FixedOvernightSwapCurveNodeTest.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.market.curve.node;

import static com.opengamma.strata.basics.date.Tenor.TENOR_10Y;
import static com.opengamma.strata.basics.date.Tenor.TENOR_6M;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
import static com.opengamma.strata.collect.TestHelper.assertThrows;
import static com.opengamma.strata.collect.TestHelper.assertThrowsWithCause;
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static com.opengamma.strata.collect.TestHelper.date;
import static com.opengamma.strata.product.common.BuySell.BUY;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertFalse;

import java.time.LocalDate;
import java.util.Iterator;
import java.util.Set;

import org.testng.annotations.Test;

import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.data.ImmutableMarketData;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataNotFoundException;
import com.opengamma.strata.data.ObservableId;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.CurveNodeDate;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.market.param.DatedParameterMetadata;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.TenorDateParameterMetadata;
import com.opengamma.strata.product.swap.SwapTrade;
import com.opengamma.strata.product.swap.type.FixedOvernightSwapConventions;
import com.opengamma.strata.product.swap.type.FixedOvernightSwapTemplate;

/**
 * Test {@link FixedOvernightSwapCurveNode}.
 */
@Test
public class FixedOvernightSwapCurveNodeTest {

  private static final ReferenceData REF_DATA = ReferenceData.standard();
  private static final LocalDate VAL_DATE = date(2015, 6, 30);
  private static final FixedOvernightSwapTemplate TEMPLATE =
      FixedOvernightSwapTemplate.of(TENOR_10Y, FixedOvernightSwapConventions.USD_FIXED_1Y_FED_FUND_OIS);
  private static final QuoteId QUOTE_ID = QuoteId.of(StandardId.of("OG-Ticker", "Deposit1"));
  private static final double SPREAD = 0.0015;
  private static final String LABEL = "Label";
  private static final String LABEL_AUTO = "10Y";

  public void test_builder() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.builder()
        .label(LABEL)
        .template(TEMPLATE)
        .rateId(QUOTE_ID)
        .additionalSpread(SPREAD)
        .build();
    assertEquals(test.getLabel(), LABEL);
    assertEquals(test.getRateId(), QUOTE_ID);
    assertEquals(test.getAdditionalSpread(), SPREAD);
    assertEquals(test.getTemplate(), TEMPLATE);
    assertEquals(test.getDate(), CurveNodeDate.END);
  }

  public void test_of_noSpread() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID);
    assertEquals(test.getLabel(), LABEL_AUTO);
    assertEquals(test.getRateId(), QUOTE_ID);
    assertEquals(test.getAdditionalSpread(), 0.0d);
    assertEquals(test.getTemplate(), TEMPLATE);
  }

  public void test_of_withSpread() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    assertEquals(test.getLabel(), LABEL_AUTO);
    assertEquals(test.getRateId(), QUOTE_ID);
    assertEquals(test.getAdditionalSpread(), SPREAD);
    assertEquals(test.getTemplate(), TEMPLATE);
  }

  public void test_of_withSpreadAndLabel() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL);
    assertEquals(test.getLabel(), LABEL);
    assertEquals(test.getRateId(), QUOTE_ID);
    assertEquals(test.getAdditionalSpread(), SPREAD);
    assertEquals(test.getTemplate(), TEMPLATE);
  }

  public void test_requirements() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    Set<ObservableId> set = test.requirements();
    Iterator<ObservableId> itr = set.iterator();
    assertEquals(itr.next(), QUOTE_ID);
    assertFalse(itr.hasNext());
  }

  public void test_trade() {
    FixedOvernightSwapCurveNode node = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    double rate = 0.125;
    double quantity = -1234.56;
    MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
    SwapTrade trade = node.trade(quantity, marketData, REF_DATA);
    SwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BUY, -quantity, rate + SPREAD, REF_DATA);
    assertEquals(trade, expected);
  }

  public void test_trade_noMarketData() {
    FixedOvernightSwapCurveNode node = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    MarketData marketData = MarketData.empty(VAL_DATE);
    assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class);
  }

  public void test_initialGuess() {
    FixedOvernightSwapCurveNode node = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    double rate = 0.035;
    MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
    assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
    assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
    assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR),
        Math.exp(-rate * TENOR_10Y.getPeriod().toTotalMonths() / 12d), 1.0E-12);
  }

  public void test_metadata_end() {
    FixedOvernightSwapCurveNode node = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    LocalDate valuationDate = LocalDate.of(2015, 1, 22);
    ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
    // 2015-01-22 is Thursday, start is 2015-01-26, but 2025-01-26 is Sunday, so end is 2025-01-27
    assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2025, 1, 27));
    assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_10Y);
  }

  public void test_metadata_fixed() {
    LocalDate nodeDate = VAL_DATE.plusMonths(1);
    FixedOvernightSwapCurveNode node =
        FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(nodeDate));
    LocalDate valuationDate = LocalDate.of(2015, 1, 22);
    DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
    assertEquals(metadata.getDate(), nodeDate);
    assertEquals(metadata.getLabel(), node.getLabel());
  }

  public void test_metadata_last_fixing() {
    FixedOvernightSwapCurveNode node =
        FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
    assertThrowsWithCause(() -> node.metadata(VAL_DATE, REF_DATA), UnsupportedOperationException.class);
  }

  //-------------------------------------------------------------------------
  public void coverage() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    coverImmutableBean(test);
    FixedOvernightSwapCurveNode test2 = FixedOvernightSwapCurveNode.of(
        FixedOvernightSwapTemplate.of(TENOR_6M, FixedOvernightSwapConventions.USD_FIXED_TERM_FED_FUND_OIS),
        QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
    coverBeanEquals(test, test2);
  }

  public void test_serialization() {
    FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
    assertSerialization(test);
  }

}