/**
* 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.CouponInflationYearOnYearMonthly;
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;
/**
* Tests the year on year inflation constructors.
*/
@Test(groups = TestGroup.UNIT)
public class CouponInflationYearOnYearMonthlyDefinitionTest {
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_END_DATE = PAYMENT_DATE.minusMonths(MONTH_LAG).with(TemporalAdjusters.lastDayOfMonth());
private static final ZonedDateTime REFERENCE_START_DATE = REFERENCE_END_DATE.minusMonths(12).with(TemporalAdjusters.lastDayOfMonth());
private static final CouponInflationYearOnYearMonthlyDefinition YoY_COUPON_DEFINITION = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0,
NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false);
private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullCurrency() {
new CouponInflationYearOnYearMonthlyDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPay() {
new CouponInflationYearOnYearMonthlyDefinition(CUR, null, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullStart() {
new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, null, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullEnd() {
new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, null, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullIndex() {
new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, null, MONTH_LAG, 3, REFERENCE_START_DATE,
REFERENCE_END_DATE, false);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullRefStart() {
new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, null, REFERENCE_END_DATE, false);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullRefEnd() {
new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, null, false);
}
@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.getReferenceStartDate());
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 CouponInflationYearOnYearMonthlyDefinition couponDuplicate = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL,
PRICE_INDEX,
MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false);
assertEquals(YoY_COUPON_DEFINITION, couponDuplicate);
assertEquals(YoY_COUPON_DEFINITION.hashCode(), couponDuplicate.hashCode());
CouponInflationYearOnYearMonthlyDefinition modified;
modified = new CouponInflationYearOnYearMonthlyDefinition(Currency.AUD, ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearMonthlyDefinition(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);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearMonthlyDefinition(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);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE.minusDays(1), REFERENCE_END_DATE, false);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE.minusDays(1), false);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 2.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3,
REFERENCE_START_DATE, REFERENCE_END_DATE, false);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
modified = new CouponInflationYearOnYearMonthlyDefinition(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);
assertFalse(YoY_COUPON_DEFINITION.equals(modified));
}
@Test
/**
* Tests the first based on indexation lag.
*/
public void from2() {
final CouponInflationYearOnYearMonthlyDefinition constructor = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX,
MONTH_LAG,
3, REFERENCE_START_DATE, REFERENCE_END_DATE, false);
final CouponInflationYearOnYearMonthlyDefinition from = CouponInflationYearOnYearMonthlyDefinition.from(ACCRUAL_START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX, MONTH_LAG, false);
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 referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CouponInflationYearOnYearMonthly yearOnYearCoupon = new CouponInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime,
naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false);
assertEquals("Inflation zero-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, 4, 30),
DateUtils.getUTCDate(2017, 5, 31), DateUtils.getUTCDate(2018, 4, 30), DateUtils.getUTCDate(2018, 5, 31) },
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 referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CouponInflationYearOnYearMonthly yearOnYearCoupon = new CouponInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime,
naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false);
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, 128.23 / 127.23 - 1.0);
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
}