/**
* Copyright (C) 2011 - 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 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.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
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.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests for the constructor of transaction on interest rate future options.
*/
@Test(groups = TestGroup.UNIT)
public class InterestRateFutureOptionPremiumTransactionTest {
//EURIBOR 3M Index
private static final Period TENOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_INDEX = DayCounts.ACT_360;
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING;
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor");
// Future
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, -SETTLEMENT_DAYS, 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 = 0.9850;
private static final InterestRateFutureSecurityDefinition EDU2_DEFINITION = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final InterestRateFutureSecurity EDU2 = EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
// Option
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 9, 16);
private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA;
private static final double EXPIRATION_TIME = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
private static final boolean IS_CALL = true;
private static final InterestRateFutureOptionPremiumSecurity OPTION_EDU2 = new InterestRateFutureOptionPremiumSecurity(EDU2, EXPIRATION_TIME, STRIKE, IS_CALL);
// Transaction
private static final int QUANTITY = -123;
private static final ZonedDateTime PREMIUM_DATE = DateUtils.getUTCDate(2011, 5, 12);
private static final double PREMIUM_TIME = ACT_ACT.getDayCountFraction(PREMIUM_DATE, EXPIRATION_DATE);
private static final double TRADE_PRICE = 0.0050;
private static final InterestRateFutureOptionPremiumTransaction OPTION_TRANSACTION = new InterestRateFutureOptionPremiumTransaction(OPTION_EDU2, QUANTITY, PREMIUM_TIME, TRADE_PRICE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new InterestRateFutureOptionPremiumTransaction(null, QUANTITY, PREMIUM_TIME, TRADE_PRICE);
}
@Test
public void getter() {
assertEquals(OPTION_EDU2, OPTION_TRANSACTION.getUnderlyingSecurity());
assertEquals(QUANTITY, OPTION_TRANSACTION.getQuantity());
assertEquals(PREMIUM_TIME, OPTION_TRANSACTION.getPremium().getPaymentTime());
assertEquals(-TRADE_PRICE * QUANTITY * NOTIONAL * EDU2.getPaymentAccrualFactor(), OPTION_TRANSACTION.getPremium().getAmount());
assertEquals(TRADE_PRICE, OPTION_TRANSACTION.getReferencePrice());
}
@Test
/**
* Tests the equal and hash code methods.
*/
public void equalHash() {
final InterestRateFutureOptionPremiumTransaction newTransaction = new InterestRateFutureOptionPremiumTransaction(OPTION_EDU2, QUANTITY, PREMIUM_TIME, TRADE_PRICE);
assertTrue(OPTION_TRANSACTION.equals(newTransaction));
assertEquals(OPTION_TRANSACTION.hashCode(), newTransaction.hashCode());
InterestRateFutureOptionPremiumTransaction modifiedTransaction;
modifiedTransaction = new InterestRateFutureOptionPremiumTransaction(OPTION_EDU2, QUANTITY + 1, PREMIUM_TIME, TRADE_PRICE);
assertFalse(OPTION_TRANSACTION.equals(modifiedTransaction));
modifiedTransaction = new InterestRateFutureOptionPremiumTransaction(OPTION_EDU2, QUANTITY, PREMIUM_TIME - 0.1, TRADE_PRICE);
assertFalse(OPTION_TRANSACTION.equals(modifiedTransaction));
modifiedTransaction = new InterestRateFutureOptionPremiumTransaction(OPTION_EDU2, QUANTITY, PREMIUM_TIME, TRADE_PRICE + 0.001);
assertFalse(OPTION_TRANSACTION.equals(modifiedTransaction));
}
}