/**
* 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.internal.junit.ArrayAsserts.assertArrayEquals;
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.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.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the building of compounded Ibor coupons.
*/
public class CouponIborCompoundingFlatSpreadTest {
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexIborMaster MASTER_IBOR = IndexIborMaster.getInstance();
private static final IborIndex USDLIBOR1M = MASTER_IBOR.getIndex("USDLIBOR1M");
private static final BusinessDayConvention PREC = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Preceding");
private static final Period TENOR_3M = Period.ofMonths(3);
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2012, 8, 24);
private static final double NOTIONAL = 123454321;
private static final double SPREAD = 0.0010; // 10 bps
private static final ZonedDateTime[] ACCRUAL_END_DATES = ScheduleCalculator.getAdjustedDateSchedule(START_DATE, TENOR_3M, USDLIBOR1M.getTenor(), true, true, PREC, NYC, false);
private static final int NB_SUB_PERIOD = ACCRUAL_END_DATES.length;
private static final ZonedDateTime[] ACCRUAL_START_DATES = new ZonedDateTime[NB_SUB_PERIOD];
private static final double[] PAYMENT_ACCRUAL_FACTORS = new double[NB_SUB_PERIOD];
private static final double PAYMENT_ACCRUAL_FACTOR;
private static final double TOLERANCE = 1.0E-10;
static {
ACCRUAL_START_DATES[0] = START_DATE;
for (int loopsub = 1; loopsub < NB_SUB_PERIOD; loopsub++) {
ACCRUAL_START_DATES[loopsub] = ACCRUAL_END_DATES[loopsub - 1];
}
double af = 0.0;
for (int loopsub = 0; loopsub < NB_SUB_PERIOD; loopsub++) {
PAYMENT_ACCRUAL_FACTORS[loopsub] = USDLIBOR1M.getDayCount().getDayCountFraction(ACCRUAL_START_DATES[loopsub], ACCRUAL_END_DATES[loopsub]);
af += PAYMENT_ACCRUAL_FACTORS[loopsub];
}
PAYMENT_ACCRUAL_FACTOR = af;
}
private static final ZonedDateTime[] FIXING_DATES = ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATES, -USDLIBOR1M.getSpotLag(), NYC);
private static final ZonedDateTime[] FIXING_PERIOD_END_DATES = ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATES, USDLIBOR1M, NYC);
private static final double[] FIXING_ACCRUAL_FACTORS = new double[NB_SUB_PERIOD];
static {
for (int loopsub = 0; loopsub < NB_SUB_PERIOD; loopsub++) {
FIXING_ACCRUAL_FACTORS[loopsub] = USDLIBOR1M.getDayCount().getDayCountFraction(ACCRUAL_START_DATES[loopsub], FIXING_PERIOD_END_DATES[loopsub]);
}
}
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 8, 17);
private static final double[] FIXING_TIMES = TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_DATES);
private static final double[] FIXING_PERIOD_END_TIMES = TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_PERIOD_END_DATES);
private static final double[] ACCRUAL_START_TIMES = TimeCalculator.getTimeBetween(REFERENCE_DATE, ACCRUAL_START_DATES);
private static final double[] ACCRUAL_END_TIMES = TimeCalculator.getTimeBetween(REFERENCE_DATE, ACCRUAL_END_DATES);
private static final double PAYMENT_TIME = ACCRUAL_END_TIMES[NB_SUB_PERIOD - 1];
private static final CouponIborCompoundingFlatSpread CPN = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
new CouponIborCompoundingFlatSpread(null, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullIndex() {
new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, null,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void sizePayFactors() {
new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
new double[1], FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void sizeFixing() {
new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, new double[25], ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void sizeFixStart() {
new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, new double[25], FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void sizeFixEnd() {
new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, new double[25], FIXING_ACCRUAL_FACTORS, SPREAD);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void sizeFixFactors() {
new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, new double[25], SPREAD);
}
@Test
public void getter() {
assertEquals("CouponIborCompoundingFlatSpread: getter", USDLIBOR1M.getCurrency(), CPN.getCurrency());
assertEquals("CouponIborCompoundingFlatSpread: getter", PAYMENT_TIME, CPN.getPaymentTime());
assertEquals("CouponIborCompoundingFlatSpread: getter", PAYMENT_ACCRUAL_FACTOR, CPN.getPaymentYearFraction());
assertEquals("CouponIborCompoundingFlatSpread: getter", NOTIONAL, CPN.getNotional());
assertEquals("CouponIborCompoundingFlatSpread: getter", NOTIONAL * 0.01, CPN.getCompoundingPeriodAmountAccumulated());
assertEquals("CouponIborCompoundingFlatSpread: getter", USDLIBOR1M, CPN.getIndex());
assertEquals("CouponIborCompoundingFlatSpread: getter", SPREAD, CPN.getSpread());
assertArrayEquals("CouponIborCompoundingFlatSpread: getter", PAYMENT_ACCRUAL_FACTORS, CPN.getSubperiodsAccrualFactors(), TOLERANCE);
assertArrayEquals("CouponIborCompoundingFlatSpread: getter", FIXING_TIMES, CPN.getFixingTimes(), TOLERANCE);
assertArrayEquals("CouponIborCompoundingFlatSpread: getter", ACCRUAL_START_TIMES, CPN.getFixingSubperiodsStartTimes(), TOLERANCE);
assertArrayEquals("CouponIborCompoundingFlatSpread: getter", FIXING_PERIOD_END_TIMES, CPN.getFixingSubperiodsEndTimes(), TOLERANCE);
assertArrayEquals("CouponIborCompoundingFlatSpread: getter", FIXING_ACCRUAL_FACTORS, CPN.getFixingSubperiodsAccrualFactors(), TOLERANCE);
}
@Test
public void testHashCodeEquals() {
CouponIborCompoundingFlatSpread other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertEquals(CPN, other);
assertEquals(CPN.hashCode(), other.hashCode());
other = new CouponIborCompoundingFlatSpread(Currency.AUD, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME + 1e-8, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR + 0.01, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL + 1, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.02, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
final IborIndex index = MASTER_IBOR.getIndex("USDLIBOR3M");
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, index,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
FIXING_TIMES, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, PAYMENT_ACCRUAL_FACTORS, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, FIXING_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, ACCRUAL_START_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_PERIOD_END_TIMES, SPREAD);
assertFalse(other.equals(CPN));
other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD * 1.01);
assertFalse(other.equals(CPN));
}
}