/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index.type;
import static com.opengamma.strata.basics.date.DateSequences.QUARTERLY_IMM;
import static com.opengamma.strata.basics.index.IborIndices.USD_LIBOR_3M;
import static com.opengamma.strata.basics.index.IborIndices.USD_LIBOR_6M;
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 org.testng.Assert.assertEquals;
import java.time.LocalDate;
import java.time.YearMonth;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.index.IborFutureTrade;
/**
* Tests {@link AbsoluteIborFutureTemplate}.
*/
@Test
public class AbsoluteIborFutureTemplateTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final IborFutureConvention CONVENTION = ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
private static final IborFutureConvention CONVENTION2 = ImmutableIborFutureConvention.of(USD_LIBOR_6M, QUARTERLY_IMM);
private static final YearMonth YEAR_MONTH = YearMonth.of(2016, 6);
//-------------------------------------------------------------------------
public void test_of() {
AbsoluteIborFutureTemplate test = AbsoluteIborFutureTemplate.of(YEAR_MONTH, CONVENTION);
assertEquals(test.getYearMonth(), YEAR_MONTH);
assertEquals(test.getConvention(), CONVENTION);
assertEquals(test.getIndex(), CONVENTION.getIndex());
}
//-------------------------------------------------------------------------
public void test_createTrade() {
IborFutureTemplate base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
double quantity = 3;
double price = 0.99;
double notional = 100.0;
SecurityId secId = SecurityId.of("OG-Future", "GBP-LIBOR-3M-Jun16");
IborFutureTrade trade = base.createTrade(date, secId, quantity, notional, price, REF_DATA);
IborFutureTrade expected = CONVENTION.createTrade(date, secId, YEAR_MONTH, quantity, notional, price, REF_DATA);
assertEquals(trade, expected);
}
public void test_calculateReferenceDateFromTradeDate() {
IborFutureTemplate base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
LocalDate date = LocalDate.of(2015, 10, 20);
LocalDate expected = LocalDate.of(2016, 6, 15);
assertEquals(base.calculateReferenceDateFromTradeDate(date, REF_DATA), expected);
}
public void test_approximateMaturity() {
IborFutureTemplate base = IborFutureTemplate.of(YEAR_MONTH, CONVENTION);
assertEquals(base.approximateMaturity(LocalDate.of(2015, 10, 20)), 8d / 12d, 0.1d);
}
//-------------------------------------------------------------------------
public void coverage() {
AbsoluteIborFutureTemplate test = AbsoluteIborFutureTemplate.of(YEAR_MONTH, CONVENTION);
coverImmutableBean(test);
AbsoluteIborFutureTemplate test2 = AbsoluteIborFutureTemplate.of(YEAR_MONTH.plusMonths(1), CONVENTION2);
coverBeanEquals(test, test2);
}
public void test_serialization() {
AbsoluteIborFutureTemplate test = AbsoluteIborFutureTemplate.of(YEAR_MONTH, CONVENTION);
assertSerialization(test);
}
}