/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.fxopt;
import static com.opengamma.strata.basics.currency.Currency.EUR;
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.assertThrowsIllegalArg;
import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
import static com.opengamma.strata.product.common.LongShort.LONG;
import static com.opengamma.strata.product.common.LongShort.SHORT;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertFalse;
import java.time.LocalDate;
import java.time.ZoneOffset;
import java.time.ZonedDateTime;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.product.fx.ResolvedFxSingle;
import com.opengamma.strata.product.option.BarrierType;
import com.opengamma.strata.product.option.KnockType;
import com.opengamma.strata.product.option.SimpleConstantContinuousBarrier;
/**
* Test {@link ResolvedFxSingleBarrierOption}.
*/
@Test
public class ResolvedFxSingleBarrierOptionTest {
private static final ZonedDateTime EXPIRY_DATE_TIME = ZonedDateTime.of(2015, 2, 14, 12, 15, 0, 0, ZoneOffset.UTC);
private static final LocalDate PAYMENT_DATE = LocalDate.of(2015, 2, 16);
private static final double NOTIONAL = 1.0e6;
private static final double STRIKE = 1.35;
private static final CurrencyAmount EUR_AMOUNT = CurrencyAmount.of(EUR, NOTIONAL);
private static final CurrencyAmount USD_AMOUNT = CurrencyAmount.of(USD, -NOTIONAL * STRIKE);
private static final ResolvedFxSingle FX = ResolvedFxSingle.of(EUR_AMOUNT, USD_AMOUNT, PAYMENT_DATE);
private static final ResolvedFxVanillaOption VANILLA_OPTION = ResolvedFxVanillaOption.builder()
.longShort(LONG)
.expiry(EXPIRY_DATE_TIME)
.underlying(FX)
.build();
private static final SimpleConstantContinuousBarrier BARRIER =
SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, 1.2);
private static final CurrencyAmount REBATE = CurrencyAmount.of(USD, 5.0e4);
public void test_of() {
ResolvedFxSingleBarrierOption test = ResolvedFxSingleBarrierOption.of(VANILLA_OPTION, BARRIER, REBATE);
assertEquals(test.getBarrier(), BARRIER);
assertEquals(test.getRebate().get(), REBATE);
assertEquals(test.getUnderlyingOption(), VANILLA_OPTION);
assertEquals(test.getCurrencyPair(), VANILLA_OPTION.getCurrencyPair());
}
public void test_of_noRebate() {
ResolvedFxSingleBarrierOption test = ResolvedFxSingleBarrierOption.of(VANILLA_OPTION, BARRIER);
assertEquals(test.getBarrier(), BARRIER);
assertFalse(test.getRebate().isPresent());
assertEquals(test.getUnderlyingOption(), VANILLA_OPTION);
}
public void test_of_fail() {
CurrencyAmount negative = CurrencyAmount.of(USD, -5.0e4);
assertThrowsIllegalArg(() -> ResolvedFxSingleBarrierOption.of(VANILLA_OPTION, BARRIER, negative));
CurrencyAmount other = CurrencyAmount.of(GBP, 5.0e4);
assertThrowsIllegalArg(() -> ResolvedFxSingleBarrierOption.of(VANILLA_OPTION, BARRIER, other));
}
//-------------------------------------------------------------------------
public void coverage() {
ResolvedFxSingleBarrierOption test1 = ResolvedFxSingleBarrierOption.of(VANILLA_OPTION, BARRIER, REBATE);
ResolvedFxSingleBarrierOption test2 = ResolvedFxSingleBarrierOption.of(
ResolvedFxVanillaOption.builder()
.longShort(SHORT)
.expiry(EXPIRY_DATE_TIME)
.underlying(FX)
.build(),
SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, 1.5));
coverImmutableBean(test1);
coverBeanEquals(test1, test2);
}
public void test_serialization() {
ResolvedFxSingleBarrierOption test = ResolvedFxSingleBarrierOption.of(VANILLA_OPTION, BARRIER, REBATE);
assertSerialization(test);
}
}