/**
* Copyright (C) 2011 - 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 static org.testng.AssertJUnit.assertFalse;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.cash.CashDefinition;
import com.opengamma.analytics.financial.instrument.index.generator.USDDeposit;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
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.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests the constructor and method of GeneratorDeposit.
*/
public class GeneratorDepositTest {
// USD deposits
private static final String NAME = "USD Deposit";
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.USD;
private static final GeneratorDeposit GENERATOR_DEPOSIT_USD = new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
new GeneratorDeposit(NAME, null, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCalendar() {
new GeneratorDeposit(NAME, CUR, null, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullDayCount() {
new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, null, BUSINESS_DAY, IS_EOM);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullBusinessDay() {
new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, null, IS_EOM);
}
@Test
public void getter() {
assertEquals("Generator Deposit: getter", NAME, GENERATOR_DEPOSIT_USD.getName());
assertEquals("Generator Deposit: getter", CUR, GENERATOR_DEPOSIT_USD.getCurrency());
assertEquals("Generator Deposit: getter", CALENDAR, GENERATOR_DEPOSIT_USD.getCalendar());
assertEquals("Generator Deposit: getter", SETTLEMENT_DAYS, GENERATOR_DEPOSIT_USD.getSpotLag());
assertEquals("Generator Deposit: getter", DAY_COUNT, GENERATOR_DEPOSIT_USD.getDayCount());
assertEquals("Generator Deposit: getter", BUSINESS_DAY, GENERATOR_DEPOSIT_USD.getBusinessDayConvention());
assertEquals("Generator Deposit: getter", IS_EOM, GENERATOR_DEPOSIT_USD.isEndOfMonth());
}
@Test
public void usdDeposit() {
final GeneratorDeposit preDefined = new USDDeposit(CALENDAR);
assertEquals("Generator Deposit: getter", CUR, preDefined.getCurrency());
assertEquals("Generator Deposit: getter", CALENDAR, preDefined.getCalendar());
assertEquals("Generator Deposit: getter", SETTLEMENT_DAYS, preDefined.getSpotLag());
assertEquals("Generator Deposit: getter", DAY_COUNT, preDefined.getDayCount());
assertEquals("Generator Deposit: getter", BUSINESS_DAY, preDefined.getBusinessDayConvention());
assertEquals("Generator Deposit: getter", IS_EOM, preDefined.isEndOfMonth());
}
@Test
public void equalHash() {
assertEquals(GENERATOR_DEPOSIT_USD, GENERATOR_DEPOSIT_USD);
final GeneratorDeposit duplicate = new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
assertEquals("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD, duplicate);
assertEquals("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.hashCode(), duplicate.hashCode());
GeneratorDeposit other;
other = new GeneratorDeposit(NAME, Currency.EUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
other = new GeneratorDeposit(NAME, CUR, new MondayToFridayCalendar("B"), SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
other = new GeneratorDeposit(NAME, CUR, CALENDAR, 1, DAY_COUNT, BUSINESS_DAY, IS_EOM);
assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
other = new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DayCountFactory.INSTANCE.getDayCount("Actual/365"), BUSINESS_DAY, IS_EOM);
assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
other = new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), IS_EOM);
assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
other = new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, !IS_EOM);
assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
}
@Test
public void generateInstrument() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 7, 17);
final Period tenor = Period.ofMonths(6);
final double rate = 0.01;
final double notional = 12345;
final GeneratorAttributeIR attribute = new GeneratorAttributeIR(tenor);
final CashDefinition insGenerated = GENERATOR_DEPOSIT_USD.generateInstrument(referenceDate, rate, notional, attribute);
final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, tenor, BUSINESS_DAY, CALENDAR, IS_EOM);
final double accrualFactor = DAY_COUNT.getDayCountFraction(startDate, endDate);
final CashDefinition insExpected = new CashDefinition(CUR, startDate, endDate, notional, rate, accrualFactor);
assertEquals("Generator Deposit: generate instrument", insExpected, insGenerated);
}
}