/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.derivative;
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 com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.provider.description.IssuerProviderDiscountDataSets;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
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.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the definition of Yield average bond futures (in particular for AUD-SFE futures).
*/
@Test(groups = TestGroup.UNIT)
public class BondFuturesYieldAverageTransactionTest {
// Bonds: Delivery basket SFE 10Y
private static final Currency AUD = Currency.AUD;
// AUD defaults
private static final LegalEntity ISSUER_LEGAL_ENTITY = IssuerProviderDiscountDataSets.getIssuersAUS();
private static final Period PAYMENT_TENOR = Period.ofMonths(6);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT = DayCounts.ACT_ACT_ICMA;
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.FOLLOWING;
private static final boolean IS_EOM = false;
private static final int SETTLEMENT_DAYS = 3;
private static final int EX_DIVIDEND_DAYS = 7;
private static final YieldConvention YIELD_CONVENTION = SimpleYieldConvention.AUSTRALIA_EX_DIVIDEND;
private static final double NOTIONAL_BOND = 100;
private static final double NOTIONAL_FUTURES = 10000;
private static final ZonedDateTime LAST_TRADING_DATE = DateUtils.getUTCDate(2014, 3, 17);
private static final ZonedDateTime DELIVERY_DATE = ScheduleCalculator.getAdjustedDate(LAST_TRADING_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2014, 1, 10);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final double LAST_TRADING_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, LAST_TRADING_DATE);
// private static final double SPOT_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, SPOT_DATE);
// ASX 10 Year Bond Contract - March 14
private static final double[] UNDERLYING_COUPON = {0.0575, 0.0550, 0.0275, 0.0325};
private static final ZonedDateTime[] UNDERLYING_MATURITY_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2022, 7, 15), DateUtils.getUTCDate(2023, 4, 15),
DateUtils.getUTCDate(2024, 4, 15), DateUtils.getUTCDate(2025, 4, 15)};
private static final int NB_BOND = UNDERLYING_COUPON.length;
private static final ZonedDateTime[] START_ACCRUAL_DATE = new ZonedDateTime[NB_BOND];
private static final BondFixedSecurityDefinition[] BASKET_SECURITY_DEFINITION = new BondFixedSecurityDefinition[NB_BOND];
private static final BondFixedSecurity[] BASKET_SECURITY_SETTLEDELIVERY = new BondFixedSecurity[NB_BOND];
private static final BondFixedSecurity[] BASKET_SECURITY_STANDARD = new BondFixedSecurity[NB_BOND];
static {
for(int loopbond=0; loopbond<NB_BOND; loopbond++) {
START_ACCRUAL_DATE[loopbond] = UNDERLYING_MATURITY_DATE[loopbond].minusYears(12);
BASKET_SECURITY_DEFINITION[loopbond] = BondFixedSecurityDefinition.from(AUD, START_ACCRUAL_DATE[loopbond], UNDERLYING_MATURITY_DATE[loopbond], PAYMENT_TENOR,
UNDERLYING_COUPON[loopbond], SETTLEMENT_DAYS, NOTIONAL_BOND, EX_DIVIDEND_DAYS, CALENDAR, DAY_COUNT, BUSINESS_DAY, YIELD_CONVENTION, IS_EOM, ISSUER_LEGAL_ENTITY, "Repo");
BASKET_SECURITY_SETTLEDELIVERY[loopbond] = BASKET_SECURITY_DEFINITION[loopbond].toDerivative(REFERENCE_DATE, DELIVERY_DATE);
BASKET_SECURITY_STANDARD[loopbond] = BASKET_SECURITY_DEFINITION[loopbond].toDerivative(REFERENCE_DATE, SPOT_DATE);
}
}
private static final double SYNTHETIC_COUPON = 0.06;
private static final int TENOR = 10;
private static final BondFuturesYieldAverageSecurity FUT_SEC = new BondFuturesYieldAverageSecurity(LAST_TRADING_TIME, BASKET_SECURITY_SETTLEDELIVERY,
BASKET_SECURITY_STANDARD, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
// Transation
private static final int QUANTITY = 1234;
private static final double REFERENCE_PRICE = 0.95;
private static final BondFuturesYieldAverageTransaction FUT_TRA = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY, REFERENCE_PRICE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullSecurity() {
new BondFuturesYieldAverageTransaction(null, QUANTITY, REFERENCE_PRICE);
}
@Test
public void getter() {
assertEquals("YieldAverageBondFuturesTransaction: getter", FUT_SEC, FUT_TRA.getUnderlyingSecurity());
assertEquals("YieldAverageBondFuturesTransaction: getter", QUANTITY, FUT_TRA.getQuantity());
assertEquals("YieldAverageBondFuturesTransaction: getter", REFERENCE_PRICE, FUT_TRA.getReferencePrice());
}
@Test
public void equalHash() {
final BondFuturesYieldAverageTransaction other = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY, REFERENCE_PRICE);
assertEquals("YieldAverageBondFuturesTransactionDefinition: equal - hash", FUT_TRA, other);
assertEquals("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.hashCode(), other.hashCode());
BondFuturesYieldAverageTransaction modified;
final BondFuturesYieldAverageSecurity futSecModified = new BondFuturesYieldAverageSecurity(LAST_TRADING_TIME+0.01, BASKET_SECURITY_SETTLEDELIVERY,
BASKET_SECURITY_STANDARD, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
modified = new BondFuturesYieldAverageTransaction(futSecModified, QUANTITY, REFERENCE_PRICE);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.equals(modified));
modified = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY+1, REFERENCE_PRICE);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.equals(modified));
modified = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY, REFERENCE_PRICE*0.99);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.equals(modified));
}
}