/**
* 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.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
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.time.DateUtils;
/**
* Tests the interest rate future option with margin transaction description.
*/
public class InterestRateFutureOptionPremiumTransactionDefinitionTest {
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final IborIndex IBOR_INDEX = IndexIborMaster.getInstance().getIndex("EURIBOR3M");
// 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, -IBOR_INDEX.getSpotLag(), CALENDAR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
// private static final double REFERENCE_PRICE = 0.0; // TODO - CASE - Future refactor - 0.0 Refence Price here
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 InterestRateFutureOptionPremiumSecurityDefinition OPTION_EDU2 = new InterestRateFutureOptionPremiumSecurityDefinition(ERU2, EXPIRATION_DATE, STRIKE, IS_CALL);
// Transaction
private static final int QUANTITY = -123;
private static final ZonedDateTime PREMIUM_DATE = DateUtils.getUTCDate(2011, 5, 12);
private static final double TRADE_PRICE = 0.0050;
private static final InterestRateFutureOptionPremiumTransactionDefinition OPTION_TRANSACTION = new InterestRateFutureOptionPremiumTransactionDefinition(OPTION_EDU2, QUANTITY, PREMIUM_DATE,
TRADE_PRICE);
// Derivative
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
// private static final DayCount ACT_ACT = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final String DISCOUNTING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME};
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new InterestRateFutureOptionPremiumTransactionDefinition(null, QUANTITY, PREMIUM_DATE, TRADE_PRICE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTradeDate() {
new InterestRateFutureOptionPremiumTransactionDefinition(OPTION_EDU2, QUANTITY, null, TRADE_PRICE);
}
@Test
/**
* Tests the class getters.
*/
public void getter() {
assertEquals(OPTION_EDU2, OPTION_TRANSACTION.getUnderlyingOption());
assertEquals(QUANTITY, OPTION_TRANSACTION.getQuantity());
assertEquals(PREMIUM_DATE, OPTION_TRANSACTION.getPremium().getPaymentDate());
assertEquals(TRADE_PRICE, OPTION_TRANSACTION.getTradePrice());
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
final InterestRateFutureOptionPremiumTransactionDefinition other = new InterestRateFutureOptionPremiumTransactionDefinition(OPTION_EDU2, QUANTITY, PREMIUM_DATE, TRADE_PRICE);
assertTrue(OPTION_TRANSACTION.equals(other));
assertTrue(OPTION_TRANSACTION.hashCode() == other.hashCode());
InterestRateFutureOptionPremiumTransactionDefinition modifidOption;
modifidOption = new InterestRateFutureOptionPremiumTransactionDefinition(OPTION_EDU2, QUANTITY + 1, PREMIUM_DATE, TRADE_PRICE);
assertFalse(OPTION_TRANSACTION.equals(modifidOption));
modifidOption = new InterestRateFutureOptionPremiumTransactionDefinition(OPTION_EDU2, QUANTITY, LAST_TRADING_DATE, TRADE_PRICE);
assertFalse(OPTION_TRANSACTION.equals(modifidOption));
modifidOption = new InterestRateFutureOptionPremiumTransactionDefinition(OPTION_EDU2, QUANTITY, PREMIUM_DATE, TRADE_PRICE - 0.00001);
assertFalse(OPTION_TRANSACTION.equals(modifidOption));
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method when the reference date is before the premium settlement.
*/
public void toDerivativeBeforeSettlementDeprecated() {
final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, CURVES);
final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(REFERENCE_DATE, CURVES);
final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method when the reference date is on the premium settlement.
*/
public void toDerivativeOnSettlementDeprecated() {
final ZonedDateTime referenceDate = PREMIUM_DATE;
final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, CURVES);
final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate, CURVES);
final double premiumTime = 0.0;
final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method when the reference date is after the premium settlement.
*/
public void toDerivativeAfterSettlementDeprecated() {
final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, CURVES);
final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate, CURVES);
final double premiumTime = 0.0;
final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/**
* Tests the toDerivative method when the reference date is before the premium settlement.
*/
public void toDerivativeBeforeSettlement() {
final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE);
final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(REFERENCE_DATE);
final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/**
* Tests the toDerivative method when the reference date is on the premium settlement.
*/
public void toDerivativeOnSettlement() {
final ZonedDateTime referenceDate = PREMIUM_DATE;
final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate);
final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate);
final double premiumTime = 0.0;
final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/**
* Tests the toDerivative method when the reference date is after the premium settlement.
*/
public void toDerivativeAfterSettlement() {
final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate);
final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate);
final double premiumTime = 0.0;
final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
}