/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.payment;
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.IborIndex;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
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 CouponIborDefinitionTest {
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 INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor");
private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2011, 1, 3);
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 1, 6);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 4, 4);
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2011, 4, 6);
// The above dates are not standard but selected for insure correct testing.
private static final ZonedDateTime FIXING_START_DATE = ScheduleCalculator.getAdjustedDate(FIXING_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final ZonedDateTime FIXING_END_DATE = ScheduleCalculator.getAdjustedDate(FIXING_START_DATE, TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
private static final DayCount DAY_COUNT_PAYMENT = DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final double ACCRUAL_FACTOR = DAY_COUNT_PAYMENT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double ACCRUAL_FACTOR_FIXING = DAY_COUNT_INDEX.getDayCountFraction(FIXING_START_DATE, FIXING_END_DATE);
private static final double NOTIONAL = 1000000; //1m
// Coupon with specific payment and accrual dates.
private static final CouponIborDefinition IBOR_COUPON_DEFINITION = CouponIborDefinition.from(PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
// Coupon with standard payment and accrual dates.
private static final CouponIborDefinition IBOR_COUPON_DEFINITION_2 = CouponIborDefinition.from(NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
private static final double FIXING_RATE = 0.04;
private static final DoubleTimeSeries<ZonedDateTime> FIXING_TS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {FIXING_DATE }, new double[] {FIXING_RATE });
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27); //For conversion to derivative
@Test(expectedExceptions = IllegalArgumentException.class)
public void testDifferentCurrencies() {
new CouponIborDefinition(Currency.AUD, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIndex1() {
new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, null, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPaymentDate() {
CouponIborDefinition.from(null, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullAccrualStartDate() {
CouponIborDefinition.from(PAYMENT_DATE, null, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullAccrualEndDate() {
CouponIborDefinition.from(PAYMENT_DATE, ACCRUAL_START_DATE, null, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullFixingDate() {
CouponIborDefinition.from(PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, null, INDEX, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIndex2() {
CouponIborDefinition.from(PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, null, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testFromNullFixingDate() {
CouponIborDefinition.from(NOTIONAL, null, INDEX, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testFromNullIndex() {
CouponIborDefinition.from(NOTIONAL, FIXING_DATE, null, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testFixingAfterPayment() {
CouponIborDefinition.from(FIXING_DATE.minusDays(1), ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
}
@SuppressWarnings("deprecation")
@Test(expectedExceptions = IllegalArgumentException.class)
public void testConversionAfterFixingNoDataDeprecated() {
IBOR_COUPON_DEFINITION.toDerivative(FIXING_DATE.plusDays(3), new String[] {"A", "B" });
}
@SuppressWarnings("deprecation")
@Test(expectedExceptions = IllegalArgumentException.class)
public void testConversionNullFixingDataDeprecated() {
IBOR_COUPON_DEFINITION.toDerivative(FIXING_DATE, null, new String[] {"A", "S" });
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testConversionAfterFixingNoData() {
IBOR_COUPON_DEFINITION.toDerivative(FIXING_DATE.plusDays(3));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testConversionNullFixingData() {
IBOR_COUPON_DEFINITION.toDerivative(FIXING_DATE, (DoubleTimeSeries<ZonedDateTime>) null);
}
@Test
public void test() {
assertEquals(IBOR_COUPON_DEFINITION.getPaymentDate(), PAYMENT_DATE);
assertEquals(IBOR_COUPON_DEFINITION.getAccrualStartDate(), ACCRUAL_START_DATE);
assertEquals(IBOR_COUPON_DEFINITION.getAccrualEndDate(), ACCRUAL_END_DATE);
assertEquals(IBOR_COUPON_DEFINITION.getPaymentYearFraction(), ACCRUAL_FACTOR, 1E-10);
assertEquals(IBOR_COUPON_DEFINITION.getNotional(), NOTIONAL, 1E-2);
assertEquals(IBOR_COUPON_DEFINITION.getFixingDate(), FIXING_DATE);
assertEquals(IBOR_COUPON_DEFINITION.getFixingPeriodStartDate(), FIXING_START_DATE);
assertEquals(IBOR_COUPON_DEFINITION.getFixingPeriodEndDate(), FIXING_END_DATE);
assertEquals(IBOR_COUPON_DEFINITION.getFixingPeriodAccrualFactor(), ACCRUAL_FACTOR_FIXING, 1E-10);
assertEquals(IBOR_COUPON_DEFINITION_2.getPaymentDate(), FIXING_END_DATE);
assertEquals(IBOR_COUPON_DEFINITION_2.getAccrualStartDate(), FIXING_START_DATE);
assertEquals(IBOR_COUPON_DEFINITION_2.getAccrualEndDate(), FIXING_END_DATE);
assertEquals(IBOR_COUPON_DEFINITION_2.getPaymentYearFraction(), ACCRUAL_FACTOR_FIXING, 1E-10);
assertEquals(IBOR_COUPON_DEFINITION_2.getNotional(), NOTIONAL, 1E-2);
assertEquals(IBOR_COUPON_DEFINITION_2.getFixingDate(), FIXING_DATE);
assertEquals(IBOR_COUPON_DEFINITION_2.getFixingPeriodStartDate(), FIXING_START_DATE);
assertEquals(IBOR_COUPON_DEFINITION_2.getFixingPeriodEndDate(), FIXING_END_DATE);
assertEquals(IBOR_COUPON_DEFINITION_2.getFixingPeriodAccrualFactor(), ACCRUAL_FACTOR_FIXING, 1E-10);
}
@Test
public void testEqualHash() {
CouponIborDefinition other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
assertEquals(IBOR_COUPON_DEFINITION, other);
assertEquals(IBOR_COUPON_DEFINITION.hashCode(), other.hashCode());
other = new CouponIborDefinition(Currency.AUD, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, new IborIndex(Currency.AUD, TENOR, SETTLEMENT_DAYS,
DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor"), CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE.plusDays(1), ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.plusDays(1), ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE.plusDays(1), ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR + 0.01, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL + 100, FIXING_DATE, INDEX, CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE.plusDays(1), INDEX, CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, new IborIndex(CUR, TENOR, SETTLEMENT_DAYS + 1,
DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor"), CALENDAR);
assertFalse(IBOR_COUPON_DEFINITION.equals(other));
other = new CouponIborDefinition(CUR, FIXING_END_DATE, FIXING_START_DATE, FIXING_END_DATE, ACCRUAL_FACTOR_FIXING, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
assertEquals(IBOR_COUPON_DEFINITION_2, other);
assertEquals(IBOR_COUPON_DEFINITION_2.hashCode(), other.hashCode());
}
@Test
public void testToDerivativeBeforeFixing() {
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double paymentTime = actAct.getDayCountFraction(REFERENCE_DATE, PAYMENT_DATE);
final double fixingTime = actAct.getDayCountFraction(REFERENCE_DATE, FIXING_DATE);
final double fixingPeriodStartTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_COUPON_DEFINITION.getFixingPeriodStartDate());
final double fixingPeriodEndTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
final CouponIbor couponIbor = new CouponIbor(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime, ACCRUAL_FACTOR_FIXING);
CouponIbor convertedDefinition = (CouponIbor) IBOR_COUPON_DEFINITION.toDerivative(REFERENCE_DATE);
assertEquals(couponIbor, convertedDefinition);
convertedDefinition = (CouponIbor) IBOR_COUPON_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
assertEquals(couponIbor, convertedDefinition);
}
@Test
/**
* Tests the toDerivative method where the fixing date before the current date.
*/
public void testToDerivativeAfterFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 10, 12, 0);
final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
assertEquals("CouponIborDefinition: toDerivative", coupon, couponConverted);
}
@Test
/**
* Tests the toDerivative method where the fixing date is equal to the current date.
*/
public void testToDerivativeOnFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 3, 11, 11);
final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
final double fixingTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE);
final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodStartDate());
final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
// The fixing is known
final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
assertEquals(coupon, couponConverted);
// The fixing is not known
final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
new double[] {FIXING_RATE });
final CouponIbor coupon2 = new CouponIbor(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
IBOR_COUPON_DEFINITION.getFixingPeriodAccrualFactor());
final Payment couponConverted2 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2);
assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted2);
final Payment couponConverted3 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate);
assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted3);
}
@SuppressWarnings("deprecation")
@Test
public void testToDerivativeBeforeFixingDeprecated() {
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double paymentTime = actAct.getDayCountFraction(REFERENCE_DATE, PAYMENT_DATE);
final double fixingTime = actAct.getDayCountFraction(REFERENCE_DATE, FIXING_DATE);
final double fixingPeriodStartTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_COUPON_DEFINITION.getFixingPeriodStartDate());
final double fixingPeriodEndTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
final String fundingCurve = "Funding";
final String forwardCurve = "Forward";
final String[] curves = {fundingCurve, forwardCurve };
final CouponIbor couponIbor = new CouponIbor(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime, ACCRUAL_FACTOR_FIXING,
forwardCurve);
CouponIbor convertedDefinition = (CouponIbor) IBOR_COUPON_DEFINITION.toDerivative(REFERENCE_DATE, curves);
assertEquals(couponIbor, convertedDefinition);
convertedDefinition = (CouponIbor) IBOR_COUPON_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS, curves);
assertEquals(couponIbor, convertedDefinition);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method where the fixing date before the current date.
*/
public void testToDerivativeAfterFixingDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 10, 12, 0);
final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
final String fundingCurve = "Funding";
final String forwardCurve = "Forward";
final String[] curves = {fundingCurve, forwardCurve };
final CouponFixed coupon = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
assertEquals("CouponIborDefinition: toDerivative", coupon, couponConverted);
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method where the fixing date is equal to the current date.
*/
public void testToDerivativeOnFixingDeprecated() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 3, 11, 11);
final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
final double fixingTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE);
final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodStartDate());
final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
final String fundingCurve = "Funding";
final String forwardCurve = "Forward";
final String[] curves = {fundingCurve, forwardCurve };
// The fixing is known
final CouponFixed coupon = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
assertEquals(coupon, couponConverted);
// The fixing is not known
final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
new double[] {FIXING_RATE });
final CouponIbor coupon2 = new CouponIbor(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
IBOR_COUPON_DEFINITION.getFixingPeriodAccrualFactor(), forwardCurve);
final Payment couponConverted2 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2, curves);
assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted2);
final Payment couponConverted3 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, curves);
assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted3);
}
}