/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.CASH_MATURITY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.CASH_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.CASH_RATE;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FIXED_COUPON_MATURITY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FIXED_COUPON_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FIXED_COUPON_RATE;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FIXED_INCOME_CURRENCY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FIXING_RATE;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FRA_END;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FRA_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FRA_RATE;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FRA_START;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_MATURITY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_PAY_AMOUNT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_PAY_CURRENCY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_PAY_EUR;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_PAY_GBP;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_RECEIVE_AMOUNT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FX_RECEIVE_CURRENCY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.IBOR_COUPON_SPREAD;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.IBOR_FIXING_SERIES;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.IBOR_SPREAD;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.LONG_NDF;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.NO_HOLIDAY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAYER_FRA;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAYER_SWAP;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAYER_SWAP_WITH_SPREAD;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAYMENT_AMOUNT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAYMENT_MATURITY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_CASH;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_FIXED_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_FIXED_PAYMENT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_IBOR_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_IBOR_SPREAD_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVER_FRA;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVER_SWAP;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVER_SWAP_WITH_SPREAD;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_CASH;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_FIXED_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_FIXED_PAYMENT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_IBOR_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_IBOR_SPREAD_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.SHORT_NDF;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.SWAP_FIXED_RATE;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.SWAP_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.SWAP_START;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.USD_IBOR_INDEX1;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.fail;
import java.util.ArrayList;
import java.util.Collections;
import java.util.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeMap;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
*
*/
public class FixedReceiveCashFlowVisitorTest {
private static final ForwardRateAgreementDefinition PAYER_FRA_UNFIXED = ForwardRateAgreementDefinition.from(FRA_START.plusYears(3), FRA_END.plusYears(3), FRA_NOTIONAL,
USD_IBOR_INDEX1, FRA_RATE, NO_HOLIDAY);
private static final Set<InstrumentDefinition<?>> INSTRUMENTS_WITHOUT_FIXINGS;
private static final Set<InstrumentDefinition<?>> INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES;
private static final Set<InstrumentDefinition<?>> INSTRUMENTS_WITH_MANDATORY_FIXING_SERIES;
private static final FixedReceiveCashFlowVisitor VISITOR = FixedReceiveCashFlowVisitor.getInstance();
static {
INSTRUMENTS_WITHOUT_FIXINGS = new HashSet<>();
INSTRUMENTS_WITHOUT_FIXINGS.add(RECEIVE_CASH);
INSTRUMENTS_WITHOUT_FIXINGS.add(RECEIVE_FIXED_PAYMENT);
INSTRUMENTS_WITHOUT_FIXINGS.add(RECEIVE_FIXED_COUPON);
INSTRUMENTS_WITHOUT_FIXINGS.add(RECEIVER_FRA);
INSTRUMENTS_WITHOUT_FIXINGS.add(RECEIVER_SWAP);
INSTRUMENTS_WITHOUT_FIXINGS.add(RECEIVER_SWAP_WITH_SPREAD);
INSTRUMENTS_WITHOUT_FIXINGS.add(FX_PAY_GBP);
INSTRUMENTS_WITHOUT_FIXINGS.add(FX_PAY_EUR);
INSTRUMENTS_WITHOUT_FIXINGS.add(LONG_NDF);
INSTRUMENTS_WITHOUT_FIXINGS.add(SHORT_NDF);
INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES = new HashSet<>();
INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES.add(PAYER_FRA);
INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES.add(PAYER_SWAP);
INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES.add(PAYER_SWAP_WITH_SPREAD);
INSTRUMENTS_WITH_MANDATORY_FIXING_SERIES = new HashSet<>();
INSTRUMENTS_WITH_MANDATORY_FIXING_SERIES.add(RECEIVE_IBOR_COUPON);
INSTRUMENTS_WITH_MANDATORY_FIXING_SERIES.add(RECEIVE_IBOR_SPREAD_COUPON);
}
@Test
public void testNoFixingData() {
for (final InstrumentDefinition<?> definition : INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES) {
try {
definition.accept(VISITOR);
fail();
} catch (final IllegalArgumentException e) {
}
}
for (final InstrumentDefinition<?> definition : INSTRUMENTS_WITH_MANDATORY_FIXING_SERIES) {
try {
definition.accept(VISITOR);
fail();
} catch (final IllegalArgumentException e) {
}
}
}
@Test
public void testNoFixingNeeded() {
for (final InstrumentDefinition<?> definition : INSTRUMENTS_WITHOUT_FIXINGS) {
assertEquals(definition.accept(VISITOR), definition.accept(VISITOR, null));
}
}
@Test
public void testMissingFixingData() {
final List<LocalDate> dates = new ArrayList<>();
final List<Double> fixings = new ArrayList<>();
LocalDate date = LocalDate.of(2013, 1, 1);
final LocalDate endDate = LocalDate.of(2014, 1, 1);
while (date.isBefore(endDate)) {
dates.add(date);
fixings.add(FIXING_RATE);
date = date.plusDays(1);
}
final LocalDateDoubleTimeSeries fixingSeries = ImmutableLocalDateDoubleTimeSeries.of(dates, fixings);
final Set<InstrumentDefinition<?>> floatingInstruments = new HashSet<>(INSTRUMENTS_WITH_MANDATORY_FIXING_SERIES);
floatingInstruments.addAll(INSTRUMENTS_WITH_OPTIONAL_FIXING_SERIES);
for (final InstrumentDefinition<?> definition : floatingInstruments) {
try {
definition.accept(VISITOR, fixingSeries);
fail();
} catch (final IllegalArgumentException e) {
}
}
}
@Test
public void testCash() {
final Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVE_CASH.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(CASH_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(CASH_NOTIONAL * CASH_RATE * 0.5, ca.getAmount());
assertEquals(Collections.emptyMap(), PAY_CASH.accept(VISITOR));
}
@Test
public void testFixedPayment() {
final Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVE_FIXED_PAYMENT.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(PAYMENT_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(PAYMENT_AMOUNT, ca.getAmount());
assertEquals(Collections.emptyMap(), PAY_FIXED_PAYMENT.accept(VISITOR));
}
@Test
public void testFixedCoupon() {
final Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVE_FIXED_COUPON.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(FIXED_COUPON_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(FIXED_COUPON_NOTIONAL * FIXED_COUPON_RATE / 12, ca.getAmount(), 1e-15);
assertEquals(Collections.emptyMap(), PAY_FIXED_COUPON.accept(VISITOR));
}
@Test
public void testIborCoupon() {
Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVE_IBOR_COUPON.accept(VISITOR, IBOR_FIXING_SERIES);
assertEquals(1, payment.size());
assertEquals(FIXED_COUPON_MATURITY.toLocalDate().plusMonths(6), Iterables.getOnlyElement(payment.keySet()));
MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(FIXED_COUPON_NOTIONAL * FIXING_RATE / 2, ca.getAmount(), 1e-15);
assertEquals(Collections.emptyMap(), PAY_IBOR_COUPON.accept(VISITOR, IBOR_FIXING_SERIES));
payment = RECEIVE_IBOR_SPREAD_COUPON.accept(VISITOR, IBOR_FIXING_SERIES);
assertEquals(1, payment.size());
assertEquals(FIXED_COUPON_MATURITY.toLocalDate().plusMonths(6), Iterables.getOnlyElement(payment.keySet()));
mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(FIXED_COUPON_NOTIONAL * (FIXING_RATE + IBOR_COUPON_SPREAD) / 2, ca.getAmount(), 1e-15);
assertEquals(Collections.emptyMap(), PAY_IBOR_SPREAD_COUPON.accept(VISITOR, IBOR_FIXING_SERIES));
}
@Test
public void testPayerFRA() {
final Map<LocalDate, MultipleCurrencyAmount> payment = PAYER_FRA.accept(VISITOR, IBOR_FIXING_SERIES);
assertEquals(1, payment.size());
assertEquals(FRA_START.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(FRA_NOTIONAL * FIXING_RATE * 0.5, ca.getAmount(), 1e-15);
assertEquals(Collections.emptyMap(), PAYER_FRA_UNFIXED.accept(VISITOR, IBOR_FIXING_SERIES));
}
@Test
public void testReceiverFRA() {
final Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVER_FRA.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(FRA_START.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
final MultipleCurrencyAmount mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(FRA_NOTIONAL * FRA_RATE * 0.5, ca.getAmount(), 1e-15);
}
@Test
public void testPayerSwap() {
Map<LocalDate, MultipleCurrencyAmount> payments = new TreeMap<>(PAYER_SWAP.accept(VISITOR, IBOR_FIXING_SERIES));
assertEquals(24, payments.size());
LocalDate paymentDate = SWAP_START.toLocalDate().plusMonths(6);
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
assertEquals(1, entry.getValue().size());
assertEquals(FIXED_INCOME_CURRENCY, entry.getValue().getCurrencyAmounts()[0].getCurrency());
assertEquals(SWAP_NOTIONAL * FIXING_RATE / 2, entry.getValue().getCurrencyAmounts()[0].getAmount(), 1e-15);
paymentDate = paymentDate.plusMonths(6);
}
payments = new TreeMap<>(PAYER_SWAP_WITH_SPREAD.accept(VISITOR, IBOR_FIXING_SERIES));
assertEquals(24, payments.size());
paymentDate = SWAP_START.toLocalDate().plusMonths(6);
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
assertEquals(1, entry.getValue().size());
assertEquals(FIXED_INCOME_CURRENCY, entry.getValue().getCurrencyAmounts()[0].getCurrency());
assertEquals(SWAP_NOTIONAL * (FIXING_RATE + IBOR_SPREAD) / 2, entry.getValue().getCurrencyAmounts()[0].getAmount(), 1e-15);
paymentDate = paymentDate.plusMonths(6);
}
}
@Test
public void testReceiverSwap() {
Map<LocalDate, MultipleCurrencyAmount> payments = new TreeMap<>(RECEIVER_SWAP.accept(VISITOR));
assertEquals(60, payments.size());
LocalDate paymentDate = SWAP_START.toLocalDate().plusMonths(6);
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
assertEquals(1, entry.getValue().size());
assertEquals(FIXED_INCOME_CURRENCY, entry.getValue().getCurrencyAmounts()[0].getCurrency());
assertEquals(SWAP_NOTIONAL * SWAP_FIXED_RATE / 2, entry.getValue().getCurrencyAmounts()[0].getAmount(), 1e-15);
paymentDate = paymentDate.plusMonths(6);
}
payments = new TreeMap<>(RECEIVER_SWAP_WITH_SPREAD.accept(VISITOR));
assertEquals(60, payments.size());
paymentDate = SWAP_START.toLocalDate().plusMonths(6);
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
assertEquals(1, entry.getValue().size());
assertEquals(FIXED_INCOME_CURRENCY, entry.getValue().getCurrencyAmounts()[0].getCurrency());
assertEquals(SWAP_NOTIONAL * SWAP_FIXED_RATE / 2, entry.getValue().getCurrencyAmounts()[0].getAmount(), 1e-15);
paymentDate = paymentDate.plusMonths(6);
}
}
@Test
public void testFX() {
Map<LocalDate, MultipleCurrencyAmount> payment = FX_PAY_GBP.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(FX_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
CurrencyAmount amount = Iterables.getOnlyElement(payment.values()).getCurrencyAmounts()[0];
assertEquals(CurrencyAmount.of(FX_RECEIVE_CURRENCY, FX_RECEIVE_AMOUNT), amount);
payment = FX_PAY_EUR.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(FX_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
amount = Iterables.getOnlyElement(payment.values()).getCurrencyAmounts()[0];
assertEquals(CurrencyAmount.of(FX_PAY_CURRENCY, -FX_PAY_AMOUNT), amount);
}
@Test
public void testNDF() {
Map<LocalDate, MultipleCurrencyAmount> payment = SHORT_NDF.accept(VISITOR);
assertEquals(0, payment.size());
payment = LONG_NDF.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(FX_MATURITY.toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
final CurrencyAmount amount = Iterables.getOnlyElement(payment.values()).getCurrencyAmounts()[0];
assertEquals(CurrencyAmount.of(FX_RECEIVE_CURRENCY, -FX_PAY_AMOUNT), amount);
}
}