(period.getUnadjustedStartDate()) .unadjustedEndDate(period.getUnadjustedEndDate()); }
public void test_builder_defaultDates() { RateAccrualPeriod test = RateAccrualPeriod.builder() .startDate(DATE_2014_03_31) .endDate(DATE_2014_07_01) .yearFraction(0.25d) .rateComputation(GBP_LIBOR_3M_2014_03_28) .build(); assertEquals(test.getStartDate(), DATE_2014_03_31); assertEquals(test.getEndDate(), DATE_2014_07_01); assertEquals(test.getUnadjustedStartDate(), DATE_2014_03_31); assertEquals(test.getUnadjustedEndDate(), DATE_2014_07_01); assertEquals(test.getYearFraction(), 0.25d, 0d); assertEquals(test.getRateComputation(), GBP_LIBOR_3M_2014_03_28); assertEquals(test.getGearing(), 1d, 0d); assertEquals(test.getSpread(), 0d, 0d); assertEquals(test.getNegativeRateMethod(), ALLOW_NEGATIVE); }
public void test_builder() { RateAccrualPeriod test = RateAccrualPeriod.builder() .startDate(DATE_2014_03_31) .endDate(DATE_2014_07_01) .unadjustedStartDate(DATE_2014_03_30) .unadjustedEndDate(DATE_2014_06_30) .yearFraction(0.25d) .rateComputation(GBP_LIBOR_3M_2014_03_28) .build(); assertEquals(test.getStartDate(), DATE_2014_03_31); assertEquals(test.getEndDate(), DATE_2014_07_01); assertEquals(test.getUnadjustedStartDate(), DATE_2014_03_30); assertEquals(test.getUnadjustedEndDate(), DATE_2014_06_30); assertEquals(test.getYearFraction(), 0.25d, 0d); assertEquals(test.getRateComputation(), GBP_LIBOR_3M_2014_03_28); assertEquals(test.getGearing(), 1d, 0d); assertEquals(test.getSpread(), 0d, 0d); assertEquals(test.getNegativeRateMethod(), ALLOW_NEGATIVE); }
public void test_expand_simple() { OvernightRateCalculation test = OvernightRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_SONIA) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_01_06, DATE_02_05, 0, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_02_05, DATE_03_05, 0, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_03_05, DATE_04_07, 0, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
@SuppressWarnings("deprecation") public void test_expand_tomNext() { OvernightRateCalculation test = OvernightRateCalculation.builder() .dayCount(ACT_360) .index(CHF_TOIS) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_360, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(CHF_TOIS, DATE_01_06, DATE_02_05, 0, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_360, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(CHF_TOIS, DATE_02_05, DATE_03_05, 0, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_360, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(CHF_TOIS, DATE_03_05, DATE_04_07, 0, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_simple() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_02, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_simpleFinalStub() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_FINAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_02, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_FINAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB) .yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_FINAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_FINAL_STUB, ACCRUAL_SCHEDULE_FINAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_simpleTwoStubs() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB) .yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_simpleInitialStub() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_INITIAL_STUB)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_INITIAL_STUB, ACCRUAL_SCHEDULE_INITIAL_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_rateCutOffDays_accrualIsPaymentPeriod() { OvernightRateCalculation test = OvernightRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_SONIA) .rateCutOffDays(2) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_01_06, DATE_02_05, 2, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_02_05, DATE_03_05, 2, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_03_05, DATE_04_07, 2, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_rateCutOffDays_threeAccrualsInPaymentPeriod() { OvernightRateCalculation test = OvernightRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_SONIA) .rateCutOffDays(2) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_01_06, DATE_02_05, 0, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_02_05, DATE_03_05, 0, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(OvernightCompoundedRateComputation.of(GBP_SONIA, DATE_03_05, DATE_04_07, 2, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, PAYMENT_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRegularRateFixedTwoStubs() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRegularRate(0.028d) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(FixedRateComputation.of(0.028d)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3STUB) .yearFraction(ACCRUAL3STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE_STUBS, ACCRUAL_SCHEDULE_STUBS, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstRateFixed() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRate(0.024d) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(FixedRateComputation.of(0.024d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_firstFixingDateOffsetNoStub() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstFixingDateOffset(MINUS_ONE_DAY) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_01_03, REF_DATA)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void test_expand_singlePeriod_stubCalcsInitialStub_interpolated() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_2M) .fixingDateOffset(MINUS_TWO_DAYS) .initialStub(IborRateStubCalculation.ofIborInterpolatedRate(GBP_LIBOR_1W, GBP_LIBOR_1M)) .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1STUB) .yearFraction(ACCRUAL1STUB.yearFraction(ACT_365F, ACCRUAL_SCHEDULE_STUBS)) .rateComputation(IborInterpolatedRateComputation.of(GBP_LIBOR_1W, GBP_LIBOR_1M, DATE_01_06, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(SINGLE_ACCRUAL_SCHEDULE_STUB, SINGLE_ACCRUAL_SCHEDULE_STUB, REF_DATA); assertEquals(periods, ImmutableList.of(rap1)); }
public void test_serialization() { RateAccrualPeriod test = RateAccrualPeriod.builder() .startDate(DATE_2014_03_31) .endDate(DATE_2014_07_01) .unadjustedStartDate(DATE_2014_03_30) .unadjustedEndDate(DATE_2014_06_30) .yearFraction(0.25d) .rateComputation(GBP_LIBOR_3M_2014_03_28) .build(); assertSerialization(test); }
public void test_expand_firstRegularRateFixed() { IborRateCalculation test = IborRateCalculation.builder() .dayCount(ACT_365F) .index(GBP_LIBOR_1M) .fixingDateOffset(MINUS_TWO_DAYS) .firstRegularRate(0.028d) .firstRate(0.024d) // ignored .build(); RateAccrualPeriod rap1 = RateAccrualPeriod.builder(ACCRUAL1) .yearFraction(ACCRUAL1.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(FixedRateComputation.of(0.028d)) .build(); RateAccrualPeriod rap2 = RateAccrualPeriod.builder(ACCRUAL2) .yearFraction(ACCRUAL2.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_02_03, REF_DATA)) .build(); RateAccrualPeriod rap3 = RateAccrualPeriod.builder(ACCRUAL3) .yearFraction(ACCRUAL3.yearFraction(ACT_365F, ACCRUAL_SCHEDULE)) .rateComputation(IborRateComputation.of(GBP_LIBOR_1M, DATE_03_03, REF_DATA)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(ACCRUAL_SCHEDULE, ACCRUAL_SCHEDULE, REF_DATA); assertEquals(periods, ImmutableList.of(rap1, rap2, rap3)); }
public void coverage() { RateAccrualPeriod test = RateAccrualPeriod.builder() .startDate(DATE_2014_03_31) .endDate(DATE_2014_07_01) .unadjustedStartDate(DATE_2014_03_30) .unadjustedEndDate(DATE_2014_06_30) .yearFraction(0.25d) .rateComputation(GBP_LIBOR_3M_2014_03_28) .build(); coverImmutableBean(test); RateAccrualPeriod test2 = RateAccrualPeriod.builder() .startDate(DATE_2014_03_30) .endDate(DATE_2014_06_30) .unadjustedStartDate(DATE_2014_03_31) .unadjustedEndDate(DATE_2014_07_01) .yearFraction(0.26d) .rateComputation(GBP_LIBOR_3M_2014_03_27) .gearing(1.1d) .spread(0.25d) .negativeRateMethod(NOT_NEGATIVE) .build(); coverBeanEquals(test, test2); }
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)); }