/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity.trs;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.datasets.CalendarGBP;
import com.opengamma.analytics.financial.equity.Equity;
import com.opengamma.analytics.financial.equity.EquityDefinition;
import com.opengamma.analytics.financial.equity.trs.definition.EquityTotalReturnSwap;
import com.opengamma.analytics.financial.equity.trs.definition.EquityTotalReturnSwapDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentDefinition;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.legalentity.CreditRating;
import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.legalentity.Region;
import com.opengamma.analytics.financial.legalentity.Sector;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.util.i18n.Country;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the description of an equity total return swap.
*/
public class EquityTotalReturnSwapDefinitionTest {
private static final ZonedDateTime EFFECTIVE_DATE_1 = DateUtils.getUTCDate(2012, 2, 9);
private static final ZonedDateTime TERMINATION_DATE_1 = DateUtils.getUTCDate(2012, 5, 9);
private static final Currency GBP = Currency.GBP;
private static final Calendar LON = new CalendarGBP("LON");
private static final double NOTIONAL_TRS = 123456000;
// Equity
private static final double NB_SHARES = 1000000;
// Funding: unique fixed coupon in GBP: pay TRS equity, receive funding
private static final double RATE = 0.0043;
private static final CouponFixedDefinition FUNDING_FIXED_CPN_REC_DEFINITION = new CouponFixedDefinition(GBP,
TERMINATION_DATE_1, EFFECTIVE_DATE_1, TERMINATION_DATE_1, 0.25, NOTIONAL_TRS, RATE);
private static final AnnuityDefinition<? extends PaymentDefinition> FUNDING_LEG_FIXED_REC_DEFINITION =
new AnnuityDefinition<>(new CouponFixedDefinition[] {FUNDING_FIXED_CPN_REC_DEFINITION }, LON);
private static final String OG_NAME = "OpenGamma Ltd";
private static final String OG_TICKER = "OG";
private static final LegalEntity OG_LEGAL_ENTITY = new LegalEntity(OG_TICKER, OG_NAME, Sets.newHashSet(CreditRating.of("AAA", "ABC", true)), Sector.of("Technology"),
Region.of("UK", Country.GB, Currency.GBP));
private static final EquityDefinition EQUITY_DEFINITION = new EquityDefinition(OG_LEGAL_ENTITY, GBP, NB_SHARES);
private static final double DIVIDEND_RATIO = 1.0;
private static final EquityTotalReturnSwapDefinition TRS_PAY_FIXED_REC_DEFINITION = new EquityTotalReturnSwapDefinition(EFFECTIVE_DATE_1,
TERMINATION_DATE_1, FUNDING_LEG_FIXED_REC_DEFINITION, EQUITY_DEFINITION, NOTIONAL_TRS, GBP, DIVIDEND_RATIO);
private static final ZonedDateTime REFERENCE_DATE_1 = DateUtils.getUTCDate(2012, 2, 2); // Before effective date.
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullEffectiveDate() {
new EquityTotalReturnSwapDefinition(null, TERMINATION_DATE_1, FUNDING_LEG_FIXED_REC_DEFINITION, EQUITY_DEFINITION, NOTIONAL_TRS, GBP, 1.0);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullTerminationDate() {
new EquityTotalReturnSwapDefinition(EFFECTIVE_DATE_1, null, FUNDING_LEG_FIXED_REC_DEFINITION, EQUITY_DEFINITION, NOTIONAL_TRS, GBP, 1.0);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFundingLeg() {
new EquityTotalReturnSwapDefinition(EFFECTIVE_DATE_1, TERMINATION_DATE_1, null, EQUITY_DEFINITION, NOTIONAL_TRS, GBP, 1.0);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullUnderlyingEquity() {
new EquityTotalReturnSwapDefinition(EFFECTIVE_DATE_1, TERMINATION_DATE_1, FUNDING_LEG_FIXED_REC_DEFINITION, null, NOTIONAL_TRS, GBP, 1.0);
}
@Test
public void getter() {
assertEquals("EquityTotalReturnSwapDefinition: getter", EFFECTIVE_DATE_1, TRS_PAY_FIXED_REC_DEFINITION.getEffectiveDate());
assertEquals("EquityTotalReturnSwapDefinition: getter", TERMINATION_DATE_1, TRS_PAY_FIXED_REC_DEFINITION.getTerminationDate());
assertEquals("EquityTotalReturnSwapDefinition: getter", FUNDING_LEG_FIXED_REC_DEFINITION, TRS_PAY_FIXED_REC_DEFINITION.getFundingLeg());
assertEquals("EquityTotalReturnSwapDefinition: getter", EQUITY_DEFINITION, TRS_PAY_FIXED_REC_DEFINITION.getAsset());
assertEquals("EquityTotalReturnSwapDefinition: getter", DIVIDEND_RATIO, TRS_PAY_FIXED_REC_DEFINITION.getDividendPercentage());
}
@Test
public void toDerivative() {
double effectiveTime = TimeCalculator.getTimeBetween(REFERENCE_DATE_1, EFFECTIVE_DATE_1);
double terminationTime = TimeCalculator.getTimeBetween(REFERENCE_DATE_1, TERMINATION_DATE_1);
Annuity<? extends Payment> fundingLeg = FUNDING_LEG_FIXED_REC_DEFINITION.toDerivative(REFERENCE_DATE_1);
Equity equity = new Equity(OG_LEGAL_ENTITY, GBP, NB_SHARES);
EquityTotalReturnSwap trsExpected = new EquityTotalReturnSwap(effectiveTime, terminationTime, fundingLeg, equity, NOTIONAL_TRS, GBP, DIVIDEND_RATIO);
EquityTotalReturnSwap trsConverted = TRS_PAY_FIXED_REC_DEFINITION.toDerivative(REFERENCE_DATE_1);
assertEquals("BondTotalReturnSwapDefinition: toDerivative", trsExpected, trsConverted);
}
}