/**
* Copyright (C) 2012 - 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 org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
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 related to the description of Deliverable Interest Rate Swap Futures as traded on CME.
*/
public class SwapFuturesPriceDeliverableSecurityDefinitionTest {
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GeneratorSwapFixedIborMaster.getInstance().getGenerator("USD6MLIBOR3M", NYC);
private static final ZonedDateTime EFFECTIVE_DATE = DateUtils.getUTCDate(2012, 12, 19);
private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(EFFECTIVE_DATE, -USD6MLIBOR3M.getSpotLag(), NYC);
private static final Period TENOR = Period.ofYears(10);
private static final double NOTIONAL = 100000;
private static final double RATE = 0.0175;
private static final SwapFixedIborDefinition SWAP_DEFINITION = SwapFixedIborDefinition.from(EFFECTIVE_DATE, TENOR, USD6MLIBOR3M, 1.0, RATE, false);
private static final SwapFuturesPriceDeliverableSecurityDefinition SWAP_FUTURES_SECURITY_DEFINITION = new SwapFuturesPriceDeliverableSecurityDefinition(LAST_TRADING_DATE, SWAP_DEFINITION, NOTIONAL);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullLastTrading() {
new SwapFuturesPriceDeliverableSecurityDefinition(null, SWAP_DEFINITION, NOTIONAL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullSwap() {
new SwapFuturesPriceDeliverableSecurityDefinition(LAST_TRADING_DATE, null, NOTIONAL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongSwap1() {
new SwapFuturesPriceDeliverableSecurityDefinition(LAST_TRADING_DATE, SwapFixedIborDefinition.from(EFFECTIVE_DATE, TENOR, USD6MLIBOR3M, 2.0, RATE, false), NOTIONAL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongSwap2() {
new SwapFuturesPriceDeliverableSecurityDefinition(LAST_TRADING_DATE, SwapFixedIborDefinition.from(EFFECTIVE_DATE, TENOR, USD6MLIBOR3M, 1.0, RATE, true), NOTIONAL);
}
@Test
/**
* Tests the getter methods.
*/
public void getter() {
assertEquals("DeliverableSwapFuturesSecurityDefinition: getter", LAST_TRADING_DATE, SWAP_FUTURES_SECURITY_DEFINITION.getLastTradingDate());
assertEquals("DeliverableSwapFuturesSecurityDefinition: getter", EFFECTIVE_DATE, SWAP_FUTURES_SECURITY_DEFINITION.getDeliveryDate());
assertEquals("DeliverableSwapFuturesSecurityDefinition: getter", SWAP_DEFINITION, SWAP_FUTURES_SECURITY_DEFINITION.getUnderlyingSwap());
assertEquals("DeliverableSwapFuturesSecurityDefinition: getter", NOTIONAL, SWAP_FUTURES_SECURITY_DEFINITION.getNotional());
}
@Test
/**
* Tests the from builder.
*/
public void from() {
final SwapFuturesPriceDeliverableSecurityDefinition futuresDefinition = SwapFuturesPriceDeliverableSecurityDefinition.from(EFFECTIVE_DATE, USD6MLIBOR3M, TENOR, NOTIONAL, RATE);
assertEquals("DeliverableSwapFuturesSecurityDefinition: from", SWAP_FUTURES_SECURITY_DEFINITION, futuresDefinition);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivativeDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 9, 21);
final String dscName = "USD Discounting";
final String fwd3Name = "USD Forward 3M";
final String[] curveNames = {dscName, fwd3Name };
final SwapFixedCoupon<? extends Coupon> underlying = SWAP_DEFINITION.toDerivative(referenceDate, curveNames);
final double expiryTime = TimeCalculator.getTimeBetween(referenceDate, LAST_TRADING_DATE);
final double deliveryTime = TimeCalculator.getTimeBetween(referenceDate, EFFECTIVE_DATE);
final SwapFuturesPriceDeliverableSecurity futuresExpected = new SwapFuturesPriceDeliverableSecurity(expiryTime, deliveryTime, underlying, NOTIONAL);
final SwapFuturesPriceDeliverableSecurity futuresConverted = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(referenceDate, curveNames);
assertEquals("DeliverableSwapFuturesSecurityDefinition: toDerivative", futuresExpected, futuresConverted);
}
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivative() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 9, 21);
final SwapFixedCoupon<? extends Coupon> underlying = SWAP_DEFINITION.toDerivative(referenceDate);
final double expiryTime = TimeCalculator.getTimeBetween(referenceDate, LAST_TRADING_DATE);
final double deliveryTime = TimeCalculator.getTimeBetween(referenceDate, EFFECTIVE_DATE);
final SwapFuturesPriceDeliverableSecurity futuresExpected = new SwapFuturesPriceDeliverableSecurity(expiryTime, deliveryTime, underlying, NOTIONAL);
final SwapFuturesPriceDeliverableSecurity futuresConverted = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(referenceDate);
assertEquals("DeliverableSwapFuturesSecurityDefinition: toDerivative", futuresExpected, futuresConverted);
}
}