/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.index;
import static org.testng.AssertJUnit.assertEquals;
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.datasets.CalendarUSD;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.StubType;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests the generator of fixed legs.
*/
@Test(groups = TestGroup.UNIT)
public class GeneratorLegFixedTest {
private static final Calendar NYC = new CalendarUSD("NYC");
private static final Currency USD = Currency.USD;
private static final String NAME = "LEG_USD6M";
private static final int OFFSET_SPOT = 2;
private static final int OFFSET_PAYMENT = 0;
private static final Period P6M = Period.ofMonths(6);
private static final DayCount DAY_COUNT = DayCounts.THIRTY_U_360;
private static final StubType STUB_SHORT_START = StubType.SHORT_START;
private static final BusinessDayConvention BDC = BusinessDayConventions.MODIFIED_FOLLOWING;
private static final GeneratorLegFixed GENERATOR = new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, P6M, DAY_COUNT,
BDC, OFFSET_PAYMENT, true, STUB_SHORT_START, false, NYC);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullName() {
new GeneratorLegFixed(null, USD, OFFSET_SPOT, P6M, DayCounts.THIRTY_U_360,
BusinessDayConventions.MODIFIED_FOLLOWING, OFFSET_PAYMENT, true, StubType.SHORT_START, false, NYC);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
new GeneratorLegFixed(NAME, null, OFFSET_SPOT, P6M, DayCounts.THIRTY_U_360,
BusinessDayConventions.MODIFIED_FOLLOWING, OFFSET_PAYMENT, true, StubType.SHORT_START, false, NYC);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullTenor() {
new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, null, DayCounts.THIRTY_U_360,
BusinessDayConventions.MODIFIED_FOLLOWING, OFFSET_PAYMENT, true, StubType.SHORT_START, false, NYC);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullDayCount() {
new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, P6M, null,
BusinessDayConventions.MODIFIED_FOLLOWING, OFFSET_PAYMENT, true, StubType.SHORT_START, false, NYC);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullBusinessDay() {
new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, P6M, DayCounts.THIRTY_U_360,
null, OFFSET_PAYMENT, true, StubType.SHORT_START, false, NYC);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullStub() {
new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, P6M, DayCounts.THIRTY_U_360,
BusinessDayConventions.MODIFIED_FOLLOWING, OFFSET_PAYMENT, true, null, false, NYC);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCalendarPayment() {
new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, P6M, DayCounts.THIRTY_U_360,
BusinessDayConventions.MODIFIED_FOLLOWING, OFFSET_PAYMENT, true, StubType.SHORT_START, false, null);
}
@Test
public void getter() {
assertEquals("GeneratorLegIborCompounding: getter", NAME, GENERATOR.getName());
assertEquals("GeneratorLegIborCompounding: getter", USD, GENERATOR.getCurrency());
assertEquals("GeneratorLegIborCompounding: getter", OFFSET_SPOT, GENERATOR.getSpotOffset());
assertEquals("GeneratorLegIborCompounding: getter", P6M, GENERATOR.getPaymentPeriod());
assertEquals("GeneratorLegIborCompounding: getter", DAY_COUNT, GENERATOR.getDayCount());
assertEquals("GeneratorLegIborCompounding: getter", BDC, GENERATOR.getBusinessDayConvention());
assertEquals("GeneratorLegIborCompounding: getter", OFFSET_PAYMENT, GENERATOR.getPaymentOffset());
assertEquals("GeneratorLegIborCompounding: getter", true, GENERATOR.isEndOfMonth());
assertEquals("GeneratorLegIborCompounding: getter", STUB_SHORT_START, GENERATOR.getStubType());
assertEquals("GeneratorLegIborCompounding: getter", false, GENERATOR.isExchangeNotional());
assertEquals("GeneratorLegIborCompounding: getter", NYC, GENERATOR.getPaymentCalendar());
}
@Test
/** Tests the instrument generated by the generator - no notional exchange. */
public void generateInstrumentNoNotional() {
double notional = 1000000;
double fixedRate = 0.0125;
int legTenorYear = 3;
Period legTenor = Period.ofYears(legTenorYear);
GeneratorAttributeIR attribute = new GeneratorAttributeIR(legTenor);
ZonedDateTime valuationDate = DateUtils.getUTCDate(2014, 1, 22);
AnnuityDefinition<?> instrumentDefinition = GENERATOR.generateInstrument(valuationDate, fixedRate, notional, attribute);
assertEquals("GeneratorLegIborCompounding: generate - number of coupons",
instrumentDefinition.getNumberOfPayments(), legTenorYear * 2); // Semi-annual payments
ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(valuationDate, GENERATOR.getSpotOffset(), NYC);
ZonedDateTime startDate = spotDate;
ZonedDateTime endDate;
for(int loopcpn = 0 ; loopcpn<legTenorYear*2; loopcpn++) {
assertTrue("GeneratorLegIborCompounding: generate - coupon type",
instrumentDefinition.getNthPayment(loopcpn) instanceof CouponFixedDefinition);
CouponFixedDefinition cpn = (CouponFixedDefinition)instrumentDefinition.getNthPayment(loopcpn);
endDate = ScheduleCalculator.getAdjustedDate(spotDate, GENERATOR.getPaymentPeriod().multipliedBy(loopcpn+1),
GENERATOR.getBusinessDayConvention(), NYC, GENERATOR.isEndOfMonth());
assertEquals("GeneratorLegIborCompounding: generate - start accrual date", startDate, cpn.getAccrualStartDate());
assertEquals("GeneratorLegIborCompounding: generate - end accrual date", endDate, cpn.getAccrualEndDate());
ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(cpn.getAccrualEndDate(),
GENERATOR.getPaymentOffset(), NYC);
assertEquals("GeneratorLegIborCompounding: generate - payment date", paymentDate, cpn.getPaymentDate());
assertEquals("GeneratorLegIborCompounding: generate - payment date", fixedRate, cpn.getRate());
startDate = endDate;
}
}
@Test
/** Tests the instrument generated by the generator - notional exchange */
public void generateInstrumentNotional() {
double notional = 1000000;
double fixedRate = 0.0125;
int legTenorYear = 3;
Period legTenor = Period.ofYears(legTenorYear);
GeneratorAttributeIR attribute = new GeneratorAttributeIR(legTenor);
ZonedDateTime valuationDate = DateUtils.getUTCDate(2014, 1, 22);
GeneratorLegFixed generatorNotional = new GeneratorLegFixed(NAME, USD, OFFSET_SPOT, P6M, DAY_COUNT,
BDC, OFFSET_PAYMENT, true, STUB_SHORT_START, true, NYC);
AnnuityDefinition<?> instrumentDefinition = generatorNotional.generateInstrument(valuationDate, fixedRate,
notional, attribute);
assertEquals("GeneratorLegIborCompounding: generate - number of coupons",
legTenorYear * 2 + 2, instrumentDefinition.getNumberOfPayments()); // Semi-annual payments + notional
ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(valuationDate, GENERATOR.getSpotOffset(), NYC);
ZonedDateTime startDate = spotDate;
ZonedDateTime endDate;
assertTrue("GeneratorLegIborCompounding: generate - coupon type",
instrumentDefinition.getNthPayment(0) instanceof CouponFixedDefinition);
CouponFixedDefinition cpn0 = (CouponFixedDefinition)instrumentDefinition.getNthPayment(0);
assertEquals("GeneratorLegIborCompounding: generate - notional", -notional, cpn0.getNotional());
for(int loopcpn = 1 ; loopcpn<legTenorYear*2+1; loopcpn++) {
assertTrue("GeneratorLegIborCompounding: generate - coupon type",
instrumentDefinition.getNthPayment(loopcpn) instanceof CouponFixedDefinition);
CouponFixedDefinition cpn = (CouponFixedDefinition)instrumentDefinition.getNthPayment(loopcpn);
endDate = ScheduleCalculator.getAdjustedDate(spotDate, GENERATOR.getPaymentPeriod().multipliedBy(loopcpn),
GENERATOR.getBusinessDayConvention(), NYC, GENERATOR.isEndOfMonth());
assertEquals("GeneratorLegIborCompounding: generate - start accrual date", startDate, cpn.getAccrualStartDate());
assertEquals("GeneratorLegIborCompounding: generate - end accrual date", endDate, cpn.getAccrualEndDate());
ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(cpn.getAccrualEndDate(),
GENERATOR.getPaymentOffset(), NYC);
assertEquals("GeneratorLegIborCompounding: generate - payment date", paymentDate, cpn.getPaymentDate());
assertEquals("GeneratorLegIborCompounding: generate - payment date", fixedRate, cpn.getRate());
startDate = endDate;
}
assertTrue("GeneratorLegIborCompounding: generate - coupon type",
instrumentDefinition.getNthPayment(legTenorYear*2+1) instanceof CouponFixedDefinition);
CouponFixedDefinition cpnLast = (CouponFixedDefinition)instrumentDefinition.getNthPayment(legTenorYear*2+1);
assertEquals("GeneratorLegIborCompounding: generate - notional", notional, cpnLast.getNotional());
}
}