public void test_builder() { SwapTrade test = SwapTrade.builder() .product(SWAP1) .build(); assertEquals(test.getInfo(), TradeInfo.empty()); assertEquals(test.getProduct(), SWAP1); }
public void test_toTrade_tenor() { IborIborSwapConvention base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_dates() { FixedIborSwapConvention base = ImmutableFixedIborSwapConvention.of(NAME, FIXED, IBOR); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 5); LocalDate endDate = date(2015, 11, 5); SwapTrade test = base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_tenor() { ImmutableXCcyIborIborSwapConvention base = ImmutableXCcyIborIborSwapConvention.of(NAME, EUR3M, USD3M, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, NOTIONAL_2M * FX_EUR_USD, 0.25d, REF_DATA); Swap expected = Swap.of( EUR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), USD3M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M * FX_EUR_USD)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_dates() { IborIborSwapConvention base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 5); LocalDate endDate = date(2015, 11, 5); SwapTrade test = base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d); Swap expected = Swap.of( IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_tenor() { FixedOvernightSwapConvention base = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_dates() { FixedOvernightSwapConvention base = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 5); LocalDate endDate = date(2015, 11, 5); SwapTrade test = base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_dates() { OvernightIborSwapConvention base = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 5); LocalDate endDate = date(2015, 11, 5); SwapTrade test = base.toTrade(tradeDate, startDate, endDate, BUY, NOTIONAL_2M, 0.25d); Swap expected = Swap.of( FFUND_LEG.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), USD_LIBOR_3M_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_tenor() { FixedIborSwapConvention base = ImmutableFixedIborSwapConvention.of(NAME, FIXED, IBOR); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_tenor() { OvernightIborSwapConvention base = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 5, 7); LocalDate endDate = date(2025, 5, 7); SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FFUND_LEG.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), USD_LIBOR_3M_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_createTrade() { OvernightIborSwapTemplate base = OvernightIborSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( ON_LEG.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_periodTenor() { FixedOvernightSwapConvention base = ImmutableFixedOvernightSwapConvention.of(NAME, FIXED, FFUND_LEG, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_createTrade() { XCcyIborIborSwapTemplate base = XCcyIborIborSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, BUY, NOTIONAL_2M, NOTIONAL_2M * FX_EUR_USD, 0.25d, REF_DATA); Swap expected = Swap.of( EUR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), USD3M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M * FX_EUR_USD)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_createTrade() { FixedOvernightSwapTemplate base = FixedOvernightSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_periodTenor() { FixedIborSwapConvention base = ImmutableFixedIborSwapConvention.of(NAME, FIXED, IBOR); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_createTrade() { IborIborSwapTemplate base = IborIborSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_periodTenor() { IborIborSwapConvention base = ImmutableIborIborSwapConvention.of(NAME, IBOR3M, IBOR6M); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( IBOR3M.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR6M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_createTrade() { FixedIborSwapTemplate base = FixedIborSwapTemplate.of(Period.ofMonths(3), TENOR_10Y, CONV); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d), IBOR.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }
public void test_toTrade_periodTenor() { OvernightIborSwapConvention base = ImmutableOvernightIborSwapConvention.of(NAME, FFUND_LEG, USD_LIBOR_3M_LEG, PLUS_TWO_DAYS); LocalDate tradeDate = LocalDate.of(2015, 5, 5); LocalDate startDate = date(2015, 8, 7); LocalDate endDate = date(2025, 8, 7); SwapTrade test = base.createTrade(tradeDate, Period.ofMonths(3), TENOR_10Y, BuySell.SELL, NOTIONAL_2M, 0.25d, REF_DATA); Swap expected = Swap.of( FFUND_LEG.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M, 0.25d), USD_LIBOR_3M_LEG.toLeg(startDate, endDate, PAY, NOTIONAL_2M)); assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate)); assertEquals(test.getProduct(), expected); }