/**
* 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.BusinessDayConventions.MODIFIED_FOLLOWING;
import static com.opengamma.strata.basics.index.IborIndices.EUR_LIBOR_3M;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_6M;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
import static com.opengamma.strata.collect.TestHelper.assertThrows;
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 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.BusinessDayAdjustment;
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.TradeInfo;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.deposit.IborFixingDeposit;
import com.opengamma.strata.product.deposit.IborFixingDepositTrade;
import com.opengamma.strata.product.deposit.ResolvedIborFixingDeposit;
import com.opengamma.strata.product.deposit.type.IborFixingDepositTemplate;
import com.opengamma.strata.product.deposit.type.ImmutableIborFixingDepositConvention;
import com.opengamma.strata.product.rate.IborRateComputation;
/**
* Test {@link IborFixingDepositCurveNode}.
*/
@Test
public class IborFixingDepositCurveNodeTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate VAL_DATE = date(2015, 6, 30);
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 = "3M";
private static final IborFixingDepositTemplate TEMPLATE = IborFixingDepositTemplate.of(EUR_LIBOR_3M);
public void test_builder() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.builder()
.label(LABEL)
.rateId(QUOTE_ID)
.template(TEMPLATE)
.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() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID);
assertEquals(test.getLabel(), LABEL_AUTO);
assertEquals(test.getRateId(), QUOTE_ID);
assertEquals(test.getAdditionalSpread(), 0.0);
assertEquals(test.getTemplate(), TEMPLATE);
}
public void test_of_withSpread() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.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() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.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() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.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() {
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ImmutableIborFixingDepositConvention conv = (ImmutableIborFixingDepositConvention) TEMPLATE.getConvention();
LocalDate startDateExpected = conv.getSpotDateOffset().adjust(valuationDate, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(TEMPLATE.getDepositPeriod());
IborFixingDeposit depositExpected = IborFixingDeposit.builder()
.buySell(BuySell.BUY)
.index(EUR_LIBOR_3M)
.startDate(startDateExpected)
.endDate(endDateExpected)
.businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, EUR_LIBOR_3M.getFixingCalendar()))
.notional(1.0d)
.fixedRate(rate + SPREAD)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder()
.tradeDate(valuationDate)
.build();
assertEquals(trade.getProduct(), depositExpected);
assertEquals(trade.getInfo(), tradeInfoExpected);
}
public void test_trade_noMarketData() {
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
MarketData marketData = MarketData.empty(VAL_DATE);
assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class);
}
public void test_initialGuess() {
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.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 * 0.25d), 1.0E-12);
}
public void test_metadata_end() {
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata) metadata).getDate(), LocalDate.of(2015, 4, 27));
assertEquals(((TenorDateParameterMetadata) metadata).getTenor(), Tenor.TENOR_3M);
}
public void test_metadata_fixed() {
LocalDate nodeDate = VAL_DATE.plusMonths(1);
IborFixingDepositCurveNode node =
IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.of(nodeDate));
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.getDate(), nodeDate);
assertEquals(metadata.getLabel(), node.getLabel());
}
public void test_metadata_last_fixing() {
IborFixingDepositCurveNode node =
IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedIborFixingDeposit product = trade.getProduct().resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation) product.getFloatingRate()).getFixingDate();
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(((TenorDateParameterMetadata) metadata).getDate(), fixingDate);
assertEquals(((TenorDateParameterMetadata) metadata).getTenor().getPeriod(), TEMPLATE.getDepositPeriod());
}
//-------------------------------------------------------------------------
public void coverage() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborFixingDepositCurveNode test2 = IborFixingDepositCurveNode.of(
IborFixingDepositTemplate.of(GBP_LIBOR_6M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
public void test_serialization() {
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
}