/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
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.interestrate.future.derivative.BondFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.util.time.DateUtils;
public class BondFutureOptionPremiumTransactionDefinitionTest {
// 5-Year U.S. Treasury Note Futures: FVU1
private static final BondFutureDefinition FVU1_DEFINITION = FutureInstrumentsDescriptionDataSet.createBondFutureSecurityDefinition();
// Option security
private static final double STRIKE = 1.20;
private static final boolean IS_CALL = true;
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 8, 26);
private static final BondFutureOptionPremiumSecurityDefinition FVU1_C120_SEC_DEFINITION = new BondFutureOptionPremiumSecurityDefinition(FVU1_DEFINITION,
EXPIRATION_DATE, STRIKE, IS_CALL);
// Option transaction
private static final ZonedDateTime PREMIUM_DATE = DateUtils.getUTCDate(2011, 6, 17);
private static final double TRANSACTION_PRICE = -62.5 / 64d; // Prices for options quoted in 1/64.
private static final int QUANTITY = -123;
private static final double PREMIUM_AMOUNT = TRANSACTION_PRICE * QUANTITY * FVU1_C120_SEC_DEFINITION.getNotional();
private static final BondFutureOptionPremiumTransactionDefinition FVU1_C120_TR_DEFINITION = new BondFutureOptionPremiumTransactionDefinition(FVU1_C120_SEC_DEFINITION,
QUANTITY, PREMIUM_DATE, PREMIUM_AMOUNT);
private static final String[] CURVE_NAMES = new String[] {"A", "B"};
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullSecurity() {
new BondFutureOptionPremiumTransactionDefinition(null, QUANTITY, PREMIUM_DATE, PREMIUM_AMOUNT);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullDate() {
new BondFutureOptionPremiumTransactionDefinition(FVU1_C120_SEC_DEFINITION, QUANTITY, null, PREMIUM_AMOUNT);
}
@Test
public void fromTradePrice() {
final BondFutureOptionPremiumTransactionDefinition from = BondFutureOptionPremiumTransactionDefinition.fromTradePrice(FVU1_C120_SEC_DEFINITION, QUANTITY,
PREMIUM_DATE, TRANSACTION_PRICE);
assertEquals("Bond future option premium transaction definition", from.getPremium().getReferenceAmount(), PREMIUM_AMOUNT);
assertEquals("Bond future option premium transaction definition", from, FVU1_C120_TR_DEFINITION);
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
assertTrue(FVU1_C120_TR_DEFINITION.equals(FVU1_C120_TR_DEFINITION));
final BondFutureOptionPremiumTransactionDefinition other = new BondFutureOptionPremiumTransactionDefinition(FVU1_C120_SEC_DEFINITION, QUANTITY, PREMIUM_DATE,
PREMIUM_AMOUNT);
assertTrue(FVU1_C120_TR_DEFINITION.equals(other));
assertTrue(FVU1_C120_TR_DEFINITION.hashCode() == other.hashCode());
BondFutureOptionPremiumTransactionDefinition modified;
final BondFutureOptionPremiumSecurityDefinition modifiedSec = new BondFutureOptionPremiumSecurityDefinition(FVU1_DEFINITION, EXPIRATION_DATE, STRIKE + 0.01, IS_CALL);
modified = new BondFutureOptionPremiumTransactionDefinition(modifiedSec, QUANTITY, PREMIUM_DATE, PREMIUM_AMOUNT);
assertFalse(FVU1_C120_TR_DEFINITION.equals(modified));
modified = new BondFutureOptionPremiumTransactionDefinition(FVU1_C120_SEC_DEFINITION, QUANTITY + 1, PREMIUM_DATE, PREMIUM_AMOUNT);
assertFalse(FVU1_C120_TR_DEFINITION.equals(modified));
modified = new BondFutureOptionPremiumTransactionDefinition(FVU1_C120_SEC_DEFINITION, QUANTITY, PREMIUM_DATE.plusDays(1), PREMIUM_AMOUNT);
assertFalse(FVU1_C120_TR_DEFINITION.equals(modified));
modified = new BondFutureOptionPremiumTransactionDefinition(FVU1_C120_SEC_DEFINITION, QUANTITY, PREMIUM_DATE, PREMIUM_AMOUNT + 10.0);
assertFalse(FVU1_C120_TR_DEFINITION.equals(modified));
assertFalse(FVU1_C120_TR_DEFINITION.equals(EXPIRATION_DATE));
assertFalse(FVU1_C120_TR_DEFINITION.equals(null));
}
/**
* Tests the toDerivative method.
*/
@SuppressWarnings("deprecation")
@Test
public void toDerivativeBeforeSettleDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 16);
final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate, CURVE_NAMES[1]);
final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate,
CURVE_NAMES), QUANTITY, premium);
assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
}
/**
* Tests the toDerivative method.
*/
@SuppressWarnings("deprecation")
@Test
public void toDerivativeOnSettleDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 17);
final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate, CURVE_NAMES[1]);
final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate,
CURVE_NAMES), QUANTITY, premium);
assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
}
/**
* Tests the toDerivative method.
*/
@SuppressWarnings("deprecation")
@Test
public void toDerivativeAfterSettleDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 20);
final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
final PaymentFixed premium = new PaymentFixed(FVU1_C120_TR_DEFINITION.getCurrency(), 0.0, 0.0, CURVE_NAMES[1]);
final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate,
CURVE_NAMES), QUANTITY, premium);
assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
}
/**
* Tests the toDerivative method.
*/
@Test
public void toDerivativeBeforeSettle() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 16);
final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate);
final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate);
final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate), QUANTITY, premium);
assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
}
/**
* Tests the toDerivative method.
*/
@Test
public void toDerivativeOnSettle() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 17);
final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate);
final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate);
final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate), QUANTITY, premium);
assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
}
/**
* Tests the toDerivative method.
*/
@Test
public void toDerivativeAfterSettle() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 20);
final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate);
final PaymentFixed premium = new PaymentFixed(FVU1_C120_TR_DEFINITION.getCurrency(), 0.0, 0.0);
final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate), QUANTITY, premium);
assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
}
}