/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.cash.derivative;
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.GeneratorDeposit;
import com.opengamma.analytics.financial.instrument.index.generator.EURDeposit;
import com.opengamma.analytics.financial.interestrate.ContinuousInterestRate;
import com.opengamma.analytics.financial.interestrate.InterestRate;
import com.opengamma.analytics.financial.interestrate.PeriodicInterestRate;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
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 DepositZero.
*/
public class DepositZeroTest {
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final GeneratorDeposit GENERATOR = new EURDeposit(TARGET);
private static final Currency EUR = GENERATOR.getCurrency();
private static final ZonedDateTime TRADE_DATE = DateUtils.getUTCDate(2011, 12, 12);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(TRADE_DATE, GENERATOR.getSpotLag(), TARGET);
private static final double NOTIONAL = 100000000;
private static final double RATE_FIGURE = 0.0250;
private static final InterestRate RATE = new ContinuousInterestRate(RATE_FIGURE);
private static final Period DEPOSIT_PERIOD = Period.ofMonths(6);
private static final ZonedDateTime END_DATE = ScheduleCalculator.getAdjustedDate(SPOT_DATE, DEPOSIT_PERIOD, GENERATOR);
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final double START_TIME = TimeCalculator.getTimeBetween(TRADE_DATE, SPOT_DATE);
private static final double END_TIME = TimeCalculator.getTimeBetween(TRADE_DATE, END_DATE);
private static final double DEPOSIT_AF = DAY_COUNT.getDayCountFraction(SPOT_DATE, END_DATE);
private static final double INTEREST_AMOUNT = 1.0 / RATE.getDiscountFactor(DEPOSIT_AF) * NOTIONAL;
private static final DepositZero DEPOSIT = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
new DepositZero(null, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullRate() {
new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, null, INTEREST_AMOUNT);
}
@SuppressWarnings("deprecation")
@Test(expectedExceptions = IllegalStateException.class)
public void testGetCurveName() {
DEPOSIT.getDiscountingCurveName();
}
@Test
/**
* Tests the getters
*/
public void getter() {
assertEquals("DepositZero: getter", START_TIME, DEPOSIT.getStartTime());
assertEquals("DepositZero: getter", END_TIME, DEPOSIT.getEndTime());
assertEquals("DepositZero: getter", NOTIONAL, DEPOSIT.getInitialAmount());
assertEquals("DepositZero: getter", NOTIONAL, DEPOSIT.getNotional());
assertEquals("DepositZero: getter", RATE, DEPOSIT.getRate());
assertEquals("DepositZero: getter", EUR, DEPOSIT.getCurrency());
assertEquals("DepositZero: getter", DEPOSIT_AF, DEPOSIT.getPaymentAccrualFactor());
assertEquals("DepositZero: getter", INTEREST_AMOUNT, DEPOSIT.getInterestAmount());
}
@Test
/**
* Tests the equal and hash code methods.
*/
public void equalHash() {
assertEquals("DepositZero: equal-hash code", DEPOSIT, DEPOSIT);
final DepositZero other = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
assertEquals("DepositZero: equal-hash code", other, DEPOSIT);
assertEquals("DepositZero: equal-hash code", other.hashCode(), DEPOSIT.hashCode());
DepositZero modified;
modified = new DepositZero(Currency.USD, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME + 0.01, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME, END_TIME + 0.01, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL + 10, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL + 10, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF + 0.01, RATE, INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE, 1), INTEREST_AMOUNT);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT + 10);
assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
}
}