/**
* 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.DEPOSIT_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.DEPOSIT_RATE;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FIXED_INCOME_CURRENCY;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.FRA_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.GEARING;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.IBOR_COUPON_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.IBOR_COUPON_SPREAD;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.IBOR_SPREAD;
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.PAY_IBOR_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_IBOR_DEPOSIT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_IBOR_GEARING_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_IBOR_SPREAD_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.PAY_SPREAD_IBOR_IBOR_SWAP;
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_IBOR_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_IBOR_DEPOSIT;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_IBOR_GEARING_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_IBOR_SPREAD_COUPON;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.RECEIVE_SPREAD_IBOR_IBOR_SWAP;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.SWAP_NOTIONAL;
import static com.opengamma.analytics.financial.instrument.InstrumentTestHelper.SWAP_START;
import static org.testng.AssertJUnit.assertEquals;
import java.util.Collections;
import java.util.Map;
import java.util.TreeMap;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import com.google.common.collect.Iterables;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
*
*/
public class FloatingReceiveCashFlowVisitorTest {
private static final FloatingReceiveCashFlowVisitor VISITOR = FloatingReceiveCashFlowVisitor.getInstance();
@Test
public void testIborDeposit() {
final Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVE_IBOR_DEPOSIT.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(RECEIVE_IBOR_DEPOSIT.getEndDate().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(-DEPOSIT_NOTIONAL * DEPOSIT_RATE / 2., ca.getAmount(), 1e-15);
assertEquals(payment, RECEIVE_IBOR_DEPOSIT.accept(VISITOR, null));
assertEquals(Collections.emptyMap(), PAY_IBOR_DEPOSIT.accept(VISITOR));
}
@Test
public void testIborCoupon() {
Map<LocalDate, MultipleCurrencyAmount> payment = RECEIVE_IBOR_COUPON.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(RECEIVE_IBOR_COUPON.getPaymentDate().toLocalDate(), 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(-IBOR_COUPON_NOTIONAL / 2., ca.getAmount(), 1e-15);
assertEquals(payment, RECEIVE_IBOR_COUPON.accept(VISITOR, null));
assertEquals(Collections.emptyMap(), PAY_IBOR_COUPON.accept(VISITOR));
payment = RECEIVE_IBOR_SPREAD_COUPON.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(RECEIVE_IBOR_SPREAD_COUPON.getPaymentDate().toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(-IBOR_COUPON_NOTIONAL / 2. - IBOR_COUPON_NOTIONAL * IBOR_COUPON_SPREAD / 2., ca.getAmount(), 1e-15);
assertEquals(payment, RECEIVE_IBOR_SPREAD_COUPON.accept(VISITOR, null));
assertEquals(Collections.emptyMap(), PAY_IBOR_SPREAD_COUPON.accept(VISITOR));
payment = RECEIVE_IBOR_GEARING_COUPON.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(RECEIVE_IBOR_GEARING_COUPON.getPaymentDate().toLocalDate(), Iterables.getOnlyElement(payment.keySet()));
mca = Iterables.getOnlyElement(payment.values());
assertEquals(1, mca.size());
ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(-IBOR_COUPON_NOTIONAL * GEARING / 2. - IBOR_COUPON_NOTIONAL * IBOR_COUPON_SPREAD / 2., ca.getAmount(), 1e-15);
assertEquals(payment, RECEIVE_IBOR_GEARING_COUPON.accept(VISITOR, null));
assertEquals(Collections.emptyMap(), PAY_IBOR_GEARING_COUPON.accept(VISITOR));
}
@Test
public void testFRA() {
final Map<LocalDate, MultipleCurrencyAmount> payment = PAYER_FRA.accept(VISITOR);
assertEquals(1, payment.size());
assertEquals(PAYER_FRA.getPaymentDate().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 * 0.5, ca.getAmount());
assertEquals(payment, PAYER_FRA.accept(VISITOR, null));
assertEquals(Collections.emptyMap(), RECEIVER_FRA.accept(VISITOR));
}
@Test
public void testSwap() {
Map<LocalDate, MultipleCurrencyAmount> payments = new TreeMap<>(PAYER_SWAP.accept(VISITOR));
assertEquals(60, payments.size());
LocalDate paymentDate = SWAP_START.plusMonths(6).toLocalDate();
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
paymentDate = paymentDate.plusMonths(6);
final MultipleCurrencyAmount mca = entry.getValue();
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(SWAP_NOTIONAL * 0.5, ca.getAmount());
}
assertEquals(payments, PAYER_SWAP.accept(VISITOR, null));
payments = new TreeMap<>(PAYER_SWAP_WITH_SPREAD.accept(VISITOR));
assertEquals(60, payments.size());
paymentDate = SWAP_START.plusMonths(6).toLocalDate();
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
paymentDate = paymentDate.plusMonths(6);
final MultipleCurrencyAmount mca = entry.getValue();
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(SWAP_NOTIONAL / 2. + SWAP_NOTIONAL * IBOR_SPREAD / 2., ca.getAmount());
}
assertEquals(payments, PAYER_SWAP_WITH_SPREAD.accept(VISITOR, null));
assertEquals(Collections.emptyMap(), RECEIVER_SWAP.accept(VISITOR));
assertEquals(Collections.emptyMap(), RECEIVER_SWAP_WITH_SPREAD.accept(VISITOR));
}
@Test
public void testIborIborSwap() {
Map<LocalDate, MultipleCurrencyAmount> payments = new TreeMap<>(RECEIVE_SPREAD_IBOR_IBOR_SWAP.accept(VISITOR));
assertEquals(100, payments.size());
LocalDate paymentDate = SWAP_START.plusMonths(6).toLocalDate();
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
paymentDate = paymentDate.plusMonths(6);
final MultipleCurrencyAmount mca = entry.getValue();
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(SWAP_NOTIONAL / 2. + SWAP_NOTIONAL * IBOR_SPREAD / 2., ca.getAmount());
}
assertEquals(payments, RECEIVE_SPREAD_IBOR_IBOR_SWAP.accept(VISITOR, null));
payments = new TreeMap<>(PAY_SPREAD_IBOR_IBOR_SWAP.accept(VISITOR));
assertEquals(200, payments.size());
paymentDate = SWAP_START.plusMonths(3).toLocalDate();
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> entry : payments.entrySet()) {
assertEquals(paymentDate, entry.getKey());
paymentDate = paymentDate.plusMonths(3);
final MultipleCurrencyAmount mca = entry.getValue();
assertEquals(1, mca.size());
final CurrencyAmount ca = Iterables.getOnlyElement(mca);
assertEquals(FIXED_INCOME_CURRENCY, ca.getCurrency());
assertEquals(SWAP_NOTIONAL / 4., ca.getAmount());
}
assertEquals(payments, PAY_SPREAD_IBOR_IBOR_SWAP.accept(VISITOR, null));
}
}