/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.swap;
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.annuity.AnnuityCouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponIborDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
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.financial.convention.frequency.PeriodFrequency;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Class testing the Fixed vs Ibor swap definition.
*/
public class SwapFixedIborDefinitionTest {
// Swap 2Y
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 17);
private static final double NOTIONAL = 1000000;
private static final ZonedDateTime MATURITY_DATE = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, ANNUITY_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
//Fixed leg: Semi-annual bond
private static final PeriodFrequency FIXED_PAYMENT_FREQUENCY = PeriodFrequency.SEMI_ANNUAL;
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
private static final ZonedDateTime[] FIXED_PAYMENT_DATES_UNADJUSTED = ScheduleCalculator.getUnadjustedDateSchedule(SETTLEMENT_DATE, MATURITY_DATE, FIXED_PAYMENT_FREQUENCY);
private static final ZonedDateTime[] FIXED_PAYMENT_DATES = ScheduleCalculator.getAdjustedDateSchedule(FIXED_PAYMENT_DATES_UNADJUSTED, BUSINESS_DAY, CALENDAR);
//Ibor leg: quarterly money
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final PeriodFrequency INDEX_FREQUENCY = PeriodFrequency.QUARTERLY;
private static final int SETTLEMENT_DAYS = 2;
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final Currency CUR = Currency.EUR;
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
private static final ZonedDateTime[] IBOR_PAYMENT_DATES_UNADJUSTED = ScheduleCalculator.getUnadjustedDateSchedule(SETTLEMENT_DATE, MATURITY_DATE, INDEX_FREQUENCY);
private static final ZonedDateTime[] IBOR_PAYMENT_DATES = ScheduleCalculator.getAdjustedDateSchedule(IBOR_PAYMENT_DATES_UNADJUSTED, BUSINESS_DAY, CALENDAR);
// private static final LocalDate REFERENCE_DATE = LocalDate.of(2011, 3, 15); //For conversion to derivative
@Test
public void test() {
final double sign = FIXED_IS_PAYER ? -1.0 : 1.0;
// Fixed leg
final CouponFixedDefinition[] couponsFixed = new CouponFixedDefinition[FIXED_PAYMENT_DATES.length];
couponsFixed[0] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[0], SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0], FIXED_DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0]),
sign * NOTIONAL, RATE);
for (int loopcpn = 1; loopcpn < FIXED_PAYMENT_DATES.length; loopcpn++) {
couponsFixed[loopcpn] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[loopcpn], FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn], FIXED_DAY_COUNT.getDayCountFraction(
FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(couponsFixed, CALENDAR);
// Ibor leg
final CouponIborDefinition[] couponsIbor = new CouponIborDefinition[IBOR_PAYMENT_DATES.length];
CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[0], SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0]),
-sign * NOTIONAL, 0.0);
ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
couponsIbor[0] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
for (int loopcpn = 1; loopcpn < IBOR_PAYMENT_DATES.length; loopcpn++) {
coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[loopcpn], IBOR_PAYMENT_DATES[loopcpn - 1], IBOR_PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(IBOR_PAYMENT_DATES[loopcpn - 1],
IBOR_PAYMENT_DATES[loopcpn]), -sign * NOTIONAL, 0.0);
fixingDate = ScheduleCalculator.getAdjustedDate(IBOR_PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
couponsIbor[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
}
final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(couponsIbor, IBOR_INDEX, CALENDAR);
//Swap
final SwapFixedIborDefinition swap = new SwapFixedIborDefinition(fixedAnnuity, iborAnnuity);
assertEquals(swap.getFixedLeg(), fixedAnnuity);
assertEquals(swap.getIborLeg(), iborAnnuity);
assertEquals(swap.getFirstLeg(), fixedAnnuity);
assertEquals(swap.getSecondLeg(), iborAnnuity);
// CMS index builder
final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_FREQUENCY.getPeriod(), FIXED_DAY_COUNT, IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
final SwapFixedIborDefinition swapFromCMSIndex = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
assertEquals(swap, swapFromCMSIndex);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullFixedLeg() {
// Ibor leg
final CouponIborDefinition[] couponsIbor = new CouponIborDefinition[IBOR_PAYMENT_DATES.length];
CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[0], SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0]),
NOTIONAL, 0.0);
ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
couponsIbor[0] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
for (int loopcpn = 1; loopcpn < IBOR_PAYMENT_DATES.length; loopcpn++) {
coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[loopcpn], IBOR_PAYMENT_DATES[loopcpn - 1], IBOR_PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(IBOR_PAYMENT_DATES[loopcpn - 1],
IBOR_PAYMENT_DATES[loopcpn]), NOTIONAL, 0.0);
fixingDate = ScheduleCalculator.getAdjustedDate(IBOR_PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
couponsIbor[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
}
final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(couponsIbor, IBOR_INDEX, CALENDAR);
new SwapFixedIborDefinition(null, iborAnnuity);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIborLeg() {
// Fixed leg
final CouponFixedDefinition[] couponsFixed = new CouponFixedDefinition[FIXED_PAYMENT_DATES.length];
couponsFixed[0] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[0], SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0], FIXED_DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0]),
NOTIONAL, RATE);
for (int loopcpn = 1; loopcpn < FIXED_PAYMENT_DATES.length; loopcpn++) {
couponsFixed[loopcpn] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[loopcpn], FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn], FIXED_DAY_COUNT.getDayCountFraction(
FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn]), NOTIONAL, RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(couponsFixed, CALENDAR);
new SwapFixedIborDefinition(fixedAnnuity, null);
}
// TODO: test to derivative
}