/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.inflation;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearMonthly;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
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.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class CapFloorInflationYearOnYearMonthlyDefinitionTest {
private static final String NAME = "Euro HICP x";
private static final Currency CUR = Currency.EUR;
private static final IndexPrice PRICE_INDEX = new IndexPrice(NAME, CUR);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final ZonedDateTime LAST_KNOWN_FIXING_DATE = DateUtils.getUTCDate(2008, 6, 1);
private static final Period COUPON_TENOR = Period.ofYears(10);
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR);
private static final ZonedDateTime ACCRUAL_END_DATE = PAYMENT_DATE;
private static final ZonedDateTime ACCRUAL_START_DATE = ACCRUAL_END_DATE.minusMonths(12);
private static final double NOTIONAL = 98765432;
private static final int MONTH_LAG = 3;
private static final double STRIKE = .02;
private static final boolean IS_CAP = true;
private static final ZonedDateTime REFERENCE_START_DATE = ACCRUAL_START_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1);
private static final ZonedDateTime REFERENCE_END_DATE = PAYMENT_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1);
private static final double WEIGHT_START = 0.2;
private static final double WEIGHT_END = 0.8;
private static final CapFloorInflationYearOnYearMonthlyDefinition YoY_CAP_DEFINITION = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
private static final DayCount ACT_ACT = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCurrency() {
new CapFloorInflationYearOnYearMonthlyDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPay() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, null, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullStart() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, null,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullEnd() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
null, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIndex() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, null, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullRefStart() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, null, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullRefEnd() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, null, STRIKE, IS_CAP);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIsCap() {
new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, null, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
}
@Test
/**
* Tests the class getter.
*/
public void getter() {
assertEquals("Inflation Year on Year cap: getter", CUR, YoY_CAP_DEFINITION.getCurrency());
assertEquals("Inflation Year on Year cap: getter", PAYMENT_DATE, YoY_CAP_DEFINITION.getPaymentDate());
assertEquals("Inflation Year on Year cap: getter", ACCRUAL_START_DATE, YoY_CAP_DEFINITION.getAccrualStartDate());
assertEquals("Inflation Year on Year cap: getter", ACCRUAL_END_DATE, YoY_CAP_DEFINITION.getAccrualEndDate());
assertEquals("Inflation Year on Year cap: getter", LAST_KNOWN_FIXING_DATE, YoY_CAP_DEFINITION.getLastKnownFixingDate());
assertEquals("Inflation Year on Year cap: getter", 1.0, YoY_CAP_DEFINITION.getPaymentYearFraction());
assertEquals("Inflation Year on Year cap: getter", NOTIONAL, YoY_CAP_DEFINITION.getNotional());
assertEquals("Inflation Year on Year cap: getter", PRICE_INDEX, YoY_CAP_DEFINITION.getPriceIndex());
assertEquals("Inflation Year on Year cap: getter", REFERENCE_START_DATE, YoY_CAP_DEFINITION.getReferenceStartDate());
assertEquals("Inflation Year on Year cap: getter", REFERENCE_END_DATE, YoY_CAP_DEFINITION.getReferenceEndDate());
assertEquals("Inflation Year on Year cap: getter", MONTH_LAG, YoY_CAP_DEFINITION.getConventionalMonthLag());
assertEquals("Inflation Year on Year cap: getter", IS_CAP, YoY_CAP_DEFINITION.isCap());
assertEquals("Inflation Year on Year cap: getter", 1.0, YoY_CAP_DEFINITION.getPaymentYearFraction());
assertEquals("Inflation Year on Year cap: getter", STRIKE, YoY_CAP_DEFINITION.getStrike());
}
@Test
/**
* Tests the equal and hash-code methods.
*/
public void equalHash() {
assertEquals(YoY_CAP_DEFINITION, YoY_CAP_DEFINITION);
final CapFloorInflationYearOnYearMonthlyDefinition couponDuplicate = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertEquals(YoY_CAP_DEFINITION, couponDuplicate);
assertEquals(YoY_CAP_DEFINITION.hashCode(), couponDuplicate.hashCode());
CapFloorInflationYearOnYearMonthlyDefinition modified;
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE.minusDays(1), ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.minusDays(1),
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE.minusDays(1), 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
final ZonedDateTime modifiedReferenceStartDate = REFERENCE_START_DATE.minusDays(1);
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, modifiedReferenceStartDate, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
final ZonedDateTime modifiedReferenceEndDate = REFERENCE_END_DATE.minusDays(1);
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, modifiedReferenceEndDate, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 2.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL + 10.0, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE + .01, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, false);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE.minusDays(1), MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE.minusDays(1), MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG - 1, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
final IndexPrice modifiedPriceIndex = new IndexPrice("US CPI x", Currency.USD);
modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, modifiedPriceIndex, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
}
@Test
/**
* Tests the first based on indexation lag.
*/
public void from() {
final CapFloorInflationYearOnYearMonthlyDefinition constructor = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP);
final CouponInflationYearOnYearMonthlyDefinition yoyCoupon = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false);
final CapFloorInflationYearOnYearMonthlyDefinition from = CapFloorInflationYearOnYearMonthlyDefinition.from(yoyCoupon, LAST_KNOWN_FIXING_DATE, STRIKE, IS_CAP);
assertEquals("Inflation zero-coupon : from", constructor, from);
}
@Test
public void toDerivativesNoData() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate);
//lastKnownFixingTime could be negatif so we don't use the dayfraction
final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CapFloorInflationYearOnYearMonthly zeroCoupon = new CapFloorInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, referenceStartTime,
naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, STRIKE, IS_CAP);
assertEquals("Inflation zero-coupon: toDerivative", zeroCouponConverted, zeroCoupon);
}
@Test
public void toDerivativesStartMonthNotknown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
new double[] {
127.23, 127.43, 128.23, 128.43 });
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
// lastKnownFixingTime could be negatif so we don't use the dayfraction
final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CapFloorInflationYearOnYearMonthly zeroCoupon = new CapFloorInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, referenceStartTime,
naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, STRIKE, IS_CAP);
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
@Test
public void toDerivativesStartMonthKnown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
new double[] {
127.23, 127.43, 128.23, 128.43 });
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max((WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
(WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0 - STRIKE, 0.0));
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
}