/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.swaption;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
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.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionBermudaFixedIbor;
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.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the construction of European physical delivery swaptions and its conversion to derivatives.
*/
public class SwaptionBermudaFixedIborDefinitionTest {
// General
private static final Currency CUR = Currency.EUR;
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 ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 22);
// Total swap -5Y semi bond vs quarterly money
private static final Period FORWARD_TENOR = Period.ofYears(1);
private static final ZonedDateTime SETTLEMENT_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, FORWARD_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
private static final Period SWAP_TENOR = Period.ofYears(5);
private static final double NOTIONAL = 123000000;
private static final boolean FIXED_IS_PAYER = true;
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final Period IBOR_TENOR = Period.ofMonths(3);
private static final int IBOR_SETTLEMENT_DAYS = 2;
private static final DayCount IBOR_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, IBOR_TENOR, IBOR_SETTLEMENT_DAYS, IBOR_DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, SWAP_TENOR, CALENDAR);
private static final double RATE = 0.0325;
private static final SwapFixedIborDefinition TOTAL_SWAP_DEFINITION = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
// Semi-annual expiry
private static final boolean IS_LONG = true;
private static final int NB_EXPIRY = TOTAL_SWAP_DEFINITION.getFixedLeg().getNumberOfPayments();
private static final ZonedDateTime[] EXPIRY_DATE = new ZonedDateTime[NB_EXPIRY];
private static final SwapFixedIborDefinition[] EXPIRY_SWAP_DEFINITION = new SwapFixedIborDefinition[NB_EXPIRY];
static {
for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
EXPIRY_DATE[loopexp] = ScheduleCalculator.getAdjustedDate(TOTAL_SWAP_DEFINITION.getFixedLeg().getNthPayment(loopexp).getAccrualStartDate(), -IBOR_SETTLEMENT_DAYS, CALENDAR);
EXPIRY_SWAP_DEFINITION[loopexp] = TOTAL_SWAP_DEFINITION.trimStart(EXPIRY_DATE[loopexp]);
}
}
private static final SwaptionBermudaFixedIborDefinition BERMUDA_SWAPTION_DEFINITION = new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, IS_LONG, EXPIRY_DATE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullSwap() {
new SwaptionBermudaFixedIborDefinition(null, IS_LONG, EXPIRY_DATE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullExpiry() {
new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, IS_LONG, null);
}
@Test
/**
* Tests the Bermuda swaption getters.
*/
public void getter() {
assertEquals("Getter: underlying swaps", EXPIRY_SWAP_DEFINITION, BERMUDA_SWAPTION_DEFINITION.getUnderlyingSwap());
assertEquals("Getter: long/short", IS_LONG, BERMUDA_SWAPTION_DEFINITION.isLong());
assertEquals("Getter: expiry dates", EXPIRY_DATE, BERMUDA_SWAPTION_DEFINITION.getExpiryDate());
}
@Test
/**
* Tests the Bermuda swaption builder from a unique total swap.
*/
public void from() {
final SwaptionBermudaFixedIborDefinition bermuda2 = SwaptionBermudaFixedIborDefinition.from(TOTAL_SWAP_DEFINITION, IS_LONG, EXPIRY_DATE);
assertEquals("Bermuda swaption builder", BERMUDA_SWAPTION_DEFINITION, bermuda2);
}
@Test
/**
* Tests the equal and hash-code methods.
*/
public void hashEqual() {
final SwaptionBermudaFixedIborDefinition bermuda2 = SwaptionBermudaFixedIborDefinition.from(TOTAL_SWAP_DEFINITION, IS_LONG, EXPIRY_DATE);
assertTrue("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.equals(bermuda2));
assertEquals("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.hashCode(), bermuda2.hashCode());
SwaptionBermudaFixedIborDefinition modified;
modified = new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, !IS_LONG, EXPIRY_DATE);
assertFalse("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.equals(modified));
final ZonedDateTime[] expiry2 = new ZonedDateTime[NB_EXPIRY];
System.arraycopy(EXPIRY_DATE, 0, expiry2, 0, NB_EXPIRY);
expiry2[0] = EXPIRY_DATE[0].minusDays(1);
modified = new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, IS_LONG, expiry2);
assertFalse("Bermuda swaption", BERMUDA_SWAPTION_DEFINITION.equals(modified));
}
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivatives() {
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double[] expiryTime = new double[NB_EXPIRY];
final double[] settleTime = new double[NB_EXPIRY];
@SuppressWarnings("unchecked")
final SwapFixedCoupon<Coupon>[] underlyingSwap = new SwapFixedCoupon[NB_EXPIRY];
for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
expiryTime[loopexp] = actAct.getDayCountFraction(REFERENCE_DATE, EXPIRY_DATE[loopexp]);
underlyingSwap[loopexp] = EXPIRY_SWAP_DEFINITION[loopexp].toDerivative(REFERENCE_DATE);
settleTime[loopexp] = actAct.getDayCountFraction(REFERENCE_DATE, EXPIRY_SWAP_DEFINITION[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
}
final SwaptionBermudaFixedIbor swaptionBermuda = new SwaptionBermudaFixedIbor(underlyingSwap, IS_LONG, expiryTime, settleTime);
assertEquals("Swaption Bermuda: to derivatives", swaptionBermuda, BERMUDA_SWAPTION_DEFINITION.toDerivative(REFERENCE_DATE));
}
@SuppressWarnings("deprecation")
@Test
/**
* Tests the toDerivative method.
*/
public void toDerivativesDeprecated() {
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final String FUNDING_CURVE_NAME = "Funding";
final String FORWARD_CURVE_NAME = "Forward";
final String[] CURVES_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
final double[] expiryTime = new double[NB_EXPIRY];
final double[] settleTime = new double[NB_EXPIRY];
@SuppressWarnings("unchecked")
final SwapFixedCoupon<Coupon>[] underlyingSwap = new SwapFixedCoupon[NB_EXPIRY];
for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
expiryTime[loopexp] = actAct.getDayCountFraction(REFERENCE_DATE, EXPIRY_DATE[loopexp]);
underlyingSwap[loopexp] = EXPIRY_SWAP_DEFINITION[loopexp].toDerivative(REFERENCE_DATE, CURVES_NAME);
settleTime[loopexp] = actAct.getDayCountFraction(REFERENCE_DATE, EXPIRY_SWAP_DEFINITION[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
}
final SwaptionBermudaFixedIbor swaptionBermuda = new SwaptionBermudaFixedIbor(underlyingSwap, IS_LONG, expiryTime, settleTime);
assertEquals("Swaption Bermuda: to derivatives", swaptionBermuda, BERMUDA_SWAPTION_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME));
}
}