/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.util.money.Currency;
/**
*
*/
public class LastTimeCalculatorTest {
private static LastTimeCalculator LDC = LastTimeCalculator.getInstance();
private static final Currency CUR = Currency.EUR;
@Test
public void testCash() {
final double t = 7 / 365.0;
final Cash cash = new Cash(CUR, 1 / 365.0, t, 100, 0.0445, 5.0 / 365);
assertEquals(t, cash.accept(LDC), 1e-12);
}
@Test
public void testFRA() {
final double paymentTime = 0.5;
final double paymentYearFraction = 30. / 360;
final double fixingTime = paymentTime - 2. / 365;
final double fixingPeriodStartTime = paymentTime;
final double fixingPeriodEndTime = 7. / 12;
final double fixingYearFraction = 31. / 365;
final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true, "Ibor");
final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime, fixingYearFraction,
0.05);
assertEquals(fixingPeriodEndTime, fra.accept(LDC), 1e-12);
}
@Test
public void testFutures() {
final IborIndex iborIndex = new IborIndex(CUR, Period.ofMonths(3), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true, "Ibor");
final double lastTradingTime = 1.473;
final double fixingPeriodStartTime = 1.467;
final double fixingPeriodEndTime = 1.75;
final double fixingPeriodAccrualFactor = 0.267;
final double paymentAccrualFactor = 0.25;
final double refrencePrice = 0.0;
final InterestRateFutureTransaction ir = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, refrencePrice, 1,
paymentAccrualFactor, 1, "S");
assertEquals(fixingPeriodEndTime, ir.accept(LDC), 1e-12);
}
@Test
public void testFixedCouponAnnuity() {
final AnnuityCouponFixed annuity = new AnnuityCouponFixed(CUR, new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10 }, 1.0, 1.0, true);
assertEquals(10, annuity.accept(LDC), 1e-12);
}
@Test
public void testBond() {
final double mat = 1.0;
final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, mat, 1.0) });
final AnnuityCouponFixed coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, mat }, 0.03, false);
final BondFixedSecurity bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, "Issuer");
assertEquals(mat, bond.accept(LDC), 1e-12);
}
@Test
public void testDepositZero() {
final double endTime = 0.03;
final DepositZero deposit = new DepositZero(Currency.USD, 0, endTime, 100, 100, 0.25, new ContinuousInterestRate(0.03), 2);
assertEquals(deposit.accept(LDC), endTime, 0);
}
@Test
public void testForex() {
final double t = 0.124;
final Forex fx = new Forex(new PaymentFixed(Currency.AUD, t, -100), new PaymentFixed(Currency.USD, t, 100));
assertEquals(fx.accept(LDC), t, 0);
}
}