/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.index;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.bond.BillSecurityDefinition;
import com.opengamma.analytics.financial.instrument.bond.BillTransactionDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
public class GeneratorBillTest {
private final static Currency EUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final int SETTLEMENT_DAYS = 2;
private static final YieldConvention YIELD_CONVENTION = YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");
private final static String ISSUER_BEL = "BELGIUM GOVT";
private final static ZonedDateTime END_DATE = DateUtils.getUTCDate(2012, 9, 20);
private final static double NOTIONAL = 1000;
private final static BillSecurityDefinition BILL_BEL_SEC_DEFINITION = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_CONVENTION,
ACT360, ISSUER_BEL);
private final static String GENERATOR_BILL_NAME = "BE0312683528";
private final static GeneratorBill GENERATOR_BILL = new GeneratorBill(GENERATOR_BILL_NAME, BILL_BEL_SEC_DEFINITION);
private final static ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 8, 21);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullName() {
new GeneratorBill(null, BILL_BEL_SEC_DEFINITION);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullUnderlying() {
new GeneratorBill(GENERATOR_BILL_NAME, null);
}
@Test
public void generateInstrument() {
final double marketQuote = -0.0001;
final double notional = 123000;
final double quantity = 123;
final GeneratorAttribute attribute = new GeneratorAttribute();
final BillTransactionDefinition billGenerated = GENERATOR_BILL.generateInstrument(REFERENCE_DATE, marketQuote, notional, attribute);
final ZonedDateTime dettleDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR);
final BillTransactionDefinition billExpected = BillTransactionDefinition.fromYield(BILL_BEL_SEC_DEFINITION, quantity, dettleDate, marketQuote, CALENDAR);
assertEquals("Bill Generator: generate instrument", billExpected, billGenerated);
}
}