/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.definition;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the construction of vanilla Forex options (definition version).
*/
public class ForexOptionVanillaDefinitionTest {
private static final Currency CUR_1 = Currency.EUR;
private static final Currency CUR_2 = Currency.USD;
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2012, 6, 8);
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2012, 6, 12);
private static final double NOMINAL_1 = 100000000;
private static final double FX_RATE = 1.4177;
private static final ForexDefinition FX_DEFINITION = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1, FX_RATE);
private static final boolean IS_CALL = true;
private static final boolean IS_LONG = true;
private static final ForexOptionVanillaDefinition FX_OPTION_DEFINITION = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, IS_LONG);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullFX() {
new ForexOptionVanillaDefinition(null, EXPIRATION_DATE, IS_CALL, IS_LONG);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullExpiration() {
new ForexOptionVanillaDefinition(FX_DEFINITION, null, IS_CALL, IS_LONG);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testWrongDate() {
final ZonedDateTime expirationDateWrong = DateUtils.getUTCDate(2012, 6, 13);
new ForexOptionVanillaDefinition(FX_DEFINITION, expirationDateWrong, IS_CALL, IS_LONG);
}
@SuppressWarnings("deprecation")
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullConversionDateDeprecated() {
final ForexOptionVanillaDefinition option = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, IS_LONG);
option.toDerivative(EXPIRATION_DATE.plusDays(10), "A", "B");
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullConversionDate() {
final ForexOptionVanillaDefinition option = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, IS_LONG);
option.toDerivative(EXPIRATION_DATE.plusDays(10));
}
@Test
public void getter() {
assertEquals(FX_DEFINITION, FX_OPTION_DEFINITION.getUnderlyingForex());
assertEquals(EXPIRATION_DATE, FX_OPTION_DEFINITION.getExpirationDate());
assertEquals(IS_CALL, FX_OPTION_DEFINITION.isCall());
assertEquals(IS_LONG, FX_OPTION_DEFINITION.isLong());
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
assertTrue(FX_OPTION_DEFINITION.equals(FX_OPTION_DEFINITION));
final ForexOptionVanillaDefinition otherOption = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, IS_LONG);
assertTrue(otherOption.equals(FX_OPTION_DEFINITION));
assertEquals(FX_OPTION_DEFINITION.hashCode(), otherOption.hashCode());
final ForexOptionVanillaDefinition put1 = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, !IS_CALL, !IS_LONG);
final ForexOptionVanillaDefinition put2 = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, !IS_CALL, !IS_LONG);
assertEquals(put1.hashCode(), put2.hashCode());
ForexOptionVanillaDefinition modifiedOption;
modifiedOption = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, !IS_CALL, IS_LONG);
assertFalse(modifiedOption.equals(FX_OPTION_DEFINITION));
modifiedOption = new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, !IS_LONG);
assertFalse(modifiedOption.equals(FX_OPTION_DEFINITION));
modifiedOption = new ForexOptionVanillaDefinition(FX_DEFINITION, PAYMENT_DATE, IS_CALL, IS_LONG);
assertFalse(modifiedOption.equals(FX_OPTION_DEFINITION));
final ForexDefinition modifiedFxDefinition = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1 + 1.0, FX_RATE);
modifiedOption = new ForexOptionVanillaDefinition(modifiedFxDefinition, EXPIRATION_DATE, IS_CALL, IS_LONG);
assertFalse(modifiedOption.equals(FX_OPTION_DEFINITION));
assertFalse(FX_OPTION_DEFINITION.equals(CUR_1));
assertFalse(FX_OPTION_DEFINITION.equals(null));
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the conversion to derivative.
*/
public void toDerivativeDeprecated() {
final String discountingEUR = "Discounting EUR";
final String discountingUSD = "Discounting USD";
final String[] curves_name = new String[] {discountingEUR, discountingUSD};
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 20);
final InstrumentDerivative optionConverted = FX_OPTION_DEFINITION.toDerivative(referenceDate, curves_name);
final Forex fx = FX_DEFINITION.toDerivative(referenceDate, curves_name);
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double expirationTime = actAct.getDayCountFraction(referenceDate, EXPIRATION_DATE);
final ForexOptionVanilla optionConstructed = new ForexOptionVanilla(fx, expirationTime, IS_CALL, IS_LONG);
assertEquals("Convertion to derivative", optionConstructed, optionConverted);
}
@Test
/**
* Tests the conversion to derivative.
*/
public void toDerivative() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 20);
final InstrumentDerivative optionConverted = FX_OPTION_DEFINITION.toDerivative(referenceDate);
final Forex fx = FX_DEFINITION.toDerivative(referenceDate);
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double expirationTime = actAct.getDayCountFraction(referenceDate, EXPIRATION_DATE);
final ForexOptionVanilla optionConstructed = new ForexOptionVanilla(fx, expirationTime, IS_CALL, IS_LONG);
assertEquals("Convertion to derivative", optionConstructed, optionConverted);
}
}