/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
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.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.index.IndexONMaster;
import com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureTransaction;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the construction of Federal Funds Futures transactions.
*/
@Test(groups = TestGroup.UNIT)
public class FederalFundsFutureTransactionDefinitionTest {
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexON INDEX_FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final ZonedDateTime MARCH_1 = DateUtils.getUTCDate(2012, 3, 1);
private static final double NOTIONAL = 5000000;
private static final double PAYMENT_ACCURAL_FACTOR = 1.0 / 12.0;
private static final String NAME = "FFH2";
private static final ZonedDateTime TRADE_DATE = DateUtils.getUTCDate(2012, 2, 1);
private static final double TRADE_PRICE = 0.99900;
private static final int QUANTITY = 12;
private static final FederalFundsFutureSecurityDefinition FUTURE_SECURITY_DEFINITION = FederalFundsFutureSecurityDefinition.from(MARCH_1, INDEX_FEDFUND, NOTIONAL, PAYMENT_ACCURAL_FACTOR, NAME, NYC);
private static final FederalFundsFutureTransactionDefinition FUTURE_TRANSACTION_DEFINITION = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, TRADE_DATE,
TRADE_PRICE);
private static final String CURVE_NAME = "OIS";
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullUnderlying() {
new FederalFundsFutureTransactionDefinition(null, QUANTITY, TRADE_DATE, TRADE_PRICE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullTradeDate() {
new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, null, TRADE_PRICE);
}
@Test
/**
* Tests the getter methods.
*/
public void getter() {
assertEquals("Fed fund future transaction definition: getter", FUTURE_SECURITY_DEFINITION, FUTURE_TRANSACTION_DEFINITION.getUnderlyingSecurity());
assertEquals("Fed fund future transaction definition: getter", QUANTITY, FUTURE_TRANSACTION_DEFINITION.getQuantity());
assertEquals("Fed fund future transaction definition: getter", TRADE_DATE, FUTURE_TRANSACTION_DEFINITION.getTradeDate());
assertEquals("Fed fund future transaction definition: getter", TRADE_PRICE, FUTURE_TRANSACTION_DEFINITION.getTradePrice());
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
assertTrue(FUTURE_TRANSACTION_DEFINITION.equals(FUTURE_TRANSACTION_DEFINITION));
final FederalFundsFutureTransactionDefinition other = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, TRADE_DATE, TRADE_PRICE);
assertTrue(FUTURE_TRANSACTION_DEFINITION.equals(other));
assertTrue(FUTURE_TRANSACTION_DEFINITION.hashCode() == other.hashCode());
FederalFundsFutureTransactionDefinition modifiedFuture;
final FederalFundsFutureSecurityDefinition otherSecurity = FederalFundsFutureSecurityDefinition.from(MARCH_1, INDEX_FEDFUND, NOTIONAL, PAYMENT_ACCURAL_FACTOR, "Other", NYC);
modifiedFuture = new FederalFundsFutureTransactionDefinition(otherSecurity, QUANTITY, TRADE_DATE, TRADE_PRICE);
assertFalse(FUTURE_TRANSACTION_DEFINITION.equals(modifiedFuture));
modifiedFuture = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY + 1, TRADE_DATE, TRADE_PRICE);
assertFalse(FUTURE_TRANSACTION_DEFINITION.equals(modifiedFuture));
modifiedFuture = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, TRADE_DATE.minusDays(1), TRADE_PRICE);
assertFalse(FUTURE_TRANSACTION_DEFINITION.equals(modifiedFuture));
modifiedFuture = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, TRADE_DATE, TRADE_PRICE + 0.0001);
assertFalse(FUTURE_TRANSACTION_DEFINITION.equals(modifiedFuture));
assertFalse(FUTURE_TRANSACTION_DEFINITION.equals(TRADE_DATE));
assertFalse(FUTURE_TRANSACTION_DEFINITION.equals(null));
}
@Test
/**
* Tests the toDerivative method before the security first fixing date - trade date.
*/
public void toDerivativeNoFixingTradeDate() {
final ZonedDateTime referenceDate = TRADE_DATE;
final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1)};
final double[] closingPrice = new double[] {0.99895, 0.99905};
final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1)};
final double[] fixingRate = new double[] {0.0010, 0.0011};
final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
}
@Test
/**
* Tests the toDerivative method before the security first fixing date - after trade date.
*/
public void toDerivativeNoFixingAfterTradeDate() {
final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, 1, NYC);
final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE};
final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915};
final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE};
final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0009};
final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[2]);
final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
}
@Test
/**
* Tests the toDerivative method after the security first fixing date, fixing unknown - after trade date.
*/
public void toDerivativeFixingStartedBeforePublicationAfterTradeDate() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6)};
final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013};
final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
}
@Test
/**
* Tests the toDerivative method after the security first fixing date, fixing unknown - after trade date.
*/
public void toDerivativeFixingStartedAfterPublicationAfterTradeDate() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7)};
final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
}
@Test
/**
* Tests the toDerivative method after the security first fixing date, fixing unknown - after trade date.
*/
public void toDerivativeFixingStartedAfterPublicationTradeDate() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
DateUtils.getUTCDate(2012, 3, 7)};
final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
final FederalFundsFutureTransactionDefinition futureTransactionDefinition = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, referenceDate, TRADE_PRICE);
final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
final FederalFundsFutureTransaction transactionConverted = futureTransactionDefinition.toDerivative(referenceDate, data);
assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
}
}