/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.swap;
import static com.opengamma.strata.basics.currency.Currency.GBP;
import static com.opengamma.strata.basics.currency.Currency.USD;
import static com.opengamma.strata.basics.date.BusinessDayConventions.FOLLOWING;
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.basics.date.HolidayCalendarIds.GBLO;
import static com.opengamma.strata.basics.index.FxIndices.GBP_USD_WM;
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.collect.TestHelper.date;
import static com.opengamma.strata.product.common.PayReceive.PAY;
import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
import static com.opengamma.strata.product.swap.SwapLegType.FIXED;
import static com.opengamma.strata.product.swap.SwapLegType.IBOR;
import static org.testng.Assert.assertEquals;
import java.time.LocalDate;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.date.AdjustableDate;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.index.FxIndexObservation;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.product.rate.IborRateComputation;
/**
* Test.
*/
@Test
public class RatePeriodSwapLegTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate DATE_2014_06_28 = date(2014, 6, 28);
private static final LocalDate DATE_2014_06_30 = date(2014, 6, 30);
private static final LocalDate DATE_2014_09_28 = date(2014, 9, 28);
private static final LocalDate DATE_2014_09_30 = date(2014, 9, 30);
private static final LocalDate DATE_2014_10_01 = date(2014, 10, 1);
private static final LocalDate DATE_2014_12_30 = date(2014, 12, 30);
private static final LocalDate DATE_2014_01_02 = date(2014, 1, 2);
private static final IborRateComputation GBPLIBOR3M_2014_06_28 =
IborRateComputation.of(GBP_LIBOR_3M, DATE_2014_06_28, REF_DATA);
private static final IborRateComputation GBPLIBOR3M_2014_09_28 =
IborRateComputation.of(GBP_LIBOR_3M, DATE_2014_09_28, REF_DATA);
private static final NotionalExchange NOTIONAL_EXCHANGE =
NotionalExchange.of(CurrencyAmount.of(GBP, 2000d), DATE_2014_10_01);
private static final RateAccrualPeriod RAP1 = RateAccrualPeriod.builder()
.startDate(DATE_2014_06_30)
.endDate(DATE_2014_09_30)
.yearFraction(0.25d)
.rateComputation(GBPLIBOR3M_2014_06_28)
.build();
private static final RateAccrualPeriod RAP2 = RateAccrualPeriod.builder()
.startDate(DATE_2014_09_30)
.endDate(DATE_2014_12_30)
.yearFraction(0.25d)
.rateComputation(GBPLIBOR3M_2014_09_28)
.build();
private static final RatePaymentPeriod RPP1 = RatePaymentPeriod.builder()
.paymentDate(DATE_2014_10_01)
.accrualPeriods(RAP1)
.dayCount(ACT_365F)
.currency(GBP)
.notional(5000d)
.build();
private static final RatePaymentPeriod RPP1_FXRESET = RatePaymentPeriod.builder()
.paymentDate(DATE_2014_10_01)
.accrualPeriods(RAP1)
.dayCount(ACT_365F)
.currency(GBP)
.fxReset(FxReset.of(FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA), USD))
.notional(8000d)
.build();
private static final RatePaymentPeriod RPP2 = RatePaymentPeriod.builder()
.paymentDate(DATE_2014_01_02)
.accrualPeriods(RAP2)
.dayCount(ACT_365F)
.currency(GBP)
.notional(6000d)
.build();
private static final RatePaymentPeriod RPP3 = RatePaymentPeriod.builder()
.paymentDate(DATE_2014_10_01)
.accrualPeriods(RAP1)
.dayCount(ACT_365F)
.currency(USD)
.notional(6000d)
.build();
private static final BusinessDayAdjustment FOLLOWING_GBLO = BusinessDayAdjustment.of(FOLLOWING, GBLO);
//-------------------------------------------------------------------------
public void test_builder() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.initialExchange(true)
.intermediateExchange(true)
.finalExchange(true)
.paymentEvents(NOTIONAL_EXCHANGE)
.paymentBusinessDayAdjustment(FOLLOWING_GBLO)
.build();
assertEquals(test.getType(), IBOR);
assertEquals(test.getPayReceive(), RECEIVE);
assertEquals(test.getStartDate(), AdjustableDate.of(DATE_2014_06_30));
assertEquals(test.getEndDate(), AdjustableDate.of(DATE_2014_09_30));
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getPaymentPeriods(), ImmutableList.of(RPP1));
assertEquals(test.getPaymentEvents(), ImmutableList.of(NOTIONAL_EXCHANGE));
assertEquals(test.isInitialExchange(), true);
assertEquals(test.isIntermediateExchange(), true);
assertEquals(test.isFinalExchange(), true);
assertEquals(test.getPaymentBusinessDayAdjustment(), FOLLOWING_GBLO);
}
public void test_builder_defaults() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.build();
assertEquals(test.getPayReceive(), RECEIVE);
assertEquals(test.getStartDate(), AdjustableDate.of(DATE_2014_06_30));
assertEquals(test.getEndDate(), AdjustableDate.of(DATE_2014_09_30));
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getPaymentPeriods(), ImmutableList.of(RPP1));
assertEquals(test.getPaymentEvents(), ImmutableList.of());
assertEquals(test.isInitialExchange(), false);
assertEquals(test.isIntermediateExchange(), false);
assertEquals(test.isFinalExchange(), false);
assertEquals(test.getPaymentBusinessDayAdjustment(), BusinessDayAdjustment.NONE);
}
public void test_builder_invalidMixedCurrency() {
assertThrowsIllegalArg(() -> RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP3)
.paymentEvents(NOTIONAL_EXCHANGE)
.build());
}
//-------------------------------------------------------------------------
public void test_collectIndices() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.build();
ImmutableSet.Builder<Index> builder = ImmutableSet.builder();
test.collectIndices(builder);
assertEquals(builder.build(), ImmutableSet.of(GBP_LIBOR_3M));
}
//-------------------------------------------------------------------------
public void test_resolve() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NOTIONAL_EXCHANGE)
.build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NOTIONAL_EXCHANGE)
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
public void test_resolve_createNotionalExchange() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.initialExchange(true)
.intermediateExchange(true)
.finalExchange(true)
.build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(
NotionalExchange.of(CurrencyAmount.of(GBP, -5000d), DATE_2014_06_30),
NotionalExchange.of(CurrencyAmount.of(GBP, 5000d), DATE_2014_10_01))
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
public void test_resolve_fxResetNotionalExchange() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1_FXRESET, RPP2)
.initialExchange(true)
.intermediateExchange(true)
.finalExchange(true)
.build();
FxResetNotionalExchange ne1a = FxResetNotionalExchange.of(
CurrencyAmount.of(USD, -8000d), DATE_2014_06_30, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA));
FxResetNotionalExchange ne1b = FxResetNotionalExchange.of(
CurrencyAmount.of(USD, 8000d), DATE_2014_10_01, FxIndexObservation.of(GBP_USD_WM, DATE_2014_06_28, REF_DATA));
NotionalExchange ne2a = NotionalExchange.of(CurrencyAmount.of(GBP, -6000d), DATE_2014_10_01);
NotionalExchange ne2b = NotionalExchange.of(CurrencyAmount.of(GBP, 6000d), DATE_2014_01_02);
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1_FXRESET, RPP2)
.paymentEvents(ne1a, ne1b, ne2a, ne2b)
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
public void test_resolve_omitFxResetNotionalExchange() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1_FXRESET)
.initialExchange(true)
.intermediateExchange(false)
.finalExchange(true)
.build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1_FXRESET)
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
public void test_resolve_createNotionalExchange_noInitial() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.initialExchange(false)
.intermediateExchange(true)
.finalExchange(true)
.build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NotionalExchange.of(CurrencyAmount.of(GBP, 5000d), DATE_2014_10_01))
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
public void test_resolve_createNotionalExchange_initialOnly() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.initialExchange(true)
.intermediateExchange(false)
.finalExchange(false)
.build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NotionalExchange.of(CurrencyAmount.of(GBP, -5000d), DATE_2014_06_30))
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
public void test_resolve_createNotionalExchange_finalOnly() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.initialExchange(false)
.intermediateExchange(false)
.finalExchange(true)
.build();
ResolvedSwapLeg expected = ResolvedSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NotionalExchange.of(CurrencyAmount.of(GBP, 5000d), DATE_2014_10_01))
.build();
assertEquals(test.resolve(REF_DATA), expected);
}
//-------------------------------------------------------------------------
public void coverage() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NOTIONAL_EXCHANGE)
.paymentBusinessDayAdjustment(FOLLOWING_GBLO)
.initialExchange(true)
.intermediateExchange(true)
.finalExchange(true)
.build();
coverImmutableBean(test);
RatePeriodSwapLeg test2 = RatePeriodSwapLeg.builder()
.type(FIXED)
.payReceive(PAY)
.paymentPeriods(RPP2)
.build();
coverBeanEquals(test, test2);
}
public void test_serialization() {
RatePeriodSwapLeg test = RatePeriodSwapLeg.builder()
.type(IBOR)
.payReceive(RECEIVE)
.paymentPeriods(RPP1)
.paymentEvents(NOTIONAL_EXCHANGE)
.build();
assertSerialization(test);
}
}