/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.index;
import static com.opengamma.strata.basics.currency.Currency.GBP;
import static com.opengamma.strata.basics.currency.Currency.USD;
import static com.opengamma.strata.collect.TestHelper.assertSerialization;
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.assertSame;
import java.time.LocalDate;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxMatrix;
import com.opengamma.strata.market.sensitivity.MutablePointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* Tests {@link IborFutureOptionSensitivity}.
*/
@Test
public class IborFutureOptionSensitivityTest {
private static final IborFutureOptionVolatilitiesName NAME = IborFutureOptionVolatilitiesName.of("Test");
private static final IborFutureOptionVolatilitiesName NAME2 = IborFutureOptionVolatilitiesName.of("Test2");
public void test_of() {
IborFutureOptionSensitivity test = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
assertEquals(test.getVolatilitiesName(), NAME);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getExpiry(), 12d);
assertEquals(test.getFixingDate(), date(2015, 8, 28));
assertEquals(test.getStrikePrice(), 0.98);
assertEquals(test.getFuturePrice(), 0.99);
assertEquals(test.getSensitivity(), 32d);
}
//-------------------------------------------------------------------------
public void test_withCurrency() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
assertSame(base.withCurrency(GBP), base);
IborFutureOptionSensitivity expected = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, USD, 32d);
IborFutureOptionSensitivity test = base.withCurrency(USD);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_withSensitivity() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity expected = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 20d);
IborFutureOptionSensitivity test = base.withSensitivity(20d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_compareKey() {
IborFutureOptionSensitivity a1 = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity a2 = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity b = IborFutureOptionSensitivity.of(
NAME2, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity c = IborFutureOptionSensitivity.of(
NAME, 13d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity d = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 9, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity e = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.99, 0.99, GBP, 32d);
IborFutureOptionSensitivity f = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 1.00, GBP, 32d);
IborFutureOptionSensitivity g = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, USD, 32d);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(b.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(e) < 0, true);
assertEquals(e.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(f) < 0, true);
assertEquals(f.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(g) < 0, true);
assertEquals(g.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
//-------------------------------------------------------------------------
public void test_convertedTo() {
LocalDate fixingDate = date(2015, 8, 28);
double strike = 0.98d;
double forward = 0.99d;
double sensi = 32d;
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, fixingDate, strike, forward, GBP, sensi);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
IborFutureOptionSensitivity test1 = (IborFutureOptionSensitivity) base.convertedTo(USD, matrix);
IborFutureOptionSensitivity expected = IborFutureOptionSensitivity.of(
NAME, 12d, fixingDate, strike, forward, USD, sensi * rate);
assertEquals(test1, expected);
IborFutureOptionSensitivity test2 = (IborFutureOptionSensitivity) base.convertedTo(GBP, matrix);
assertEquals(test2, base);
}
//-------------------------------------------------------------------------
public void test_multipliedBy() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity expected = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d * 3.5d);
IborFutureOptionSensitivity test = base.multipliedBy(3.5d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_mapSensitivity() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity expected = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 1 / 32d);
IborFutureOptionSensitivity test = base.mapSensitivity(s -> 1 / s);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void test_normalize() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity test = base.normalize();
assertSame(test, base);
}
//-------------------------------------------------------------------------
public void test_buildInto() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
MutablePointSensitivities combo = new MutablePointSensitivities();
MutablePointSensitivities test = base.buildInto(combo);
assertSame(test, combo);
assertEquals(test.getSensitivities(), ImmutableList.of(base));
}
//-------------------------------------------------------------------------
public void test_build() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
PointSensitivities test = base.build();
assertEquals(test.getSensitivities(), ImmutableList.of(base));
}
//-------------------------------------------------------------------------
public void test_cloned() {
IborFutureOptionSensitivity base = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity test = base.cloned();
assertSame(test, base);
}
//-------------------------------------------------------------------------
public void coverage() {
IborFutureOptionSensitivity test = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
coverImmutableBean(test);
IborFutureOptionSensitivity test2 = IborFutureOptionSensitivity.of(
NAME2, 13d, date(2015, 8, 29), 0.99, 0.995, USD, 33d);
coverBeanEquals(test, test2);
}
public void test_serialization() {
IborFutureOptionSensitivity test = IborFutureOptionSensitivity.of(
NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
assertSerialization(test);
}
}