/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.swap.type;
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.BusinessDayConventions.MODIFIED_FOLLOWING;
import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
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.date.Tenor.TENOR_10Y;
import static com.opengamma.strata.basics.index.PriceIndices.GB_HICP;
import static com.opengamma.strata.basics.index.PriceIndices.US_CPI_U;
import static com.opengamma.strata.basics.schedule.Frequency.P3M;
import static com.opengamma.strata.basics.schedule.Frequency.P6M;
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.BuySell.BUY;
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 java.time.Period;
import java.util.Optional;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.product.swap.Swap;
import com.opengamma.strata.product.swap.SwapTrade;
/**
* Test {@link FixedInflationSwapTemplate}.
*/
@Test
public class FixedInflationSwapTemplateTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final Period LAG_3M = Period.ofMonths(3);
private static final double NOTIONAL_2M = 2_000_000d;
private static final BusinessDayAdjustment BDA_FOLLOW = BusinessDayAdjustment.of(FOLLOWING, GBLO);
private static final BusinessDayAdjustment BDA_MOD_FOLLOW = BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO);
private static final DaysAdjustment PLUS_ONE_DAY = DaysAdjustment.ofBusinessDays(1, GBLO);
private static final String NAME = "GBP-Swap";
private static final String NAME2 = "USD-Swap";
private static final FixedRateSwapLegConvention FIXED =
FixedRateSwapLegConvention.of(GBP, ACT_360, P6M, BDA_FOLLOW);
private static final FixedRateSwapLegConvention FIXED2 =
FixedRateSwapLegConvention.of(USD, ACT_365F, P3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, BDA_MOD_FOLLOW);
private static final InflationRateSwapLegConvention INFL2 = InflationRateSwapLegConvention.of(US_CPI_U, LAG_3M, BDA_MOD_FOLLOW);
private static final FixedInflationSwapConvention CONV = ImmutableFixedInflationSwapConvention.of(
NAME,
FIXED,
INFL,
PLUS_ONE_DAY);
private static final FixedInflationSwapConvention CONV2 = ImmutableFixedInflationSwapConvention.of(
NAME2,
FIXED2,
INFL2,
PLUS_ONE_DAY);
//-------------------------------------------------------------------------
public void test_of() {
FixedInflationSwapTemplate test = FixedInflationSwapTemplate.of(TENOR_10Y, CONV);
assertEquals(test.getTenor(), TENOR_10Y);
assertEquals(test.getConvention(), CONV);
}
public void test_of_period() {
FixedInflationSwapTemplate test = FixedInflationSwapTemplate.of(TENOR_10Y, CONV);
assertEquals(test.getTenor(), TENOR_10Y);
assertEquals(test.getConvention(), CONV);
}
//-------------------------------------------------------------------------
public void test_builder_notEnoughData() {
assertThrowsIllegalArg(() -> FixedIborSwapTemplate.builder()
.build());
}
//-------------------------------------------------------------------------
public void test_createTrade() {
FixedInflationSwapTemplate base = FixedInflationSwapTemplate.of(TENOR_10Y, CONV);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 5, 6); // T+1
LocalDate endDate = date(2025, 5, 6);
SwapTrade test = base.createTrade(tradeDate, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected = Swap.of(
FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
INFL.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct().getLegs().get(0), expected.getLegs().get(0));
assertEquals(test.getProduct().getLegs().get(1), expected.getLegs().get(1));
assertEquals(test.getProduct(), expected);
}
//-------------------------------------------------------------------------
public void coverage() {
FixedInflationSwapTemplate test = FixedInflationSwapTemplate.of(TENOR_10Y, CONV);
coverImmutableBean(test);
FixedInflationSwapTemplate test2 = FixedInflationSwapTemplate.of(TENOR_10Y, CONV2);
coverBeanEquals(test, test2);
}
public void test_serialization() {
FixedInflationSwapTemplate test = FixedInflationSwapTemplate.of(TENOR_10Y, CONV);
assertSerialization(test);
}
}