/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.capfloor;
import static com.opengamma.strata.basics.currency.Currency.EUR;
import static com.opengamma.strata.basics.currency.Currency.GBP;
import static com.opengamma.strata.basics.index.IborIndices.EUR_EURIBOR_3M;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_3M;
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.product.common.PayReceive.PAY;
import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
import static org.testng.Assert.assertEquals;
import java.time.LocalDate;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.product.rate.IborRateComputation;
/**
* Test {@link ResolvedIborCapFloorLeg}.
*/
@Test
public class ResolvedIborCapFloorLegTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final double STRIKE = 0.0125;
private static final double NOTIONAL = 1.0e6;
private static final IborCapletFloorletPeriod PERIOD_1 = IborCapletFloorletPeriod.builder()
.caplet(STRIKE)
.notional(NOTIONAL)
.currency(EUR)
.startDate(LocalDate.of(2011, 3, 17))
.endDate(LocalDate.of(2011, 6, 17))
.unadjustedStartDate(LocalDate.of(2011, 3, 17))
.unadjustedEndDate(LocalDate.of(2011, 6, 17))
.paymentDate(LocalDate.of(2011, 6, 21))
.iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2011, 6, 15), REF_DATA))
.yearFraction(0.2556)
.build();
private static final IborCapletFloorletPeriod PERIOD_2 = IborCapletFloorletPeriod.builder()
.caplet(STRIKE)
.notional(NOTIONAL)
.currency(EUR)
.startDate(LocalDate.of(2011, 6, 17))
.endDate(LocalDate.of(2011, 9, 19))
.unadjustedStartDate(LocalDate.of(2011, 6, 17))
.unadjustedEndDate(LocalDate.of(2011, 9, 17))
.paymentDate(LocalDate.of(2011, 9, 21))
.iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA))
.yearFraction(0.2611)
.build();
private static final IborCapletFloorletPeriod PERIOD_3 = IborCapletFloorletPeriod.builder()
.caplet(STRIKE)
.notional(NOTIONAL)
.currency(EUR)
.startDate(LocalDate.of(2011, 9, 19))
.endDate(LocalDate.of(2011, 12, 19))
.unadjustedStartDate(LocalDate.of(2011, 9, 17))
.unadjustedEndDate(LocalDate.of(2011, 12, 17))
.paymentDate(LocalDate.of(2011, 12, 21))
.iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2011, 12, 15), REF_DATA))
.yearFraction(0.2528)
.build();
private static final IborCapletFloorletPeriod PERIOD_4 = IborCapletFloorletPeriod.builder()
.caplet(STRIKE)
.notional(NOTIONAL)
.currency(EUR)
.startDate(LocalDate.of(2011, 12, 19))
.endDate(LocalDate.of(2012, 3, 19))
.unadjustedStartDate(LocalDate.of(2011, 12, 17))
.unadjustedEndDate(LocalDate.of(2012, 3, 17))
.paymentDate(LocalDate.of(2012, 3, 21))
.iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2012, 3, 15), REF_DATA))
.yearFraction(0.2528)
.build();
public void test_builder() {
ResolvedIborCapFloorLeg test = ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
.payReceive(RECEIVE)
.build();
assertEquals(test.getCapletFloorletPeriods(), ImmutableList.of(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4));
assertEquals(test.getPayReceive(), RECEIVE);
assertEquals(test.getStartDate(), PERIOD_1.getStartDate());
assertEquals(test.getEndDate(), PERIOD_4.getEndDate());
assertEquals(test.getFinalPeriod(), PERIOD_4);
assertEquals(test.getFinalFixingDateTime(), PERIOD_4.getFixingDateTime());
assertEquals(test.getCurrency(), EUR);
assertEquals(test.getIndex(), EUR_EURIBOR_3M);
}
public void test_builder_fail() {
// two currencies
IborCapletFloorletPeriod periodGbp = IborCapletFloorletPeriod.builder()
.caplet(STRIKE)
.notional(NOTIONAL)
.currency(GBP)
.startDate(LocalDate.of(2011, 6, 17))
.endDate(LocalDate.of(2011, 9, 19))
.unadjustedStartDate(LocalDate.of(2011, 6, 17))
.unadjustedEndDate(LocalDate.of(2011, 9, 17))
.paymentDate(LocalDate.of(2011, 9, 21))
.iborRate(IborRateComputation.of(EUR_EURIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA))
.yearFraction(0.2611)
.build();
assertThrowsIllegalArg(() -> ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(PERIOD_1, periodGbp)
.payReceive(RECEIVE)
.build());
// two indices
IborCapletFloorletPeriod periodLibor = IborCapletFloorletPeriod.builder()
.caplet(STRIKE)
.notional(NOTIONAL)
.currency(EUR)
.startDate(LocalDate.of(2011, 6, 17))
.endDate(LocalDate.of(2011, 9, 19))
.unadjustedStartDate(LocalDate.of(2011, 6, 17))
.unadjustedEndDate(LocalDate.of(2011, 9, 17))
.paymentDate(LocalDate.of(2011, 9, 21))
.iborRate(IborRateComputation.of(GBP_LIBOR_3M, LocalDate.of(2011, 9, 15), REF_DATA))
.yearFraction(0.2611)
.build();
assertThrowsIllegalArg(() -> ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(PERIOD_1, periodLibor)
.payReceive(RECEIVE)
.build());
}
//-------------------------------------------------------------------------
public void coverage() {
ResolvedIborCapFloorLeg test1 = ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
.payReceive(RECEIVE)
.build();
coverImmutableBean(test1);
ResolvedIborCapFloorLeg test2 = ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(PERIOD_2, PERIOD_3)
.payReceive(PAY)
.build();
coverBeanEquals(test1, test2);
}
public void test_serialization() {
ResolvedIborCapFloorLeg test = ResolvedIborCapFloorLeg.builder()
.capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
.payReceive(RECEIVE)
.build();
assertSerialization(test);
}
}