/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.impl.credit.isda;
import static com.opengamma.strata.pricer.impl.credit.isda.ImmDateLogic.getIMMDateSet;
import static com.opengamma.strata.pricer.impl.credit.isda.ImmDateLogic.getNextIMMDate;
import static com.opengamma.strata.pricer.impl.credit.isda.ImmDateLogic.getPrevIMMDate;
import static com.opengamma.strata.pricer.impl.credit.isda.ImmDateLogic.isIMMDate;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
import java.time.LocalDate;
import java.time.Month;
import java.time.Period;
import org.testng.annotations.Test;
/**
* Test.
*/
@Test
public class ImmDateLogicTest {
private static final Period[] TENORS = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(10) };
@Test
void isIMMTest() {
LocalDate date = LocalDate.of(2013, Month.MARCH, 20);
assertTrue(isIMMDate(date));
date = LocalDate.of(2013, Month.APRIL, 20);
assertFalse(isIMMDate(date));
date = LocalDate.of(2013, Month.DECEMBER, 23);
assertFalse(isIMMDate(date));
}
@Test
public void onIMMDateTest() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 20);
final LocalDate nextIMM = getNextIMMDate(today);
final LocalDate[] dates = getIMMDateSet(nextIMM, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.DECEMBER, 20), dates[0]);
}
@Test
public void immSetTest() {
final LocalDate date = LocalDate.of(2013, Month.MARCH, 20);
final int n = 5;
final LocalDate[] immDates = getIMMDateSet(date, n);
assertTrue(immDates.length == n);
assertEquals(date, immDates[0]);
assertEquals(LocalDate.of(2013, Month.JUNE, 20), immDates[1]);
assertEquals(LocalDate.of(2013, Month.SEPTEMBER, 20), immDates[2]);
assertEquals(LocalDate.of(2013, Month.DECEMBER, 20), immDates[3]);
assertEquals(LocalDate.of(2014, Month.MARCH, 20), immDates[4]);
}
@Test
public void nonIMMDateTest() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 26);
final LocalDate nextIMM = getNextIMMDate(today);
final LocalDate[] dates = getIMMDateSet(nextIMM, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.DECEMBER, 20), dates[0]);
}
@Test
public void IMMDateM1Test() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 19);
final LocalDate nextIMM = getNextIMMDate(today);
final LocalDate[] dates = getIMMDateSet(nextIMM, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.SEPTEMBER, 20), dates[0]);
}
@Test
public void stepinIMMDateM2Test() {
final LocalDate today = LocalDate.of(2013, Month.MARCH, 18);
final LocalDate nextIMM = getNextIMMDate(today);
final LocalDate[] dates = getIMMDateSet(nextIMM, TENORS);
assertEquals(dates.length, TENORS.length);
assertEquals(LocalDate.of(2013, Month.SEPTEMBER, 20), dates[0]);
}
@Test
public void nextIMMTest() {
LocalDate today = LocalDate.of(2011, Month.JUNE, 21);
LocalDate nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(2011, Month.SEPTEMBER, 20), nextIMM);
today = LocalDate.of(2011, Month.JUNE, 20);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(2011, Month.SEPTEMBER, 20), nextIMM);
today = LocalDate.of(2011, Month.DECEMBER, 20);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(2012, Month.MARCH, 20), nextIMM);
today = LocalDate.of(2011, Month.JUNE, 18);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(2011, Month.JUNE, 20), nextIMM);
today = LocalDate.of(1976, Month.JULY, 30);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(1976, Month.SEPTEMBER, 20), nextIMM);
today = LocalDate.of(1977, Month.FEBRUARY, 13);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(1977, Month.MARCH, 20), nextIMM);
today = LocalDate.of(2013, Month.MARCH, 1);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(2013, Month.MARCH, 20), nextIMM);
today = LocalDate.of(2013, Month.DECEMBER, 25);
nextIMM = getNextIMMDate(today);
assertEquals(LocalDate.of(2014, Month.MARCH, 20), nextIMM);
}
@Test
public void prevIMMTest() {
LocalDate today = LocalDate.of(2011, Month.JUNE, 21);
LocalDate prevIMM = getPrevIMMDate(today);
assertEquals(LocalDate.of(2011, Month.JUNE, 20), prevIMM);
today = LocalDate.of(2011, Month.JUNE, 20);
prevIMM = getPrevIMMDate(today);
assertEquals(LocalDate.of(2011, Month.MARCH, 20), prevIMM);
prevIMM = getPrevIMMDate(prevIMM);
assertEquals(LocalDate.of(2010, Month.DECEMBER, 20), prevIMM);
today = LocalDate.of(2011, Month.JUNE, 18);
prevIMM = getPrevIMMDate(today);
assertEquals(LocalDate.of(2011, Month.MARCH, 20), prevIMM);
today = LocalDate.of(1976, Month.JULY, 30);
prevIMM = getPrevIMMDate(today);
assertEquals(LocalDate.of(1976, Month.JUNE, 20), prevIMM);
today = LocalDate.of(1977, Month.FEBRUARY, 13);
prevIMM = getPrevIMMDate(today);
assertEquals(LocalDate.of(1976, Month.DECEMBER, 20), prevIMM);
today = LocalDate.of(2013, Month.MARCH, 1);
prevIMM = getPrevIMMDate(today);
assertEquals(LocalDate.of(2012, Month.DECEMBER, 20), prevIMM);
}
/**
*
*/
@Test
public void isIndexRollDateTest() {
LocalDate date0 = LocalDate.of(2013, 3, 14);
LocalDate date1 = LocalDate.of(2013, 6, 20);
LocalDate date2 = LocalDate.of(2013, 3, 20);
LocalDate date3 = LocalDate.of(2013, 9, 20);
assertFalse(ImmDateLogic.isIndexRollDate(date0));
assertFalse(ImmDateLogic.isIndexRollDate(date1));
assertTrue(ImmDateLogic.isIndexRollDate(date2));
assertTrue(ImmDateLogic.isIndexRollDate(date3));
}
/**
*
*/
@Test
public void getNextIndexRollDateTest() {
final LocalDate[] dates = new LocalDate[] {LocalDate.of(2013, 3, 14), LocalDate.of(2013, 6, 20), LocalDate.of(2013, 3, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2013, 1, 21),
LocalDate.of(2013, 3, 21), LocalDate.of(2013, 9, 19), LocalDate.of(2013, 9, 21), LocalDate.of(2013, 11, 21) };
final LocalDate[] datesExp = new LocalDate[] {LocalDate.of(2013, 3, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2013, 3, 20),
LocalDate.of(2013, 9, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2014, 3, 20) };
for (int i = 0; i < dates.length; ++i) {
assertEquals(ImmDateLogic.getNextIndexRollDate(dates[i]), datesExp[i]);
}
}
}