/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.annuity;
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.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
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.financial.convention.frequency.PeriodFrequency;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
public class AnnuityCouponFixedDefinitionTest {
//Semi-annual 2Y
private static final Currency CUR = Currency.EUR;
private static final PeriodFrequency PAYMENT_FREQUENCY = PeriodFrequency.SEMI_ANNUAL;
private static final Period PAYMENT_TENOR = Period.ofMonths(6);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 17);
private static final double NOTIONAL = 1000000;
private static final double RATE = 0.0325;
private static final boolean IS_PAYER = true;
private static final ZonedDateTime MATURITY_DATE = SETTLEMENT_DATE.plus(ANNUITY_TENOR);
private static final ZonedDateTime[] PAYMENT_DATES_UNADJUSTED = ScheduleCalculator.getUnadjustedDateSchedule(SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY);
private static final ZonedDateTime[] PAYMENT_DATES = ScheduleCalculator.getAdjustedDateSchedule(PAYMENT_DATES_UNADJUSTED, BUSINESS_DAY, CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 3, 15); //For conversion to derivative
@Test
public void test() {
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
//First coupon uses settlement date
final double sign = IS_PAYER ? -1.0 : 1.0;
coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
assertEquals(fixedAnnuity.isPayer(), IS_PAYER);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
assertEquals(fixedAnnuity.getNthPayment(loopcpn), coupons[loopcpn]);
}
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPayments() {
new AnnuityCouponFixedDefinition(null, null);
}
@Test
public void testEqualHash() {
final double sign = IS_PAYER ? -1.0 : 1.0;
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
final AnnuityCouponFixedDefinition fixedAnnuity2 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
IS_PAYER);
assertEquals(fixedAnnuity, fixedAnnuity2);
assertEquals(fixedAnnuity.hashCode(), fixedAnnuity2.hashCode());
final AnnuityCouponFixedDefinition modifiedFixedAnnuity1 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM,
NOTIONAL, RATE, !IS_PAYER);
assertFalse(fixedAnnuity.equals(modifiedFixedAnnuity1));
final AnnuityCouponFixedDefinition modifiedFixedAnnuity2 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM,
NOTIONAL, RATE, IS_PAYER);
assertFalse(modifiedFixedAnnuity2.equals(modifiedFixedAnnuity1));
final AnnuityCouponFixedDefinition bond1 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY,
IS_EOM, NOTIONAL, RATE, !IS_PAYER);
AnnuityCouponFixedDefinition bond2 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM,
NOTIONAL, RATE, IS_PAYER);
assertFalse(bond1.equals(bond2));
bond2 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
assertFalse(bond1.equals(bond2));
bond2 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, !IS_PAYER);
assertEquals(bond1, bond2);
final CouponFixedDefinition[] payments = bond2.getPayments();
bond2 = new AnnuityCouponFixedDefinition(payments, CALENDAR);
assertEquals(bond1, bond2);
}
@Test
public void testPaymentDates() {
AnnuityCouponFixedDefinition fixedAnnuity;
ZonedDateTime[] expectedPaymentDate;
// End date is modified
fixedAnnuity = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
expectedPaymentDate = new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 19), DateUtils.getUTCDate(2012, 3, 19), DateUtils.getUTCDate(2012, 9, 17), DateUtils.getUTCDate(2013, 3, 18) };
for (int loopcpn = 0; loopcpn < expectedPaymentDate.length; loopcpn++) {
assertEquals(expectedPaymentDate[loopcpn], fixedAnnuity.getNthPayment(loopcpn).getPaymentDate());
}
// Check modified in modified following.
final ZonedDateTime settlementDateModified = DateUtils.getUTCDate(2011, 3, 31);
fixedAnnuity = AnnuityCouponFixedDefinition.from(CUR, settlementDateModified, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
expectedPaymentDate = new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 30), DateUtils.getUTCDate(2012, 3, 30), DateUtils.getUTCDate(2012, 9, 28), DateUtils.getUTCDate(2013, 3, 29) };
for (int loopcpn = 0; loopcpn < expectedPaymentDate.length; loopcpn++) {
assertEquals(expectedPaymentDate[loopcpn], fixedAnnuity.getNthPayment(loopcpn).getPaymentDate());
}
// End-of-month
final ZonedDateTime settlementDateEOM = DateUtils.getUTCDate(2011, 2, 28);
fixedAnnuity = AnnuityCouponFixedDefinition.from(CUR, settlementDateEOM, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
expectedPaymentDate = new ZonedDateTime[] {DateUtils.getUTCDate(2011, 8, 31), DateUtils.getUTCDate(2012, 2, 29), DateUtils.getUTCDate(2012, 8, 31), DateUtils.getUTCDate(2013, 2, 28) };
for (int loopcpn = 0; loopcpn < expectedPaymentDate.length; loopcpn++) {
assertEquals(expectedPaymentDate[loopcpn], fixedAnnuity.getNthPayment(loopcpn).getPaymentDate());
}
}
@SuppressWarnings("deprecation")
@Test
public void testToDerivativeDeprecated() {
final double sign = IS_PAYER ? -1.0 : 1.0;
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
//First coupon uses settlement date
coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
final String fundingCurve = "Funding";
final CouponFixed[] couponFixedConverted = new CouponFixed[PAYMENT_DATES.length];
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponFixedConverted[loopcpn] = fixedAnnuity.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE, fundingCurve);
}
final AnnuityCouponFixed referenceAnnuity = new AnnuityCouponFixed(couponFixedConverted);
final AnnuityCouponFixed convertedDefinition = fixedAnnuity.toDerivative(REFERENCE_DATE, fundingCurve);
assertEquals(referenceAnnuity, convertedDefinition);
}
@Test
public void testToDerivative() {
final double sign = IS_PAYER ? -1.0 : 1.0;
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
//First coupon uses settlement date
coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
final CouponFixed[] couponFixedConverted = new CouponFixed[PAYMENT_DATES.length];
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponFixedConverted[loopcpn] = fixedAnnuity.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
}
final AnnuityCouponFixed referenceAnnuity = new AnnuityCouponFixed(couponFixedConverted);
final AnnuityCouponFixed convertedDefinition = fixedAnnuity.toDerivative(REFERENCE_DATE);
assertEquals(referenceAnnuity, convertedDefinition);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCurrency1() {
AnnuityCouponFixedDefinition.from(null, SETTLEMENT_DATE, PAYMENT_TENOR, ANNUITY_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate1() {
AnnuityCouponFixedDefinition.from(CUR, null, PAYMENT_TENOR, ANNUITY_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullTenorPeriod() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, (Period) null, ANNUITY_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullPaymentTenor1() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, PAYMENT_TENOR, null, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCalendar1() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, PAYMENT_TENOR, ANNUITY_TENOR, null, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullDayCount1() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, PAYMENT_TENOR, ANNUITY_TENOR, CALENDAR, null, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullBusinessDay1() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, PAYMENT_TENOR, ANNUITY_TENOR, CALENDAR, DAY_COUNT, null, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCurrency2() {
AnnuityCouponFixedDefinition.from(null, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate2() {
AnnuityCouponFixedDefinition.from(CUR, null, MATURITY_DATE, PAYMENT_FREQUENCY, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullMaturityDate() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, (ZonedDateTime) null, PAYMENT_FREQUENCY, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullPaymentFrequency() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, MATURITY_DATE, (PeriodFrequency) null, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCalendar2() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY, null, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullDayCount2() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY, CALENDAR, null, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullBusinessDay2() {
AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY, CALENDAR, DAY_COUNT, null, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCurrency3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(null, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, null, MATURITY_DATE, ANNUITY_TENOR, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullMaturityDate2() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, null, ANNUITY_TENOR, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullPaymentTenor2() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, null, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCalendar3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, true, true, null, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullDayCount3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, true, true, CALENDAR, null, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullBusinessDay3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, true, true, CALENDAR, DAY_COUNT, null, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCurrency4() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(null, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate4() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, null, MATURITY_DATE, ANNUITY_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullMaturityDate3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, null, ANNUITY_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullPaymentTenor3() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, null, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionPaymentsPerYear() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, -2, true, true, null, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullCalendar4() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, 2, true, true, null, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullDayCount4() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, 2, true, true, CALENDAR, null, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullBusinessDay4() {
AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, ANNUITY_TENOR, 2, true, true, CALENDAR, DAY_COUNT, null, IS_EOM, NOTIONAL, RATE, IS_PAYER);
}
@Test
public void testStaticConstruction() {
AnnuityCouponFixedDefinition definition1 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
IS_PAYER);
AnnuityCouponFixedDefinition definition2 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
IS_PAYER);
assertEquals(definition1, definition2);
assertEquals(IS_PAYER, definition1.isPayer());
definition2 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_FREQUENCY, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, !IS_PAYER);
assertFalse(definition1.equals(definition2));
assertEquals(!IS_PAYER, definition2.isPayer());
definition1 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
IS_PAYER);
definition2 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
IS_PAYER);
assertEquals(definition1, definition2);
definition2 = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, SETTLEMENT_DATE, MATURITY_DATE, PAYMENT_TENOR, 2, true, true, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
!IS_PAYER);
assertFalse(definition1.equals(definition2));
}
}