/**
* Copyright (C) 2015 - 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.index.OvernightIndices.GBP_SONIA;
import static com.opengamma.strata.basics.index.OvernightIndices.USD_FED_FUND;
import static com.opengamma.strata.basics.schedule.Frequency.P12M;
import static com.opengamma.strata.basics.schedule.Frequency.P6M;
import static com.opengamma.strata.basics.schedule.Frequency.TERM;
import static com.opengamma.strata.basics.schedule.StubConvention.LONG_INITIAL;
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.swap.OvernightAccrualMethod.AVERAGED;
import static com.opengamma.strata.product.swap.OvernightAccrualMethod.COMPOUNDED;
import static org.testng.Assert.assertEquals;
import java.time.LocalDate;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.schedule.PeriodicSchedule;
import com.opengamma.strata.basics.schedule.RollConventions;
import com.opengamma.strata.basics.schedule.StubConvention;
import com.opengamma.strata.basics.value.ValueSchedule;
import com.opengamma.strata.product.swap.CompoundingMethod;
import com.opengamma.strata.product.swap.NotionalSchedule;
import com.opengamma.strata.product.swap.OvernightRateCalculation;
import com.opengamma.strata.product.swap.PaymentSchedule;
import com.opengamma.strata.product.swap.RateCalculationSwapLeg;
/**
* Test {@link OvernightRateSwapLegConvention}.
*/
@Test
public class OvernightRateSwapLegConventionTest {
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_TWO_DAYS = DaysAdjustment.ofBusinessDays(2, GBLO);
//-------------------------------------------------------------------------
public void test_of() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2);
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), P12M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), P12M);
assertEquals(test.getPaymentDateOffset(), DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()));
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}
public void test_of_method() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2, AVERAGED);
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), AVERAGED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), P12M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), P12M);
assertEquals(test.getPaymentDateOffset(), DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()));
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}
public void test_builder() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.builder()
.index(GBP_SONIA)
.build();
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 0);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getDayCount(), ACT_365F);
assertEquals(test.getAccrualFrequency(), TERM);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_MOD_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.SHORT_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.NONE);
assertEquals(test.getPaymentFrequency(), TERM);
assertEquals(test.getPaymentDateOffset(), DaysAdjustment.NONE);
assertEquals(test.getCompoundingMethod(), CompoundingMethod.NONE);
}
//-------------------------------------------------------------------------
public void test_builder_notEnoughData() {
assertThrowsIllegalArg(() -> OvernightRateSwapLegConvention.builder().build());
}
public void test_builderAllSpecified() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.builder()
.index(GBP_SONIA)
.accrualMethod(COMPOUNDED)
.rateCutOffDays(2)
.currency(USD)
.dayCount(ACT_360)
.accrualFrequency(P6M)
.accrualBusinessDayAdjustment(BDA_FOLLOW)
.startDateBusinessDayAdjustment(BDA_FOLLOW)
.endDateBusinessDayAdjustment(BDA_FOLLOW)
.stubConvention(LONG_INITIAL)
.rollConvention(RollConventions.EOM)
.paymentFrequency(P6M)
.paymentDateOffset(PLUS_TWO_DAYS)
.compoundingMethod(CompoundingMethod.FLAT)
.build();
assertEquals(test.getIndex(), GBP_SONIA);
assertEquals(test.getAccrualMethod(), COMPOUNDED);
assertEquals(test.getRateCutOffDays(), 2);
assertEquals(test.getCurrency(), USD);
assertEquals(test.getDayCount(), ACT_360);
assertEquals(test.getAccrualFrequency(), P6M);
assertEquals(test.getAccrualBusinessDayAdjustment(), BDA_FOLLOW);
assertEquals(test.getStartDateBusinessDayAdjustment(), BDA_FOLLOW);
assertEquals(test.getEndDateBusinessDayAdjustment(), BDA_FOLLOW);
assertEquals(test.getStubConvention(), StubConvention.LONG_INITIAL);
assertEquals(test.getRollConvention(), RollConventions.EOM);
assertEquals(test.getPaymentFrequency(), P6M);
assertEquals(test.getPaymentDateOffset(), PLUS_TWO_DAYS);
assertEquals(test.getCompoundingMethod(), CompoundingMethod.FLAT);
}
//-------------------------------------------------------------------------
public void test_toLeg() {
OvernightRateSwapLegConvention base = OvernightRateSwapLegConvention.of(GBP_SONIA, TERM, 2);
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = base.toLeg(startDate, endDate, PAY, NOTIONAL_2M);
RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(PeriodicSchedule.builder()
.frequency(TERM)
.startDate(startDate)
.endDate(endDate)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.stubConvention(StubConvention.SHORT_INITIAL)
.build())
.paymentSchedule(PaymentSchedule.builder()
.paymentFrequency(TERM)
.paymentDateOffset(DaysAdjustment.ofBusinessDays(2, GBP_SONIA.getFixingCalendar()))
.build())
.notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M))
.calculation(OvernightRateCalculation.of(GBP_SONIA))
.build();
assertEquals(test, expected);
}
public void test_toLeg_withSpread() {
OvernightRateSwapLegConvention base = OvernightRateSwapLegConvention.builder()
.index(GBP_SONIA)
.accrualMethod(AVERAGED)
.build();
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder()
.payReceive(PAY)
.accrualSchedule(PeriodicSchedule.builder()
.frequency(TERM)
.startDate(startDate)
.endDate(endDate)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.build())
.paymentSchedule(PaymentSchedule.builder()
.paymentFrequency(TERM)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M))
.calculation(OvernightRateCalculation.builder()
.index(GBP_SONIA)
.accrualMethod(AVERAGED)
.spread(ValueSchedule.of(0.25d))
.build())
.build();
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public void coverage() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.builder()
.index(GBP_SONIA)
.accrualMethod(COMPOUNDED)
.build();
coverImmutableBean(test);
OvernightRateSwapLegConvention test2 = OvernightRateSwapLegConvention.builder()
.index(USD_FED_FUND)
.accrualMethod(AVERAGED)
.rateCutOffDays(2)
.currency(USD)
.dayCount(ACT_360)
.accrualFrequency(P6M)
.accrualBusinessDayAdjustment(BDA_FOLLOW)
.startDateBusinessDayAdjustment(BDA_FOLLOW)
.endDateBusinessDayAdjustment(BDA_FOLLOW)
.stubConvention(LONG_INITIAL)
.rollConvention(RollConventions.EOM)
.paymentFrequency(P6M)
.paymentDateOffset(PLUS_TWO_DAYS)
.build();
coverBeanEquals(test, test2);
}
public void test_serialization() {
OvernightRateSwapLegConvention test = OvernightRateSwapLegConvention.of(GBP_SONIA, P12M, 2);
assertSerialization(test);
}
}