Package com.opengamma.analytics.financial.credit.creditdefaultswap.definition.standard

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.standard.StandardVanillaCreditDefaultSwapDefinition

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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullStartDateField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, null, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullEffectiveDateField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, null,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullMaturityDateField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        null, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullStubTypeField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, null, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullCouponFrequencyField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, null, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullDayCountFractionConventionField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, null, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullBusinessDayAdjustmentConventionField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, null, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNotionalIsPositive() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, -notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testRecoveryRateIsPositive() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, -recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testRecoveryRateIsLessThanUnity() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, 1.0 + recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
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Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.standard.StandardVanillaCreditDefaultSwapDefinition

  • com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets
  • com.opengamma.analytics.financial.credit.creditdefaultswap.definition.StandardCreditDefaultSwapDefinitionTest
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