/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.derivative;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
import java.util.Arrays;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
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.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class CouponIborAverageCompoundingTest {
private static final Period TENOR = Period.ofMonths(1);
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 INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Index");
private static final int NUM_PRDS = 6;
private static final int NUM_OBS = 5;
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 1, 6);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 7, 4);
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2011, 7, 6);
// The above dates are not standard but selected for insure correct testing.
private static final ZonedDateTime[][] FIXING_DATES = new ZonedDateTime[NUM_PRDS][NUM_OBS];
private static final double[][] WEIGHTS = new double[NUM_PRDS][NUM_OBS];
static {
for (int i = 0; i < NUM_OBS; ++i) {
for (int j = 0; j < NUM_PRDS; ++j) {
FIXING_DATES[j][i] = DateUtils.getUTCDate(2011, j + 1, 3 + 6 * i);
WEIGHTS[j][i] = 2. * (NUM_OBS - i) / NUM_OBS / (NUM_OBS + 1.);
}
}
}
private static final DayCount DAY_COUNT_PAYMENT = DayCounts.ACT_365;
private static final double ACCRUAL_FACTOR = DAY_COUNT_PAYMENT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double[] ACCRUAL_FACTORS = new double[NUM_PRDS];
static {
Arrays.fill(ACCRUAL_FACTORS, ACCRUAL_FACTOR / NUM_PRDS);
}
private static final double NOTIONAL = 1000000;
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27);
private static ZonedDateTime[][] EXP_START_DATES = new ZonedDateTime[NUM_PRDS][NUM_OBS];
private static ZonedDateTime[][] EXP_END_DATES = new ZonedDateTime[NUM_PRDS][NUM_OBS];
static {
for (int i = 0; i < NUM_OBS; ++i) {
for (int j = 0; j < NUM_PRDS; ++j) {
EXP_START_DATES[j][i] = ScheduleCalculator.getAdjustedDate(FIXING_DATES[j][i], INDEX.getSpotLag(), CALENDAR);
EXP_END_DATES[j][i] = ScheduleCalculator.getAdjustedDate(EXP_START_DATES[j][i], INDEX.getTenor(), INDEX.getBusinessDayConvention(), CALENDAR, INDEX.isEndOfMonth());
}
}
}
private static final double PAYMENT_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, PAYMENT_DATE);
private static final double[][] FIXING_TIMES = new double[NUM_PRDS][NUM_OBS];
private static final double[][] FIXING_PERIOD_START_TIMES = new double[NUM_PRDS][NUM_OBS];
private static final double[][] FIXING_PERIOD_END_TIMES = new double[NUM_PRDS][NUM_OBS];
private static double[][] FIX_ACC_FACTORS = new double[NUM_PRDS][NUM_OBS];
static {
for (int i = 0; i < NUM_PRDS; ++i) {
FIXING_TIMES[i] = TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_DATES[i]);
FIXING_PERIOD_START_TIMES[i] = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXP_START_DATES[i]);
FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXP_END_DATES[i]);
}
for (int i = 0; i < NUM_OBS; ++i) {
for (int j = 0; j < NUM_PRDS; ++j) {
FIX_ACC_FACTORS[j][i] = INDEX.getDayCount().getDayCountFraction(EXP_START_DATES[j][i], EXP_END_DATES[j][i], CALENDAR);
}
}
}
private static final double AMOUNT_ACC = 0.05;
private static final double RATE_FIXED = 0.01;
private static final CouponIborAverageFixingDatesCompounding DFN1 = new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
FIXING_PERIOD_START_TIMES, FIXING_PERIOD_END_TIMES, FIX_ACC_FACTORS, AMOUNT_ACC, RATE_FIXED);
private static final CouponIborAverageFixingDatesCompounding DFN2 = DFN1.withNotional(NOTIONAL);
/**
*
*/
@SuppressWarnings("unused")
@Test
public void exceptionTest() {
try {
new CouponIborAverageFixingDatesCompounding(Currency.GBP, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
FIXING_PERIOD_START_TIMES, FIXING_PERIOD_END_TIMES, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("index currency different from payment currency", e.getMessage());
}
double[][] shortWeight = Arrays.copyOf(WEIGHTS, NUM_PRDS - 1);
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, shortWeight,
FIXING_PERIOD_START_TIMES, FIXING_PERIOD_END_TIMES, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("weight length different from fixingTime length", e.getMessage());
}
double[][] smallWeight = new double[NUM_PRDS][];
for (int i = 0; i < NUM_PRDS; ++i) {
smallWeight[i] = Arrays.copyOf(WEIGHTS[i], NUM_OBS - 1);
}
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, smallWeight,
FIXING_PERIOD_START_TIMES, FIXING_PERIOD_END_TIMES, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("0-th array: weight length different from fixingTime length", e.getMessage());
}
final double[][] shortStartDates = Arrays.copyOf(FIXING_PERIOD_START_TIMES, NUM_PRDS - 1);
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
shortStartDates, FIXING_PERIOD_END_TIMES, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("fixingPeriodStartDates length different from fixingTime length", e.getMessage());
}
final double[][] shortEndDates = Arrays.copyOf(FIXING_PERIOD_END_TIMES, NUM_PRDS - 1);
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
FIXING_PERIOD_START_TIMES, shortEndDates, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("fixingPeriodEndDates length different from fixingTime length", e.getMessage());
}
final double[][] shortAcc = Arrays.copyOf(FIX_ACC_FACTORS, NUM_PRDS - 1);
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
FIXING_PERIOD_START_TIMES, FIXING_PERIOD_END_TIMES, shortAcc, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("fixingPeriodAccrualFactors length different from fixingTime length", e.getMessage());
}
final double[][] smallStartDates = new double[NUM_PRDS][];
final double[][] smallEndDates = new double[NUM_PRDS][];
final double[][] smallAcc = new double[NUM_PRDS][];
for (int i = 0; i < NUM_PRDS; ++i) {
smallStartDates[i] = Arrays.copyOf(FIXING_PERIOD_START_TIMES[i], NUM_OBS - 1);
smallEndDates[i] = Arrays.copyOf(FIXING_PERIOD_END_TIMES[i], NUM_OBS - 1);
smallAcc[i] = Arrays.copyOf(FIX_ACC_FACTORS[i], NUM_OBS - 1);
}
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
smallStartDates, FIXING_PERIOD_END_TIMES, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("0-th array: fixingPeriodStartDates length different from fixingTime length", e.getMessage());
}
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
FIXING_PERIOD_START_TIMES, smallEndDates, FIX_ACC_FACTORS, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("0-th array: fixingPeriodEndDates length different from fixingTime length", e.getMessage());
}
try {
new CouponIborAverageFixingDatesCompounding(CUR, PAYMENT_TIME, ACCRUAL_FACTOR, NOTIONAL, ACCRUAL_FACTORS, INDEX, FIXING_TIMES, WEIGHTS,
FIXING_PERIOD_START_TIMES, FIXING_PERIOD_END_TIMES, smallAcc, 0., 0.);
throw new RuntimeException();
} catch (final Exception e) {
assertEquals("0-th array: fixingPeriodAccrualFactors length different from fixingTime length", e.getMessage());
}
}
/**
*
*/
@Test
public void consistencyTest() {
final CouponIborAverageFixingDatesCompounding dfn1WithDouble = DFN1.withNotional(NOTIONAL * 2);
assertEquals(DFN1.getIndex(), DFN2.getIndex());
assertEquals(DFN1.getIndex(), dfn1WithDouble.getIndex());
assertEquals(DFN1.getAmountAccrued(), DFN2.getAmountAccrued());
assertEquals(DFN1.getAmountAccrued(), dfn1WithDouble.getAmountAccrued());
assertEquals(DFN1.getInvestmentFactor(), DFN2.getInvestmentFactor());
assertEquals(DFN1.getInvestmentFactor(), dfn1WithDouble.getInvestmentFactor());
for (int i = 0; i < NUM_OBS; ++i) {
for (int j = 0; j < NUM_PRDS; ++j) {
assertEquals(DFN1.getPaymentAccrualFactors()[j], DFN2.getPaymentAccrualFactors()[j]);
assertEquals(DFN1.getFixingTime()[j][i], DFN2.getFixingTime()[j][i]);
assertEquals(DFN1.getWeight()[j][i], DFN2.getWeight()[j][i]);
assertEquals(DFN1.getFixingPeriodStartTime()[j][i], DFN2.getFixingPeriodStartTime()[j][i]);
assertEquals(DFN1.getFixingPeriodEndTime()[j][i], DFN2.getFixingPeriodEndTime()[j][i]);
assertEquals(DFN1.getFixingPeriodAccrualFactor()[j][i], DFN2.getFixingPeriodAccrualFactor()[j][i]);
assertEquals(DFN1.getPaymentAccrualFactors()[j], dfn1WithDouble.getPaymentAccrualFactors()[j]);
assertEquals(DFN1.getFixingTime()[j][i], dfn1WithDouble.getFixingTime()[j][i]);
assertEquals(DFN1.getWeight()[j][i], dfn1WithDouble.getWeight()[j][i]);
assertEquals(DFN1.getFixingPeriodStartTime()[j][i], dfn1WithDouble.getFixingPeriodStartTime()[j][i]);
assertEquals(DFN1.getFixingPeriodEndTime()[j][i], dfn1WithDouble.getFixingPeriodEndTime()[j][i]);
assertEquals(DFN1.getFixingPeriodAccrualFactor()[j][i], dfn1WithDouble.getFixingPeriodAccrualFactor()[j][i]);
}
}
assertTrue(DFN1.equals(DFN2));
assertTrue(DFN1.hashCode() == DFN2.hashCode());
assertFalse(DFN1.hashCode() == dfn1WithDouble.hashCode());
assertFalse(DFN1.equals(dfn1WithDouble));
}
}