package com.opengamma.analytics.financial.interestrate.swaption.derivative;
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.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.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
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;
public class SwaptionPhysicalFixedIborTest {
// Swaption description
private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2011, 3, 28);
private static final boolean IS_LONG = true;
// Swap 2Y description
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 Period ANNUITY_TENOR = Period.ofYears(2);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 30);
private static final double NOTIONAL = 100000000; //100m
// Fixed leg: Semi-annual bond
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 double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY_PAYER = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, FIXED_PAYMENT_PERIOD, CALENDAR, FIXED_DAY_COUNT,
BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, FIXED_IS_PAYER);
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY_RECEIVER = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, FIXED_PAYMENT_PERIOD, CALENDAR, FIXED_DAY_COUNT,
BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, !FIXED_IS_PAYER);
// Ibor leg: quarterly money
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IborIndex INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
private static final AnnuityCouponIborDefinition IBOR_ANNUITY_RECEIVER = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, !FIXED_IS_PAYER, CALENDAR);
private static final AnnuityCouponIborDefinition IBOR_ANNUITY_PAYER = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, FIXED_IS_PAYER, CALENDAR);
// Swaption construction: All combinations
private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION_PAYER = new SwapFixedIborDefinition(FIXED_ANNUITY_PAYER, IBOR_ANNUITY_RECEIVER);
private static final SwapFixedIborDefinition SWAP_DEFINITION_RECEIVER = new SwapFixedIborDefinition(FIXED_ANNUITY_RECEIVER, IBOR_ANNUITY_PAYER);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_DEFINITION_LONG_PAYER = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_PAYER, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_DEFINITION_SHORT_RECEIVER = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_RECEIVER, !IS_LONG);
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final SwapFixedCoupon<Coupon> SWAP_PAYER = SWAP_DEFINITION_PAYER.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_PAYER = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_RECEIVER = SWAPTION_DEFINITION_SHORT_RECEIVER.toDerivative(REFERENCE_DATE);
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
assertTrue(SWAPTION_LONG_PAYER.equals(SWAPTION_LONG_PAYER));
final SwaptionPhysicalFixedIbor other = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE);
assertTrue(SWAPTION_LONG_PAYER.equals(other));
assertTrue(SWAPTION_LONG_PAYER.hashCode() == other.hashCode());
assertEquals(SWAPTION_LONG_PAYER.toString(), other.toString());
final SwaptionPhysicalFixedIbor otherS = SWAPTION_DEFINITION_SHORT_RECEIVER.toDerivative(REFERENCE_DATE);
assertTrue(SWAPTION_SHORT_RECEIVER.equals(otherS));
assertTrue(SWAPTION_SHORT_RECEIVER.hashCode() == otherS.hashCode());
SwaptionPhysicalFixedIbor modifiedSwaption;
modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry() - 0.01, SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE);
modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
assertFalse(SWAPTION_LONG_PAYER.equals(null));
}
}