/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma
group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.aggregation;
import static org.testng.Assert.assertEquals;
import java.math.BigDecimal;
import org.testng.annotations.BeforeMethod;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.credit.DebtSeniority;
import com.opengamma.analytics.financial.credit.RestructuringClause;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.obligor.CreditRating;
import com.opengamma.core.obligor.CreditRatingFitch;
import com.opengamma.core.obligor.CreditRatingMoodys;
import com.opengamma.core.obligor.CreditRatingStandardAndPoors;
import com.opengamma.core.obligor.Region;
import com.opengamma.core.obligor.Sector;
import com.opengamma.core.position.Position;
import com.opengamma.core.position.impl.SimplePosition;
import com.opengamma.financial.convention.StubType;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.frequency.SimpleFrequency;
import com.opengamma.financial.security.cash.CashSecurity;
import com.opengamma.financial.security.cds.StandardVanillaCDSSecurity;
import com.opengamma.financial.security.swap.InterestRateNotional;
import com.opengamma.id.ExternalId;
import com.opengamma.master.organization.impl.MasterOrganizationSource;
import com.opengamma.master.orgs.ManageableOrganization;
import com.opengamma.master.orgs.OrganizationDocument;
import com.opengamma.master.orgs.impl.InMemoryOrganizationMaster;
import com.opengamma.master.security.ManageableSecurity;
import com.opengamma.master.security.SecurityDocument;
import com.opengamma.master.security.impl.InMemorySecurityMaster;
import com.opengamma.master.security.impl.MasterSecuritySource;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
@Test(groups = TestGroup.UNIT)
public class ObligorMarkitSectorAggregatorFunctionTest {
private AggregationFunction<String> _aggregator;
private InMemorySecurityMaster _securityMaster;
private InMemoryOrganizationMaster _organizationMaster;
@BeforeMethod
public void setup() {
_securityMaster = new InMemorySecurityMaster();
_organizationMaster = new InMemoryOrganizationMaster();
_aggregator = new ObligorMarkitSectorAggregationFunction(
new MasterSecuritySource(_securityMaster), new MasterOrganizationSource(_organizationMaster));
}
@Test
public void testNameIsDefined() {
assertEquals(_aggregator.getName(), "Markit Sectors");
}
@Test
public void testNoRequiredEntries() {
assertEquals(_aggregator.getRequiredEntries().isEmpty(), true);
}
@Test
public void testSimpleStringComparisonIsUsed() {
assertEquals(_aggregator.compare("CONSUMERSERVICES", "TELECOMMUNICATIONSSERVICES") < 0, true);
assertEquals(_aggregator.compare("CONSUMERSERVICES", "CONSUMERSERVICES"), 0);
assertEquals(_aggregator.compare("TELECOMMUNICATIONSSERVICES", "CONSUMERSERVICES") > 0, true);
}
@Test
public void testPositionWithUnlocatableSecurityIsIgnored() {
Position posn = new SimplePosition(BigDecimal.ONE, ExternalId.of("SEC_ID", "9999"));
assertEquals(_aggregator.classifyPosition(posn), "N/A");
}
@Test
public void testPositionSecurityWithoutObligorIsIgnored() {
SecurityDocument document = new SecurityDocument();
CashSecurity security = new CashSecurity(Currency.of("USD"),
ExternalSchemes.financialRegionId("US"),
ZonedDateTime.now(),
ZonedDateTime.now().plusYears(5),
DayCountFactory.INSTANCE.getDayCount("Actual/360"),
0.05,
100000);
ExternalId secId = ExternalId.of("SEC_ID", "12345");
security.addExternalId(secId);
document.setSecurity(security);
_securityMaster.add(document);
Position posn = new SimplePosition(BigDecimal.ONE, secId);
assertEquals(_aggregator.classifyPosition(posn), "N/A");
}
@Test
public void testObligorWithMatchingRedCodeIsUsed() {
ManageableOrganization org = new ManageableOrganization("ShortName", "39FF64", "Ticker", Region.NORTHAMERICA,
"US", Sector.FINANCIALS, CreditRating.NR, CreditRating.NR,
CreditRatingFitch.NR, CreditRatingMoodys.NR,
CreditRatingStandardAndPoors.NR, false);
_organizationMaster.add(new OrganizationDocument(org));
SecurityDocument document = new SecurityDocument();
ManageableSecurity cds = createCdsWithRedCode("39FF64");
ExternalId secId = ExternalId.of("SEC_ID", "12345");
cds.addExternalId(secId);
document.setSecurity(cds);
_securityMaster.add(document);
Position posn = new SimplePosition(BigDecimal.ONE, secId);
assertEquals(_aggregator.classifyPosition(posn), "FINANCIALS");
}
private StandardVanillaCDSSecurity createCdsWithRedCode(String redcode) {
return new StandardVanillaCDSSecurity(true, ExternalId.of("EXTERNAL_CODE", "ProtBuyer"),
ExternalId.of("EXTERNAL_CODE" ,"ProtSeller"), ExternalSchemes.markItRedCode(redcode),
DebtSeniority.SNRFOR, RestructuringClause.MM, ExternalSchemes.financialRegionId("US"),
createZdt(2013, 3, 20), createZdt(2013, 3, 21), createZdt(2014,3,20), StubType.SHORT_START,
SimpleFrequency.SEMI_ANNUAL, DayCountFactory.INSTANCE.getDayCount("Actual/360"),
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
true, true, true, new InterestRateNotional(Currency.USD, 10000000), true, true, 500,
new InterestRateNotional(Currency.USD, 500000), 500, createZdt(2013,3,21), true);
}
private ZonedDateTime createZdt(int year, int month, int day) {
return ZonedDateTime.of(LocalDate.of(year, month, day).atStartOfDay(), ZoneOffset.UTC);
}
}