/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.bond;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
import static com.opengamma.strata.collect.TestHelper.assertThrowsIllegalArg;
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.mockito.Mockito.mock;
import static org.mockito.Mockito.when;
import static org.testng.Assert.assertEquals;
import java.time.LocalDate;
import org.joda.beans.ImmutableBean;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.measure.curve.TestMarketDataMap;
import com.opengamma.strata.pricer.bond.BondFutureVolatilities;
import com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId;
import com.opengamma.strata.product.SecurityId;
/**
* Test {@link BondFutureOptionMarketDataLookup}.
*/
@Test
public class BondFutureOptionMarketDataLookupTest {
private static final BondFutureVolatilitiesId VOL_ID1 = BondFutureVolatilitiesId.of("ID1");
private static final BondFutureVolatilities MOCK_VOLS = mock(BondFutureVolatilities.class);
private static final MarketData MOCK_MARKET_DATA = mock(MarketData.class);
private static final ScenarioMarketData MOCK_CALC_MARKET_DATA = mock(ScenarioMarketData.class);
private static final SecurityId SEC_OG1 = SecurityId.of("OG", "1");
private static final SecurityId SEC_OG2 = SecurityId.of("OG", "2");
private static final SecurityId SEC_OG3 = SecurityId.of("OG", "3");
static {
when(MOCK_MARKET_DATA.getValue(VOL_ID1)).thenReturn(MOCK_VOLS);
}
//-------------------------------------------------------------------------
public void test_of_single() {
BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(SEC_OG1, VOL_ID1);
assertEquals(test.queryType(), BondFutureOptionMarketDataLookup.class);
assertEquals(test.getVolatilitySecurityIds(), ImmutableSet.of(SEC_OG1));
assertEquals(test.getVolatilityIds(SEC_OG1), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() -> test.getVolatilityIds(SEC_OG2));
assertEquals(
test.requirements(SEC_OG1),
FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(
test.requirements(ImmutableSet.of(SEC_OG1)),
FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() -> test.requirements(ImmutableSet.of(SEC_OG3)));
}
public void test_of_map() {
ImmutableMap<SecurityId, BondFutureVolatilitiesId> ids = ImmutableMap.of(SEC_OG1, VOL_ID1, SEC_OG2, VOL_ID1);
BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(ids);
assertEquals(test.queryType(), BondFutureOptionMarketDataLookup.class);
assertEquals(test.getVolatilitySecurityIds(), ImmutableSet.of(SEC_OG1, SEC_OG2));
assertEquals(test.getVolatilityIds(SEC_OG1), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() -> test.getVolatilityIds(SEC_OG3));
assertEquals(
test.requirements(SEC_OG1),
FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(
test.requirements(ImmutableSet.of(SEC_OG1)),
FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() -> test.requirements(ImmutableSet.of(SEC_OG3)));
assertEquals(test.volatilities(SEC_OG1, MOCK_MARKET_DATA), MOCK_VOLS);
assertThrowsIllegalArg(() -> test.volatilities(SEC_OG3, MOCK_MARKET_DATA));
}
//-------------------------------------------------------------------------
public void test_marketDataView() {
BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(SEC_OG1, VOL_ID1);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
BondFutureOptionScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.getLookup(), test);
assertEquals(multiScenario.getMarketData(), md);
assertEquals(multiScenario.getScenarioCount(), 1);
BondFutureOptionMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.getLookup(), test);
assertEquals(scenario.getMarketData(), md.scenario(0));
assertEquals(scenario.getValuationDate(), valDate);
}
//-------------------------------------------------------------------------
public void coverage() {
DefaultBondFutureOptionMarketDataLookup test =
DefaultBondFutureOptionMarketDataLookup.of(ImmutableMap.of(SEC_OG1, VOL_ID1, SEC_OG2, VOL_ID1));
coverImmutableBean(test);
DefaultBondFutureOptionMarketDataLookup test2 = DefaultBondFutureOptionMarketDataLookup.of(SEC_OG1, VOL_ID1);
coverBeanEquals(test, test2);
coverImmutableBean((ImmutableBean) test.marketDataView(MOCK_CALC_MARKET_DATA));
coverImmutableBean((ImmutableBean) test.marketDataView(MOCK_MARKET_DATA));
}
public void test_serialization() {
DefaultBondFutureOptionMarketDataLookup test =
DefaultBondFutureOptionMarketDataLookup.of(ImmutableMap.of(SEC_OG1, VOL_ID1, SEC_OG2, VOL_ID1));
assertSerialization(test);
}
}