Package com.opengamma.financial.analytics.ircurve.strips

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode.accept()

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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullRateFutureConvention() {
    final RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, SCHEME);
    node.accept(EMPTY_CONVENTIONS);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullRateFutureUnderlyingConvention() {
    final Map<ExternalId, Convention> map = new HashMap<>();
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  public void testNullRateFutureUnderlyingConvention() {
    final Map<ExternalId, Convention> map = new HashMap<>();
    map.put(RATE_FUTURE_3M_ID, RATE_FUTURE_3M);
    final CurveNodeCurrencyVisitor visitor = new CurveNodeCurrencyVisitor(new TestConventionSource(map));
    final RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, SCHEME);
    node.accept(visitor);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullSwapPayConvention() {
    final SwapNode node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, SCHEME);
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  }

  @Test
  public void testRateFutureNode() {
    final RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, SCHEME);
    final Set<Currency> currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
  }

  @Test
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    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, ExternalId.of(SCHEME, "Test"),
        LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongFutureConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS,
        Tenor.THREE_MONTHS, FIXED_LEG_ID, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoUnderlyingConventionForFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS,
        Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongUnderlyingConventionForFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapPayFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    marketValues.setDataPoint(marketDataId, rate);
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, 0.25, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
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    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, 0.25, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
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    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
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