/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.cash.definition;
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.instrument.cash.DepositCounterpartDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorDeposit;
import com.opengamma.analytics.financial.instrument.index.generator.EURDeposit;
import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositCounterpart;
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.money.Currency;
import com.opengamma.util.time.DateUtils;
public class DepositCounterpartyDefinitionTest {
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final GeneratorDeposit GENERATOR = new EURDeposit(TARGET);
private static final Currency EUR = GENERATOR.getCurrency();
private static final ZonedDateTime TRADE_DATE = DateUtils.getUTCDate(2011, 12, 12);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(TRADE_DATE, GENERATOR.getSpotLag(), TARGET);
private static final double NOTIONAL = 100000000;
private static final double RATE = 0.0250;
private static final Period DEPOSIT_PERIOD = Period.ofMonths(6);
private static final ZonedDateTime END_DATE = ScheduleCalculator.getAdjustedDate(SPOT_DATE, DEPOSIT_PERIOD, GENERATOR);
private static final double DEPOSIT_AF = GENERATOR.getDayCount().getDayCountFraction(SPOT_DATE, END_DATE);
private static final String COUNTERPART = "Ctp";
private static final DepositCounterpartDefinition DEPOSIT_CTP_DEFINITION = new DepositCounterpartDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART);
private static final String CURVE_NAME = "Curve";
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
new DepositCounterpartDefinition(null, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCpty() {
new DepositCounterpartDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, null);
}
@Test
/**
* Tests the getters
*/
public void getter() {
assertEquals("DepositIborDefinition: getter", SPOT_DATE, DEPOSIT_CTP_DEFINITION.getStartDate());
assertEquals("DepositIborDefinition: getter", END_DATE, DEPOSIT_CTP_DEFINITION.getEndDate());
assertEquals("DepositIborDefinition: getter", NOTIONAL, DEPOSIT_CTP_DEFINITION.getNotional());
assertEquals("DepositIborDefinition: getter", RATE, DEPOSIT_CTP_DEFINITION.getRate());
assertEquals("DepositIborDefinition: getter", EUR, DEPOSIT_CTP_DEFINITION.getCurrency());
assertEquals("DepositIborDefinition: getter", DEPOSIT_AF, DEPOSIT_CTP_DEFINITION.getAccrualFactor());
assertEquals("DepositIborDefinition: getter", RATE * NOTIONAL * DEPOSIT_AF, DEPOSIT_CTP_DEFINITION.getInterestAmount());
assertEquals("DepositIborDefinition: getter", COUNTERPART, DEPOSIT_CTP_DEFINITION.getCounterpartName());
}
@Test
/**
* Tests the builders.
*/
public void from() {
final DepositCounterpartDefinition fromTradeTenor = DepositCounterpartDefinition.fromTrade(TRADE_DATE, DEPOSIT_PERIOD, NOTIONAL, RATE, GENERATOR, COUNTERPART);
assertEquals("DepositDefinition: from", DEPOSIT_CTP_DEFINITION, fromTradeTenor);
final DepositCounterpartDefinition fromStartTenor = DepositCounterpartDefinition.fromStart(SPOT_DATE, DEPOSIT_PERIOD, NOTIONAL, RATE, GENERATOR, COUNTERPART);
assertEquals("DepositDefinition: from", DEPOSIT_CTP_DEFINITION, fromStartTenor);
final int start = 1;
final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, start, TARGET);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, 1, TARGET);
final double af = GENERATOR.getDayCount().getDayCountFraction(startDate, endDate);
final DepositCounterpartDefinition on = new DepositCounterpartDefinition(EUR, startDate, endDate, NOTIONAL, RATE, af, COUNTERPART);
final DepositCounterpartDefinition fromTradeON = DepositCounterpartDefinition.fromTrade(TRADE_DATE, start, NOTIONAL, RATE, GENERATOR, COUNTERPART);
assertEquals("DepositDefinition: from", on, fromTradeON);
final DepositCounterpartDefinition fromStartON = DepositCounterpartDefinition.fromStart(startDate, NOTIONAL, RATE, GENERATOR, COUNTERPART);
assertEquals("DepositDefinition: from", on, fromStartON);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeTradeDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART, CURVE_NAME);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeBetweenTradeAndSettleDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART, CURVE_NAME);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeSettleDeprecated() {
final ZonedDateTime referenceDate = SPOT_DATE;
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART, CURVE_NAME);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeBetweenSettleMaturityDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, 0, RATE, DEPOSIT_AF, COUNTERPART, CURVE_NAME);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeMaturityDeprecated() {
final ZonedDateTime referenceDate = END_DATE;
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, 0, RATE, DEPOSIT_AF, COUNTERPART, CURVE_NAME);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeTrade() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeBetweenTradeAndSettle() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeSettle() {
final ZonedDateTime referenceDate = SPOT_DATE;
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, COUNTERPART);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeBetweenSettleMaturity() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, 0, RATE, DEPOSIT_AF, COUNTERPART);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeMaturity() {
final ZonedDateTime referenceDate = END_DATE;
final DepositCounterpart converted = DEPOSIT_CTP_DEFINITION.toDerivative(referenceDate);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositCounterpart expected = new DepositCounterpart(EUR, startTime, endTime, NOTIONAL, 0, RATE, DEPOSIT_AF, COUNTERPART);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
}