/**
* Copyright (C) 2009 - 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.AnnuityCouponIborSpreadDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapXCcyIborIbor;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.util.time.DateUtils;
/**
* Test the swap Ibor+spread to Ibor+spread constructor and to derivative.
*/
public class SwapXCcyIborIborDefinitionTest {
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final IndexIborMaster INDEX_MASTER = IndexIborMaster.getInstance();
private static final IborIndex USDLIBOR3M = INDEX_MASTER.getIndex("USDLIBOR3M");
private static final IborIndex EURIBOR3M = INDEX_MASTER.getIndex("EURIBOR3M");
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2012, 4, 18);
private static final double NOTIONAL1 = 1000000; // EUR
private static final double NOTIONAL2 = 1300000; // USD
private static final GeneratorSwapXCcyIborIbor XCCY_GENERATOR = new GeneratorSwapXCcyIborIbor("EURIBOR3MUSDLIBOR3M", EURIBOR3M, USDLIBOR3M, CALENDAR, CALENDAR);
private static final boolean IS_PAYER_1 = true;
private static final double SIGN_1 = IS_PAYER_1 ? -1.0 : 1.0;
private static final double SPREAD_1 = 0.0012;
private static final boolean IS_PAYER_2 = !IS_PAYER_1;
private static final double SPREAD_2 = 0.0;
private static final ZonedDateTime MATURITY_DATE = SETTLEMENT_DATE.plus(ANNUITY_TENOR);
private static final SwapXCcyIborIborDefinition SWAP_XCCY_IBOR_IBOR = SwapXCcyIborIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, XCCY_GENERATOR, NOTIONAL1, NOTIONAL2, SPREAD_1, IS_PAYER_1, CALENDAR, CALENDAR);
private static final AnnuityCouponIborSpreadDefinition IBOR_LEG_1 = AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL1, EURIBOR3M, SPREAD_1, IS_PAYER_1, CALENDAR);
private static final AnnuityCouponIborSpreadDefinition IBOR_LEG_2 = AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL2, USDLIBOR3M, SPREAD_2, IS_PAYER_2, CALENDAR);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullSettleDate() {
SwapXCcyIborIborDefinition.from(null, ANNUITY_TENOR, XCCY_GENERATOR, NOTIONAL1, NOTIONAL2, SPREAD_1, IS_PAYER_1, CALENDAR, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullTenor() {
SwapXCcyIborIborDefinition.from(SETTLEMENT_DATE, null, XCCY_GENERATOR, NOTIONAL1, NOTIONAL2, SPREAD_1, IS_PAYER_1, CALENDAR, CALENDAR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullGen() {
SwapXCcyIborIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, null, NOTIONAL1, NOTIONAL2, SPREAD_1, IS_PAYER_1, CALENDAR, CALENDAR);
}
@Test
public void leg1() {
// The first payment is a fixed payment with -notional
final PaymentFixedDefinition exchangeNotionalStart = new PaymentFixedDefinition(XCCY_GENERATOR.getIborIndex1().getCurrency(), SETTLEMENT_DATE, -NOTIONAL1 * SIGN_1);
assertEquals("SwapXCcyIborIborDefinition", exchangeNotionalStart, SWAP_XCCY_IBOR_IBOR.getFirstLeg().getNthPayment(0));
// The last payment is a fixed payment with notional
final int nbPayments = SWAP_XCCY_IBOR_IBOR.getFirstLeg().getNumberOfPayments();
final PaymentFixedDefinition exchangeNotionalEnd = new PaymentFixedDefinition(XCCY_GENERATOR.getIborIndex1().getCurrency(), MATURITY_DATE, NOTIONAL1 * SIGN_1);
assertEquals("SwapXCcyIborIborDefinition", exchangeNotionalEnd, SWAP_XCCY_IBOR_IBOR.getFirstLeg().getNthPayment(nbPayments - 1));
// The intermediary payments are coupons from the floating leg
for (int loopcpn = 0; loopcpn < nbPayments - 2; loopcpn++) {
assertEquals("SwapXCcyIborIborDefinition", IBOR_LEG_1.getNthPayment(loopcpn), SWAP_XCCY_IBOR_IBOR.getFirstLeg().getNthPayment(loopcpn + 1));
}
}
@Test
public void leg2() {
// The first payment is a fixed payment with -notional
final PaymentFixedDefinition exchangeNotionalStart = new PaymentFixedDefinition(XCCY_GENERATOR.getIborIndex2().getCurrency(), SETTLEMENT_DATE, NOTIONAL2 * SIGN_1);
assertEquals("SwapXCcyIborIborDefinition", exchangeNotionalStart, SWAP_XCCY_IBOR_IBOR.getSecondLeg().getNthPayment(0));
// The last payment is a fixed payment with notional
final int nbPayments = SWAP_XCCY_IBOR_IBOR.getSecondLeg().getNumberOfPayments();
final PaymentFixedDefinition exchangeNotionalEnd = new PaymentFixedDefinition(XCCY_GENERATOR.getIborIndex2().getCurrency(), MATURITY_DATE, -NOTIONAL2 * SIGN_1);
assertEquals("SwapXCcyIborIborDefinition", exchangeNotionalEnd, SWAP_XCCY_IBOR_IBOR.getSecondLeg().getNthPayment(nbPayments - 1));
// The intermediary payments are coupons from the floating leg
for (int loopcpn = 0; loopcpn < nbPayments - 2; loopcpn++) {
assertEquals("SwapXCcyIborIborDefinition", IBOR_LEG_2.getNthPayment(loopcpn), SWAP_XCCY_IBOR_IBOR.getSecondLeg().getNthPayment(loopcpn + 1));
}
}
@Test
public void getter() {
assertEquals(SWAP_XCCY_IBOR_IBOR.getFirstLeg().getCurrency(), XCCY_GENERATOR.getIborIndex1().getCurrency());
assertEquals(SWAP_XCCY_IBOR_IBOR.getSecondLeg().getCurrency(), XCCY_GENERATOR.getIborIndex2().getCurrency());
}
@Test
public void from2() {
final SwapXCcyIborIborDefinition swap2 = SwapXCcyIborIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, XCCY_GENERATOR, NOTIONAL1, NOTIONAL2, SPREAD_1, IS_PAYER_1, CALENDAR, CALENDAR);
assertEquals("SwapXCcyIborIborDefinition", SWAP_XCCY_IBOR_IBOR, swap2);
}
}