/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
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.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
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.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests the interest rate future option with margin security description.
*/
public class InterestRateFutureOptionMarginSecurityDefinitionTest {
//EURIBOR 3M Index
private static final Period TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_INDEX = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor");
// Future option mid-curve 1Y
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -SETTLEMENT_DAYS, CALENDAR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "ERU2";
private static final double STRIKE = 0.9895;
private static final InterestRateFutureSecurityDefinition ERU2 = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 9, 16);
private static final boolean IS_CALL = true;
private static final InterestRateFutureOptionMarginSecurityDefinition OPTION_ERU2 = new InterestRateFutureOptionMarginSecurityDefinition(ERU2, EXPIRATION_DATE, STRIKE, IS_CALL);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final String DISCOUNTING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAMES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME};
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new InterestRateFutureOptionMarginSecurityDefinition(null, EXPIRATION_DATE, STRIKE, IS_CALL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullExpiration() {
new InterestRateFutureOptionMarginSecurityDefinition(ERU2, null, STRIKE, IS_CALL);
}
@Test
/**
* Tests the class getters.
*/
public void getter() {
assertEquals(ERU2, OPTION_ERU2.getUnderlyingFuture());
assertEquals(EXPIRATION_DATE, OPTION_ERU2.getExpirationDate());
assertEquals(STRIKE, OPTION_ERU2.getStrike());
assertEquals(IS_CALL, OPTION_ERU2.isCall());
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
final InterestRateFutureOptionMarginSecurityDefinition other = new InterestRateFutureOptionMarginSecurityDefinition(ERU2, EXPIRATION_DATE, STRIKE, IS_CALL);
assertTrue(OPTION_ERU2.equals(other));
assertTrue(OPTION_ERU2.hashCode() == other.hashCode());
InterestRateFutureOptionMarginSecurityDefinition modifiedFuture;
modifiedFuture = new InterestRateFutureOptionMarginSecurityDefinition(ERU2, LAST_TRADING_DATE, STRIKE, IS_CALL);
assertFalse(OPTION_ERU2.equals(modifiedFuture));
modifiedFuture = new InterestRateFutureOptionMarginSecurityDefinition(ERU2, EXPIRATION_DATE, STRIKE + 0.001, IS_CALL);
assertFalse(OPTION_ERU2.equals(modifiedFuture));
modifiedFuture = new InterestRateFutureOptionMarginSecurityDefinition(ERU2, EXPIRATION_DATE, STRIKE, !IS_CALL);
assertFalse(OPTION_ERU2.equals(modifiedFuture));
}
@Test
public void toDerivative() {
final double expirationTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXPIRATION_DATE);
final InterestRateFutureSecurity underlyingFuture = ERU2.toDerivative(REFERENCE_DATE);
final InterestRateFutureOptionMarginSecurity security = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, STRIKE, IS_CALL);
final InterestRateFutureOptionMarginSecurity convertedSecurity = OPTION_ERU2.toDerivative(REFERENCE_DATE);
assertTrue("Rate future option with margining security converter", security.equals(convertedSecurity));
}
@SuppressWarnings("deprecation")
@Test
public void toDerivativeDeprecated() {
final double expirationTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXPIRATION_DATE);
final InterestRateFutureSecurity underlyingFuture = ERU2.toDerivative(REFERENCE_DATE, CURVES_NAMES);
final InterestRateFutureOptionMarginSecurity security = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, STRIKE, IS_CALL);
final InterestRateFutureOptionMarginSecurity convertedSecurity = OPTION_ERU2.toDerivative(REFERENCE_DATE, CURVES_NAMES);
assertTrue("Rate future option with margining security converter", security.equals(convertedSecurity));
}
}