/**
* 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.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 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.time.Period;
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.IborIborSwapConventions;
import com.opengamma.strata.product.swap.type.IborIborSwapTemplate;
/**
* Test {@link IborIborSwapCurveNode}.
*/
@Test
public class IborIborSwapCurveNodeTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate VAL_DATE = date(2015, 6, 30);
private static final IborIborSwapTemplate TEMPLATE =
IborIborSwapTemplate.of(Period.ZERO, TENOR_10Y, IborIborSwapConventions.USD_LIBOR_3M_LIBOR_6M);
private static final IborIborSwapTemplate TEMPLATE2 =
IborIborSwapTemplate.of(Period.ofMonths(1), TENOR_10Y, IborIborSwapConventions.USD_LIBOR_3M_LIBOR_6M);
private static final QuoteId QUOTE_ID = QuoteId.of(StandardId.of("OG-Ticker", "USD-BS36-10Y"));
private static final QuoteId QUOTE_ID2 = QuoteId.of(StandardId.of("OG-Ticker", "Test"));
private static final double SPREAD = 0.0015;
private static final String LABEL = "Label";
private static final String LABEL_AUTO = "10Y";
public void test_builder() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.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() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.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() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.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() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.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() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.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() {
IborIborSwapCurveNode node = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
double rate = 0.125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(tradeDate).addValue(QUOTE_ID, rate).build();
SwapTrade trade = node.trade(quantity, marketData, REF_DATA);
SwapTrade expected = TEMPLATE.createTrade(tradeDate, BUY, -quantity, rate + SPREAD, REF_DATA);
assertEquals(trade, expected);
}
public void test_trade_noMarketData() {
IborIborSwapCurveNode node = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
MarketData marketData = MarketData.empty(valuationDate);
assertThrows(() -> node.trade(1d, marketData, REF_DATA), MarketDataNotFoundException.class);
}
public void test_initialGuess() {
IborIborSwapCurveNode node = IborIborSwapCurveNode.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), 0d);
assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), 1.0d);
}
public void test_metadata_end() {
IborIborSwapCurveNode node = IborIborSwapCurveNode.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);
IborIborSwapCurveNode node =
IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).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() {
IborIborSwapCurveNode node =
IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate fixingExpected = LocalDate.of(2024, 7, 24);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.getDate(), fixingExpected);
assertEquals(metadata.getLabel(), node.getLabel());
}
//-------------------------------------------------------------------------
public void coverage() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborIborSwapCurveNode test2 = IborIborSwapCurveNode.of(TEMPLATE2, QUOTE_ID2, 0.1);
coverBeanEquals(test, test2);
}
public void test_serialization() {
IborIborSwapCurveNode test = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
assertSerialization(test);
}
}