/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.cash.definition;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositIbor;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.CalendarNoHoliday;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class DepositIborDefinitionTest {
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final IborIndex INDEX = IndexIborMaster.getInstance().getIndex("EURIBOR6M");
private static final Calendar NO_HOLIDAYS = new CalendarNoHoliday("No Holidays");
private static final Currency EUR = INDEX.getCurrency();
private static final ZonedDateTime TRADE_DATE = DateUtils.getUTCDate(2011, 12, 12);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(TRADE_DATE, INDEX.getSpotLag(), TARGET);
private static final double NOTIONAL = 100000000;
private static final double RATE = 0.0250;
private static final ZonedDateTime END_DATE = ScheduleCalculator.getAdjustedDate(SPOT_DATE, INDEX, NO_HOLIDAYS);
private static final double DEPOSIT_AF = INDEX.getDayCount().getDayCountFraction(SPOT_DATE, END_DATE);
private static final DepositIborDefinition DEPOSIT_IBOR_DEFINITION = new DepositIborDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
private static final String CURVE_NAME = "Curve";
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
new DepositIborDefinition(null, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullIndex() {
new DepositIborDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, null);
}
@Test
/**
* Tests the getters
*/
public void getter() {
assertEquals("DepositIborDefinition: getter", SPOT_DATE, DEPOSIT_IBOR_DEFINITION.getStartDate());
assertEquals("DepositIborDefinition: getter", END_DATE, DEPOSIT_IBOR_DEFINITION.getEndDate());
assertEquals("DepositIborDefinition: getter", NOTIONAL, DEPOSIT_IBOR_DEFINITION.getNotional());
assertEquals("DepositIborDefinition: getter", RATE, DEPOSIT_IBOR_DEFINITION.getRate());
assertEquals("DepositIborDefinition: getter", EUR, DEPOSIT_IBOR_DEFINITION.getCurrency());
assertEquals("DepositIborDefinition: getter", DEPOSIT_AF, DEPOSIT_IBOR_DEFINITION.getAccrualFactor());
assertEquals("DepositIborDefinition: getter", RATE * NOTIONAL * DEPOSIT_AF, DEPOSIT_IBOR_DEFINITION.getInterestAmount());
assertEquals("DepositIborDefinition: getter", INDEX, DEPOSIT_IBOR_DEFINITION.getIndex());
}
@Test
/**
* Tests the builders.
*/
public void from() {
final DepositIborDefinition fromTradeTenor = DepositIborDefinition.fromTrade(TRADE_DATE, NOTIONAL, RATE, INDEX, NO_HOLIDAYS);
assertEquals("DepositDefinition: from", DEPOSIT_IBOR_DEFINITION, fromTradeTenor);
final DepositIborDefinition fromStartTenor = DepositIborDefinition.fromStart(SPOT_DATE, NOTIONAL, RATE, INDEX, NO_HOLIDAYS);
assertEquals("DepositDefinition: from", DEPOSIT_IBOR_DEFINITION, fromStartTenor);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeTrade() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
final DepositIbor converted = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositIbor expected = new DepositIbor(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeBetweenTradeAndSettle() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
final DepositIbor converted = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositIbor expected = new DepositIbor(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeSettle() {
final ZonedDateTime referenceDate = SPOT_DATE;
final DepositIbor converted = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositIbor expected = new DepositIbor(EUR, startTime, endTime, NOTIONAL, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeBetweenSettleMaturity() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
final DepositIbor converted = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositIbor expected = new DepositIbor(EUR, startTime, endTime, NOTIONAL, 0, RATE, DEPOSIT_AF, INDEX);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
@Test
/**
* Tests toDerivative.
*/
public void toDerivativeMaturity() {
final ZonedDateTime referenceDate = END_DATE;
final DepositIbor converted = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
final double startTime = 0;
final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
final DepositIbor expected = new DepositIbor(EUR, startTime, endTime, NOTIONAL, 0, RATE, DEPOSIT_AF, INDEX);
assertEquals("DepositDefinition: toDerivative", expected, converted);
}
}