/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.derivative;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertNull;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.index.IndexONMaster;
import com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.util.time.DateUtils;
/**
* Class describing a Fed Fund swap-like floating coupon (arithmetic average on overnight rates).
*/
public class CouponArithmeticAverageONSpreadSimplifiedTest {
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 4, 16);
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexON FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final IborIndex USDLIBOR3M = IndexIborMaster.getInstance().getIndex("USDLIBOR3M");
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2013, 4, 18);
private static final Period TENOR_3M = Period.ofMonths(3);
private static final double NOTIONAL = 100000000; // 100m
private static final double SPREAD = 0.0010; // 10 bps
private static final int PAYMENT_LAG = 2;
private static final ZonedDateTime ACCRUAL_END_DATE = ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATE, TENOR_3M, USDLIBOR3M, NYC);
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(ACCRUAL_END_DATE, -1 + FEDFUND.getPublicationLag() + PAYMENT_LAG, NYC);
private static final double PAYMENT_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, PAYMENT_DATE);
private static final double ACCRUAL_START_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, ACCRUAL_START_DATE);
private static final double ACCRUAL_END_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, ACCRUAL_END_DATE);
private static final CouponArithmeticAverageONDefinition FEDFUND_CPN_3M_2_DEF = CouponArithmeticAverageONDefinition.from(FEDFUND, ACCRUAL_START_DATE, ACCRUAL_END_DATE, NOTIONAL, PAYMENT_LAG, NYC);
private static final CouponArithmeticAverageONSpreadSimplified CPN_AA_ON = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(),
NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullIndex() {
CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, null, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
}
@Test
public void testWithNotional() {
assertNull(CPN_AA_ON.withNotional(NOTIONAL));
}
@Test
public void getter() {
assertEquals("CouponArithmeticAverageONSpread: getter", CPN_AA_ON.getIndex(), FEDFUND);
assertEquals("CouponArithmeticAverageONSpread: getter", CPN_AA_ON.getPaymentTime(), PAYMENT_TIME);
assertEquals("CouponArithmeticAverageONSpread: getter", CPN_AA_ON.getFixingPeriodStartTime(), ACCRUAL_START_TIME);
assertEquals("CouponArithmeticAverageONSpread: getter", CPN_AA_ON.getFixingPeriodEndTime(), ACCRUAL_END_TIME);
assertEquals("CouponArithmeticAverageONSpread: getter", CPN_AA_ON.getSpread(), SPREAD);
assertEquals("CouponArithmeticAverageONSpread: getter", CPN_AA_ON.getSpreadAmount(), SPREAD * CPN_AA_ON.getPaymentYearFraction() * NOTIONAL);
}
@Test
public void equalHash() {
assertEquals("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON, CPN_AA_ON);
final CouponArithmeticAverageONSpreadSimplified other = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(),
NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
assertEquals("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON, other);
assertEquals("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.hashCode(), other.hashCode());
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(null));
CouponArithmeticAverageONSpreadSimplified modified;
modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME + 0.1, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(),
NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction() + 0.1, NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL + 0.1, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
final IndexON modifiedIndex = IndexONMaster.getInstance().getIndex("EONIA");
modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, modifiedIndex, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, ACCRUAL_START_TIME + 0.1, ACCRUAL_END_TIME, SPREAD);
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME + 0.1, SPREAD + 0.1);
assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
}
}