/**
* Copyright (C) 2013 - 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.future.derivative.SwapFuturesPriceDeliverableTransaction;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
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 SwapFuturesPriceDeliverableTransactionDefinitionTest {
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(2013, 6, 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 = 0.0200;
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);
private static final ZonedDateTime TRAN_DATE = DateUtils.getUTCDate(2013, 3, 28);
private static final double TRAN_PRICE = 0.98 + 31.0 / 32.0 / 100.0; // price quoted in 32nd of 1%
private static final int QUANTITY = 1234;
private static final SwapFuturesPriceDeliverableTransactionDefinition SWAP_FUTURES_TRANSACTION_DEFINITION =
new SwapFuturesPriceDeliverableTransactionDefinition(SWAP_FUTURES_SECURITY_DEFINITION, TRAN_DATE, TRAN_PRICE, QUANTITY);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullUnderlying() {
new SwapFuturesPriceDeliverableTransactionDefinition(null, TRAN_DATE, TRAN_PRICE, QUANTITY);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullTrDate() {
new SwapFuturesPriceDeliverableTransactionDefinition(SWAP_FUTURES_SECURITY_DEFINITION, null, TRAN_PRICE, QUANTITY);
}
@Test
/**
* Tests the getter methods.
*/
public void getter() {
assertEquals("DeliverableSwapFuturesTransactionDefinition: getter", SWAP_FUTURES_SECURITY_DEFINITION, SWAP_FUTURES_TRANSACTION_DEFINITION.getUnderlying());
assertEquals("DeliverableSwapFuturesTransactionDefinition: getter", TRAN_DATE, SWAP_FUTURES_TRANSACTION_DEFINITION.getTransactionDate());
assertEquals("DeliverableSwapFuturesTransactionDefinition: getter", TRAN_PRICE, SWAP_FUTURES_TRANSACTION_DEFINITION.getTransactionPrice());
assertEquals("DeliverableSwapFuturesTransactionDefinition: getter", QUANTITY, SWAP_FUTURES_TRANSACTION_DEFINITION.getQuantity());
}
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivativeOnTradeDate() {
final ZonedDateTime referenceDate = TRAN_DATE;
final double lastMargin = 0.99 + 1.0 / 32.0 / 100.0;
final SwapFuturesPriceDeliverableSecurity underlying = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(referenceDate);
final SwapFuturesPriceDeliverableTransaction derivativeExpected = new SwapFuturesPriceDeliverableTransaction(underlying, TRAN_PRICE, QUANTITY);
final SwapFuturesPriceDeliverableTransaction derivativeConverted = SWAP_FUTURES_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMargin);
assertEquals("DeliverableSwapFuturesTransactionDefinition: toDerivative", derivativeExpected, derivativeConverted);
}
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivativeAfterTradeDate() {
final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRAN_DATE, 1, NYC);
final double lastMargin = 0.99080;
final SwapFuturesPriceDeliverableSecurity underlying = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(referenceDate);
final SwapFuturesPriceDeliverableTransaction derivativeExpected = new SwapFuturesPriceDeliverableTransaction(underlying, lastMargin, QUANTITY);
final SwapFuturesPriceDeliverableTransaction derivativeConverted = SWAP_FUTURES_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMargin);
assertEquals("DeliverableSwapFuturesTransactionDefinition: toDerivative", derivativeExpected, derivativeConverted);
}
}