/**
 * Copyright (C) 2011 - 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.ZonedDateTime;

import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
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.DayCounts;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;

/**
 * Tests the interest rate future option with initial premium security description.
 */
@Test(groups = TestGroup.UNIT)
public class InterestRateFutureOptionPremiumSecurityDefinitionTest {

  private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
  private static final IborIndex IBOR_INDEX = IndexIborMaster.getInstance().getIndex("EURIBOR3M");

  // Future option mid-curve 1Y
  private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
  private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -IBOR_INDEX.getSpotLag(), CALENDAR);
  private static final double NOTIONAL = 1000000.0; // 1m
  private static final double FUTURE_FACTOR = 0.25;
  private static final String NAME = "EDU2";
  private static final double STRIKE = 0.9895;
  private static final InterestRateFutureSecurityDefinition EDU2_DEFINITION = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
  private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 9, 16);
  private static final boolean IS_CALL = true;
  private static final InterestRateFutureOptionPremiumSecurityDefinition OPTION_EDU2_DEFINITION = new InterestRateFutureOptionPremiumSecurityDefinition(EDU2_DEFINITION, EXPIRATION_DATE, STRIKE,
      IS_CALL);
  // Derivative
  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
  private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA;
  private static final String DISCOUNTING_CURVE_NAME = "Funding";
  private static final String FORWARD_CURVE_NAME = "Forward";
  private static final String[] CURVES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME};

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullUnderlying() {
    new InterestRateFutureOptionPremiumSecurityDefinition(null, EXPIRATION_DATE, STRIKE, IS_CALL);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullExpiration() {
    new InterestRateFutureOptionPremiumSecurityDefinition(EDU2_DEFINITION, null, STRIKE, IS_CALL);
  }

  @Test
  /**
   * Tests the class getters.
   */
  public void getter() {
    assertEquals(EDU2_DEFINITION, OPTION_EDU2_DEFINITION.getUnderlyingFuture());
    assertEquals(EXPIRATION_DATE, OPTION_EDU2_DEFINITION.getExpirationDate());
    assertEquals(STRIKE, OPTION_EDU2_DEFINITION.getStrike());
    assertEquals(IS_CALL, OPTION_EDU2_DEFINITION.isCall());
  }

  @Test
  /**
   * Tests the equal and hashCode methods.
   */
  public void equalHash() {
    final InterestRateFutureOptionPremiumSecurityDefinition other = new InterestRateFutureOptionPremiumSecurityDefinition(EDU2_DEFINITION, EXPIRATION_DATE, STRIKE, IS_CALL);
    assertTrue(OPTION_EDU2_DEFINITION.equals(other));
    assertTrue(OPTION_EDU2_DEFINITION.hashCode() == other.hashCode());
    InterestRateFutureOptionPremiumSecurityDefinition modifiedFuture;
    modifiedFuture = new InterestRateFutureOptionPremiumSecurityDefinition(EDU2_DEFINITION, LAST_TRADING_DATE, STRIKE, IS_CALL);
    assertFalse(OPTION_EDU2_DEFINITION.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureOptionPremiumSecurityDefinition(EDU2_DEFINITION, EXPIRATION_DATE, STRIKE + 0.001, IS_CALL);
    assertFalse(OPTION_EDU2_DEFINITION.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureOptionPremiumSecurityDefinition(EDU2_DEFINITION, EXPIRATION_DATE, STRIKE, !IS_CALL);
    assertFalse(OPTION_EDU2_DEFINITION.equals(modifiedFuture));
  }

  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivative() {
    final InterestRateFutureOptionPremiumSecurity optionEDU2Converted = OPTION_EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
    final InterestRateFutureSecurity future = EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
    final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureOptionPremiumSecurity optionEDU2 = new InterestRateFutureOptionPremiumSecurity(future, expirationTime, STRIKE, IS_CALL);
    assertEquals("Option on future: to derivative", optionEDU2, optionEDU2Converted);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void dateAfterExpiration() {
    OPTION_EDU2_DEFINITION.toDerivative(EXPIRATION_DATE.plusDays(1));
  }
}