/**
* 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.ForexSwap;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the construction of ForexSwapDefinition and it conversion to derivative.
*/
public class ForexSwapDefinitionTest {
private static final Currency CUR_1 = Currency.EUR;
private static final Currency CUR_2 = Currency.USD;
private static final ZonedDateTime NEAR_DATE = DateUtils.getUTCDate(2011, 5, 26);
private static final ZonedDateTime FAR_DATE = DateUtils.getUTCDate(2011, 6, 27); // 1m
private static final double NOMINAL_1 = 100000000;
private static final double FX_RATE = 1.4177;
private static final double FORWARD_POINTS = -0.0007;
private static final ForexDefinition FX_NEAR_DEFINITION = new ForexDefinition(CUR_1, CUR_2, NEAR_DATE, NOMINAL_1, FX_RATE);
private static final ForexDefinition FX_FAR_DEFINITION = new ForexDefinition(CUR_1, CUR_2, FAR_DATE, -NOMINAL_1, FX_RATE + FORWARD_POINTS);
private static final ForexSwapDefinition FX_SWAP_DEFINITION_LEG = new ForexSwapDefinition(FX_NEAR_DEFINITION, FX_FAR_DEFINITION);
private static final ForexSwapDefinition FX_SWAP_DEFINITION_FIN = new ForexSwapDefinition(CUR_1, CUR_2, NEAR_DATE, FAR_DATE, NOMINAL_1, FX_RATE, FORWARD_POINTS);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 5, 20);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullNearLeg() {
new ForexSwapDefinition(null, FX_FAR_DEFINITION);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullFarLeg() {
new ForexSwapDefinition(FX_NEAR_DEFINITION, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCurrency1() {
new ForexSwapDefinition(null, CUR_2, NEAR_DATE, FAR_DATE, NOMINAL_1, FX_RATE, FORWARD_POINTS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCurrency2() {
new ForexSwapDefinition(CUR_1, null, NEAR_DATE, FAR_DATE, NOMINAL_1, FX_RATE, FORWARD_POINTS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullNearDate() {
new ForexSwapDefinition(CUR_1, CUR_2, null, FAR_DATE, NOMINAL_1, FX_RATE, FORWARD_POINTS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullFarDate() {
new ForexSwapDefinition(CUR_1, CUR_2, NEAR_DATE, null, NOMINAL_1, FX_RATE, FORWARD_POINTS);
}
@SuppressWarnings("deprecation")
@Test(expectedExceptions = IllegalArgumentException.class)
public void toDerivativeWrongDateDeprecated() {
FX_SWAP_DEFINITION_FIN.toDerivative(FAR_DATE.plusDays(1), "A", "B");
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void toDerivativeWrongDate() {
FX_SWAP_DEFINITION_FIN.toDerivative(FAR_DATE.plusDays(1));
}
@Test
/**
* Tests the class getters.
*/
public void getter() {
assertEquals(FX_NEAR_DEFINITION, FX_SWAP_DEFINITION_LEG.getNearLeg());
assertEquals(FX_FAR_DEFINITION, FX_SWAP_DEFINITION_LEG.getFarLeg());
assertEquals(FX_NEAR_DEFINITION, FX_SWAP_DEFINITION_FIN.getNearLeg());
assertEquals(FX_FAR_DEFINITION, FX_SWAP_DEFINITION_FIN.getFarLeg());
}
@Test
/**
* Tests the class equal and hashCode
*/
public void equalHash() {
assertTrue(FX_SWAP_DEFINITION_LEG.equals(FX_SWAP_DEFINITION_LEG));
final ForexSwapDefinition newFxSwap = new ForexSwapDefinition(FX_NEAR_DEFINITION, FX_FAR_DEFINITION);
assertTrue(FX_SWAP_DEFINITION_LEG.equals(newFxSwap));
assertTrue(FX_SWAP_DEFINITION_FIN.equals(newFxSwap));
assertTrue(FX_SWAP_DEFINITION_LEG.hashCode() == newFxSwap.hashCode());
ForexSwapDefinition modifiedFxSwap;
modifiedFxSwap = new ForexSwapDefinition(FX_FAR_DEFINITION, FX_FAR_DEFINITION);
assertFalse(FX_SWAP_DEFINITION_LEG.equals(modifiedFxSwap));
modifiedFxSwap = new ForexSwapDefinition(FX_NEAR_DEFINITION, FX_NEAR_DEFINITION);
assertFalse(FX_SWAP_DEFINITION_LEG.equals(modifiedFxSwap));
assertFalse(FX_SWAP_DEFINITION_LEG.equals(CUR_1));
assertFalse(FX_SWAP_DEFINITION_LEG.equals(null));
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the conversion to derivative.
*/
public void toDerivativeDeprecated() {
final String eur = "Discounting EUR";
final String usd = "Discounting USD";
final String[] names = new String[] {eur, usd};
final Forex fxNear = FX_NEAR_DEFINITION.toDerivative(REFERENCE_DATE, names);
final Forex fxFar = FX_FAR_DEFINITION.toDerivative(REFERENCE_DATE, names);
final ForexSwap fxSwapExpected = new ForexSwap(fxNear, fxFar);
final InstrumentDerivative fxSwap = FX_SWAP_DEFINITION_FIN.toDerivative(REFERENCE_DATE, names);
assertEquals(fxSwapExpected, fxSwap);
}
@Test
/**
* Tests the conversion to derivative.
*/
public void toDerivative() {
final Forex fxNear = FX_NEAR_DEFINITION.toDerivative(REFERENCE_DATE);
final Forex fxFar = FX_FAR_DEFINITION.toDerivative(REFERENCE_DATE);
final ForexSwap fxSwapExpected = new ForexSwap(fxNear, fxFar);
final InstrumentDerivative fxSwap = FX_SWAP_DEFINITION_FIN.toDerivative(REFERENCE_DATE);
assertEquals(fxSwapExpected, fxSwap);
}
}