/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.inflation;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.TemporalAdjusters;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearInterpolation;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
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.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class CouponInflationYearOnYearInterpolationDefinitionTest {
private static final String NAME = "Euro HICP x";
private static final Currency CUR = Currency.EUR;
private static final IndexPrice PRICE_INDEX = new IndexPrice(NAME, CUR);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING;
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final Period COUPON_TENOR = Period.ofYears(10);
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR);
private static final ZonedDateTime ACCRUAL_END_DATE = PAYMENT_DATE;
private static final ZonedDateTime ACCRUAL_START_DATE = ACCRUAL_END_DATE.minusMonths(12);
private static final double NOTIONAL = 98765432;
private static final int MONTH_LAG = 3;
private static final ZonedDateTime[] REFERENCE_START_DATE = new ZonedDateTime[2];
static {
REFERENCE_START_DATE[0] = ACCRUAL_START_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1).with(TemporalAdjusters.lastDayOfMonth());
REFERENCE_START_DATE[1] = REFERENCE_START_DATE[0].plusMonths(1).with(TemporalAdjusters.lastDayOfMonth());
}
private static final ZonedDateTime[] REFERENCE_END_DATE = new ZonedDateTime[2];
static {
REFERENCE_END_DATE[0] = PAYMENT_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1).with(TemporalAdjusters.lastDayOfMonth());
REFERENCE_END_DATE[1] = REFERENCE_END_DATE[0].plusMonths(1).with(TemporalAdjusters.lastDayOfMonth());
}
private static final double WEIGHT_START = 0.2;
private static final double WEIGHT_END = 0.8;
private static final CouponInflationYearOnYearInterpolationDefinition YoY_COUPON_DEFINITION = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE,
ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCurrency() {
new CouponInflationYearOnYearInterpolationDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPay() {
new CouponInflationYearOnYearInterpolationDefinition(CUR, null, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullStart() {
new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, null, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullEnd() {
new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, null, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIndex() {
new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, null, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullRefStart() {
new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, null, REFERENCE_END_DATE, false,
WEIGHT_START, WEIGHT_END);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullRefEnd() {
new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, null, false,
WEIGHT_START, WEIGHT_END);
}
@Test
/**
* Tests the class getter.
*/
public void getter() {
assertEquals("Inflation Year on Year coupon: getter", CUR, YoY_COUPON_DEFINITION.getCurrency());
assertEquals("Inflation Year on Year coupon: getter", PAYMENT_DATE, YoY_COUPON_DEFINITION.getPaymentDate());
assertEquals("Inflation Year on Year coupon: getter", ACCRUAL_START_DATE, YoY_COUPON_DEFINITION.getAccrualStartDate());
assertEquals("Inflation Year on Year coupon: getter", ACCRUAL_END_DATE, YoY_COUPON_DEFINITION.getAccrualEndDate());
assertEquals("Inflation Year on Year coupon: getter", 1.0, YoY_COUPON_DEFINITION.getPaymentYearFraction());
assertEquals("Inflation Year on Year coupon: getter", NOTIONAL, YoY_COUPON_DEFINITION.getNotional());
assertEquals("Inflation Year on Year coupon: getter", PRICE_INDEX, YoY_COUPON_DEFINITION.getPriceIndex());
assertEquals("Inflation Year on Year coupon: getter", REFERENCE_START_DATE, YoY_COUPON_DEFINITION.getReferenceStartDates());
assertEquals("Inflation Year on Year coupon: getter", REFERENCE_END_DATE, YoY_COUPON_DEFINITION.getReferenceEndDate());
assertEquals("Inflation Year on Year coupon: getter", MONTH_LAG, YoY_COUPON_DEFINITION.getConventionalMonthLag());
}
@Test
/**
* Tests the equal and hash-code methods.
*/
public void equalHash() {
assertEquals(YoY_COUPON_DEFINITION, YoY_COUPON_DEFINITION);
final CouponInflationYearOnYearInterpolationDefinition couponDuplicate = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0,
NOTIONAL,
PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertEquals(YoY_COUPON_DEFINITION, couponDuplicate);
assertEquals(YoY_COUPON_DEFINITION.hashCode(), couponDuplicate.hashCode());
CouponInflationYearOnYearInterpolationDefinition modified;
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, ACCRUAL_END_DATE.minusDays(1), ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG,
3, REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.minusDays(1), ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE.minusDays(1), 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
final ZonedDateTime[] modifiedReferenceStartTime = new ZonedDateTime[2];
modifiedReferenceStartTime[0] = REFERENCE_START_DATE[0];
modifiedReferenceStartTime[1] = REFERENCE_START_DATE[1].minusDays(1);
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG,
3, modifiedReferenceStartTime, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
final ZonedDateTime[] modifiedReferenceEndTime = new ZonedDateTime[2];
modifiedReferenceEndTime[0] = REFERENCE_START_DATE[0];
modifiedReferenceEndTime[1] = REFERENCE_START_DATE[1].minusDays(1);
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, modifiedReferenceEndTime, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 2.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL + 10.0, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START + .1, WEIGHT_END);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END + .1);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
}
@Test
/**
* Tests the first based on indexation lag.
*/
public void from2() {
final CouponInflationYearOnYearInterpolationDefinition constructor = new CouponInflationYearOnYearInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false, WEIGHT_START, WEIGHT_END);
final CouponInflationYearOnYearInterpolationDefinition from = CouponInflationYearOnYearInterpolationDefinition.from(ACCRUAL_START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX, MONTH_LAG, false,
WEIGHT_START, WEIGHT_END);
assertEquals("Inflation zero-coupon : from", constructor, from);
}
@Test
public void toDerivativesNoData() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final Coupon yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
final double referenceStartTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[1]);
final double referenceEndTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]);
final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final double[] referenceStartTime = new double[2];
final double[] referenceEndTime = new double[2];
referenceStartTime[0] = referenceStartTime0;
referenceStartTime[1] = referenceStartTime1;
referenceEndTime[0] = referenceEndTime0;
referenceEndTime[1] = referenceEndTime1;
final CouponInflationYearOnYearInterpolation yearOnYearCoupon = new CouponInflationYearOnYearInterpolation(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime,
naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false, WEIGHT_START, WEIGHT_END);
assertEquals("Inflation year on year coupon: toDerivative", yearOnYearCouponConverted, yearOnYearCoupon);
}
@Test
public void toDerivativesStartMonthNotknown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
new double[] {
127.23, 127.43, 128.23, 128.43 });
final Coupon yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
final double referenceStartTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[1]);
final double referenceEndTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]);
final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final double[] referenceStartTime = new double[2];
final double[] referenceEndTime = new double[2];
referenceStartTime[0] = referenceStartTime0;
referenceStartTime[1] = referenceStartTime1;
referenceEndTime[0] = referenceEndTime0;
referenceEndTime[1] = referenceEndTime1;
final CouponInflationYearOnYearInterpolation yearOnYearCoupon = new CouponInflationYearOnYearInterpolation(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime,
naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false, WEIGHT_START, WEIGHT_END);
assertEquals("Inflation zero-coupon: toDerivative", yearOnYearCoupon, yearOnYearCouponConverted);
}
@Test
public void toDerivativesStartMonthKnown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 7, 25);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 31),
DateUtils.getUTCDate(2017, 6, 30), DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) },
new double[] {
127.23, 127.43, 128.23, 128.43 });
final Coupon zeroCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, (WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
(WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0);
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
}