/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.bond;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction;
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.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
public class BondFixedTransactionDefinitionTest {
//Issue: Semi-annual 2Y
private static final Currency CUR = Currency.EUR;
private static final Period PAYMENT_TENOR = Period.ofMonths(6);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final String ISSUER_NAME = "Issuer";
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");//("Actual/Actual ICMA");("Actual/Actual ISDA")
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM = false;
private static final Period BOND_TENOR = Period.ofYears(2);
private static final int SETTLEMENT_DAYS = 2;
private static final ZonedDateTime START_ACCRUAL_DATE = DateUtils.getUTCDate(2011, 7, 13);
private static final ZonedDateTime MATURITY_DATE = START_ACCRUAL_DATE.plus(BOND_TENOR);
private static final double RATE = 0.0325;
private static final YieldConvention YIELD_CONVENTION = YieldConventionFactory.INSTANCE.getYieldConvention("STREET CONVENTION");
private static final BondFixedSecurityDefinition BOND_SECURITY_DEFINITION = BondFixedSecurityDefinition.from(CUR, MATURITY_DATE, START_ACCRUAL_DATE, PAYMENT_TENOR,
RATE, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, BUSINESS_DAY, YIELD_CONVENTION, IS_EOM, ISSUER_NAME);
// Transaction
private static final double PRICE = 0.90;
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 8, 18);
private static final double QUANTITY = 100000000; //100m
private static final BondFixedTransactionDefinition BOND_TRANSACTION_DEFINITION = new BondFixedTransactionDefinition(BOND_SECURITY_DEFINITION, QUANTITY,
SETTLEMENT_DATE, PRICE);
// to derivatives: common
private static final String CREDIT_CURVE_NAME = "Credit";
private static final String REPO_CURVE_NAME = "Repo";
private static final String[] CURVES_NAME = {CREDIT_CURVE_NAME, REPO_CURVE_NAME};
private static final ZonedDateTime REFERENCE_DATE_1 = DateUtils.getUTCDate(2011, 8, 17);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new BondFixedTransactionDefinition(null, QUANTITY, SETTLEMENT_DATE, PRICE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullSettle() {
new BondFixedTransactionDefinition(BOND_SECURITY_DEFINITION, QUANTITY, null, PRICE);
}
@Test
public void testGetters() {
assertEquals(PRICE, BOND_TRANSACTION_DEFINITION.getPrice());
assertEquals(QUANTITY, BOND_TRANSACTION_DEFINITION.getQuantity());
assertEquals(SETTLEMENT_DATE, BOND_TRANSACTION_DEFINITION.getSettlementDate());
assertEquals(BOND_SECURITY_DEFINITION, BOND_TRANSACTION_DEFINITION.getUnderlyingBond());
final double expectedAccrued = 0.195652174 * RATE / 2; //36 days out of 184 in Actual/Actual ICMA.
assertEquals(expectedAccrued, BOND_TRANSACTION_DEFINITION.getAccruedInterestAtSettlement(), 1E-6);
assertEquals(DateUtils.getUTCDate(2011, 7, 13), BOND_TRANSACTION_DEFINITION.getPreviousAccrualDate());
assertEquals(DateUtils.getUTCDate(2012, 1, 13), BOND_TRANSACTION_DEFINITION.getNextAccrualDate());
}
@SuppressWarnings("deprecation")
@Test
public void toDerivativesDeprecated() {
final BondFixedSecurity bondSecurityStandard = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
final BondFixedTransaction bondTransaction = BOND_TRANSACTION_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
assertEquals("Bond transaction: toDerivative", bondSecurityStandard, bondTransaction.getBondStandard());
final BondFixedSecurity bondSecurityPurchase = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, SETTLEMENT_DATE, CURVES_NAME);
assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getAccruedInterest(), bondTransaction.getBondTransaction().getAccruedInterest());
assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getCouponPerYear(), bondTransaction.getBondTransaction().getCouponPerYear());
assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getYieldConvention(), bondTransaction.getBondTransaction().getYieldConvention());
}
@Test
public void toDerivatives() {
final BondFixedSecurity bondSecurityStandard = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1);
final BondFixedTransaction bondTransaction = BOND_TRANSACTION_DEFINITION.toDerivative(REFERENCE_DATE_1);
assertEquals("Bond transaction: toDerivative", bondSecurityStandard, bondTransaction.getBondStandard());
final BondFixedSecurity bondSecurityPurchase = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, SETTLEMENT_DATE);
assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getAccruedInterest(), bondTransaction.getBondTransaction().getAccruedInterest());
assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getCouponPerYear(), bondTransaction.getBondTransaction().getCouponPerYear());
assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getYieldConvention(), bondTransaction.getBondTransaction().getYieldConvention());
}
}