/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.payment;
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.index.IndexON;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponON;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
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 related to the simplified version of the OIS coupon definition.
*/
public class CouponONSimplifiedDefinitionTest {
private static final int EUR_SETTLEMENT_DAYS = 2;
private static final BusinessDayConvention EUR_BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean EUR_IS_EOM = true;
//EUR Eonia
private static final String EUR_OIS_NAME = "EUR EONIA";
private static final Currency EUR_CUR = Currency.EUR;
private static final Calendar EUR_CALENDAR = new MondayToFridayCalendar("EUR");
private static final int EUR_PUBLICATION_LAG = 0;
private static final DayCount EUR_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IndexON EUR_OIS = new IndexON(EUR_OIS_NAME, EUR_CUR, EUR_DAY_COUNT, EUR_PUBLICATION_LAG);
// Coupon EONIA 3m
private static final ZonedDateTime TRADE_DATE = DateUtils.getUTCDate(2011, 9, 7);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(TRADE_DATE, EUR_SETTLEMENT_DAYS, EUR_CALENDAR);
private static final Period EUR_CPN_TENOR = Period.ofMonths(3);
private static final ZonedDateTime START_ACCRUAL_DATE = SPOT_DATE;
private static final ZonedDateTime END_ACCRUAL_DATE = ScheduleCalculator.getAdjustedDate(START_ACCRUAL_DATE, EUR_CPN_TENOR, EUR_BUSINESS_DAY, EUR_CALENDAR, EUR_IS_EOM);
private static ZonedDateTime LAST_FIXING_DATE = ScheduleCalculator.getAdjustedDate(END_ACCRUAL_DATE, -1, EUR_CALENDAR); // Overnight
static {
LAST_FIXING_DATE = ScheduleCalculator.getAdjustedDate(LAST_FIXING_DATE, EUR_PUBLICATION_LAG, EUR_CALENDAR); // Lag
}
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(LAST_FIXING_DATE, EUR_SETTLEMENT_DAYS, EUR_CALENDAR);
private static final double PAYMENT_YEAR_FRACTION = EUR_DAY_COUNT.getDayCountFraction(START_ACCRUAL_DATE, END_ACCRUAL_DATE);
private static final double NOTIONAL = 100000000;
private static final double FIXING_YEAR_FRACTION = EUR_DAY_COUNT.getDayCountFraction(START_ACCRUAL_DATE, END_ACCRUAL_DATE);
private static final CouponONSimplifiedDefinition EONIA_COUPON_DEFINITION = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION,
NOTIONAL, EUR_OIS, START_ACCRUAL_DATE, END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullIndex() {
new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, null, START_ACCRUAL_DATE, END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullStartFixing() {
new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, null, END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullEndFixing() {
new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, START_ACCRUAL_DATE, null, FIXING_YEAR_FRACTION);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void inmcompatibleCurrency() {
new CouponONSimplifiedDefinition(Currency.EUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, START_ACCRUAL_DATE, null, FIXING_YEAR_FRACTION);
}
@Test
public void getter() {
assertEquals("CouponOISSimplified definition: getter", EUR_OIS, EONIA_COUPON_DEFINITION.getIndex());
assertEquals("CouponOISSimplified definition: getter", START_ACCRUAL_DATE, EONIA_COUPON_DEFINITION.getFixingPeriodStartDate());
assertEquals("CouponOISSimplified definition: getter", END_ACCRUAL_DATE, EONIA_COUPON_DEFINITION.getFixingPeriodEndDate());
assertEquals("CouponOISSimplified definition: getter", FIXING_YEAR_FRACTION, EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor());
}
@Test
/**
* Tests the builder from financial details.
*/
public void from1() {
final CouponONSimplifiedDefinition cpnFrom = CouponONSimplifiedDefinition.from(EUR_OIS, SPOT_DATE, EUR_CPN_TENOR, NOTIONAL, EUR_SETTLEMENT_DAYS, EUR_BUSINESS_DAY, EUR_IS_EOM, EUR_CALENDAR);
assertEquals("CouponOISSimplified definition: from", cpnFrom, EONIA_COUPON_DEFINITION);
}
@Test
/**
* Tests the builder from financial details.
*/
public void from2() {
final CouponONSimplifiedDefinition cpnFrom = CouponONSimplifiedDefinition.from(EUR_OIS, SPOT_DATE, END_ACCRUAL_DATE, NOTIONAL, EUR_SETTLEMENT_DAYS, EUR_CALENDAR);
assertEquals("CouponOISSimplified definition: from", cpnFrom, EONIA_COUPON_DEFINITION);
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
assertEquals("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION, EONIA_COUPON_DEFINITION);
final CouponONSimplifiedDefinition other = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS,
START_ACCRUAL_DATE,
END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
assertEquals("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION, other);
assertEquals("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.hashCode(), other.hashCode());
CouponONSimplifiedDefinition modified;
modified = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, new IndexON(EUR_OIS_NAME, EUR_CUR, EUR_DAY_COUNT, 1),
START_ACCRUAL_DATE, END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
assertFalse("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.equals(modified));
modified = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, END_ACCRUAL_DATE, END_ACCRUAL_DATE,
FIXING_YEAR_FRACTION);
assertFalse("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.equals(modified));
modified = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, START_ACCRUAL_DATE, START_ACCRUAL_DATE,
FIXING_YEAR_FRACTION);
assertFalse("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.equals(modified));
modified = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, START_ACCRUAL_DATE, END_ACCRUAL_DATE, 3.14);
assertFalse("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.equals(modified));
}
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivative() {
final CouponON cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(TRADE_DATE);
final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, PAYMENT_DATE);
final double fixingStartTime = TimeCalculator.getTimeBetween(TRADE_DATE, START_ACCRUAL_DATE);
final double fixingEndTime = TimeCalculator.getTimeBetween(TRADE_DATE, END_ACCRUAL_DATE);
final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, FIXING_YEAR_FRACTION, NOTIONAL);
assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivativeDeprecated() {
final String[] curveNames = new String[] {"Funding", "Forward"};
final CouponON cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(TRADE_DATE, curveNames);
final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, PAYMENT_DATE);
final double fixingStartTime = TimeCalculator.getTimeBetween(TRADE_DATE, START_ACCRUAL_DATE);
final double fixingEndTime = TimeCalculator.getTimeBetween(TRADE_DATE, END_ACCRUAL_DATE);
final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, curveNames[0], PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, FIXING_YEAR_FRACTION, NOTIONAL,
curveNames[1]);
assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
}
}