/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.instrument.fra; import static org.testng.AssertJUnit.assertEquals; import static org.testng.AssertJUnit.assertFalse; import static org.testng.AssertJUnit.assertTrue; import org.testng.annotations.Test; import org.threeten.bp.LocalDateTime; import org.threeten.bp.LocalTime; import org.threeten.bp.Period; import org.threeten.bp.ZoneOffset; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.datasets.CalendarGBP; import com.opengamma.analytics.financial.instrument.index.IborIndex; import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement; import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed; import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.financial.convention.businessday.BusinessDayConvention; import com.opengamma.financial.convention.businessday.BusinessDayConventions; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.calendar.MondayToFridayCalendar; import com.opengamma.financial.convention.daycount.DayCount; import com.opengamma.financial.convention.daycount.DayCounts; import com.opengamma.timeseries.DoubleTimeSeries; import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries; import com.opengamma.util.money.Currency; import com.opengamma.util.test.TestGroup; import com.opengamma.util.time.DateUtils; /** * Tests the ForwardRateAgreementDefinition construction. */ @Test(groups = TestGroup.UNIT) public class ForwardRateAgreementDefinitionTest { // Index private static final Period TENOR = Period.ofMonths(3); private static final int SETTLEMENT_DAYS = 2; private static final Calendar CALENDAR = new MondayToFridayCalendar("A"); private static final Calendar PAY_CALENDAR = new CalendarGBP("B"); private static final DayCount DAY_COUNT_INDEX = DayCounts.ACT_360; private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING; private static final boolean IS_EOM = true; private static final Currency CUR = Currency.EUR; private static final IborIndex INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor"); // Dates : The above dates are not standard but selected for insure correct testing. private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2011, 1, 3); private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 1, 6); private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 4, 4); private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2011, 1, 7); private static final ZonedDateTime FIXING_START_DATE = ScheduleCalculator.getAdjustedDate(FIXING_DATE, SETTLEMENT_DAYS, CALENDAR); private static final ZonedDateTime FIXING_END_DATE = ScheduleCalculator.getAdjustedDate(FIXING_START_DATE, TENOR, BUSINESS_DAY, CALENDAR, IS_EOM); private static final DayCount DAY_COUNT_PAYMENT = DayCounts.ACT_365; private static final double ACCRUAL_FACTOR_PAYMENT = DAY_COUNT_PAYMENT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE); private static final double FRA_RATE = 0.05; private static final double NOTIONAL = 1000000; //1m // Coupon with specific payment and accrual dates. private static final ForwardRateAgreementDefinition FRA_DEFINITION_1 = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); private static final ForwardRateAgreementDefinition FRA_DEFINITION_2 = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, FIXING_START_DATE.plusDays(1), FIXING_END_DATE.plusDays(1), INDEX, FRA_RATE, CALENDAR); private static final ForwardRateAgreementDefinition FRA_DEFINITION_3 = ForwardRateAgreementDefinition.from(FRA_DEFINITION_1, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); private static final ForwardRateAgreementDefinition FRA_DEFINITION_4 = ForwardRateAgreementDefinition.from(ACCRUAL_START_DATE, ACCRUAL_END_DATE, NOTIONAL, INDEX, FRA_RATE, CALENDAR); private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27); //For conversion to derivative @Test(expectedExceptions = IllegalArgumentException.class) public void testNullCurrency() { new ForwardRateAgreementDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullPaymentDate() { new ForwardRateAgreementDefinition(CUR, null, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullAccrualStart() { new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, null, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullAccrualEnd() { new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, null, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullFixingDate() { new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, null, INDEX, FRA_RATE, CALENDAR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullIndex() { new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, null, FRA_RATE, CALENDAR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testIncorrectCurrency() { final Currency EUR = Currency.EUR; new ForwardRateAgreementDefinition(EUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, null, FRA_RATE, CALENDAR); } @Test public void getter() { assertEquals(FRA_DEFINITION_1.getAccrualStartDate(), ACCRUAL_START_DATE); assertEquals(FRA_DEFINITION_1.getAccrualEndDate(), ACCRUAL_END_DATE); assertEquals(FRA_DEFINITION_1.getIndex(), INDEX); assertEquals(FRA_DEFINITION_1.getPaymentYearFraction(), ACCRUAL_FACTOR_PAYMENT); assertEquals(FRA_DEFINITION_1.getRate(), FRA_RATE); assertEquals(FRA_DEFINITION_1.getFixingPeriodStartDate(), FIXING_START_DATE); assertEquals(FRA_DEFINITION_1.getFixingPeriodEndDate(), FIXING_END_DATE); assertEquals(FRA_DEFINITION_2.getFixingPeriodStartDate(), FIXING_START_DATE.plusDays(1)); assertEquals(FRA_DEFINITION_2.getFixingPeriodEndDate(), FIXING_END_DATE.plusDays(1)); assertEquals(FRA_DEFINITION_3.getAccrualStartDate(), ACCRUAL_START_DATE); assertEquals(FRA_DEFINITION_3.getAccrualEndDate(), ACCRUAL_END_DATE); assertEquals(FRA_DEFINITION_3.getIndex(), INDEX); assertEquals(FRA_DEFINITION_3.getPaymentYearFraction(), ACCRUAL_FACTOR_PAYMENT); assertEquals(FRA_DEFINITION_3.getRate(), FRA_RATE); assertEquals(FRA_DEFINITION_3.getFixingPeriodStartDate(), FIXING_START_DATE); assertEquals(FRA_DEFINITION_3.getFixingPeriodEndDate(), FIXING_END_DATE); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getAccrualStartDate(), ACCRUAL_START_DATE); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getAccrualEndDate(), ACCRUAL_END_DATE); final double accrualFactorPay = DAY_COUNT_INDEX.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getPaymentYearFraction(), accrualFactorPay); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getPaymentDate(), ACCRUAL_START_DATE); final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATE, -SETTLEMENT_DAYS, CALENDAR); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getFixingDate(), fixingDate); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getIndex(), INDEX); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getRate(), FRA_RATE); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getFixingPeriodStartDate(), ACCRUAL_START_DATE); final ZonedDateTime fixingPeriodEndDate = ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATE, INDEX, CALENDAR); assertEquals("ForwardRateAgreementDefinition: from", FRA_DEFINITION_4.getFixingPeriodEndDate(), fixingPeriodEndDate); } @Test public void fromTrade() { final ZonedDateTime tradeDate = DateUtils.getUTCDate(2011, 1, 3); final Period startPeriod = Period.ofMonths(6); final ForwardRateAgreementDefinition fraFromTrade = ForwardRateAgreementDefinition.fromTrade(tradeDate, startPeriod, NOTIONAL, INDEX, FRA_RATE, CALENDAR); final Period endPeriod = Period.ofMonths(9); final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(tradeDate, SETTLEMENT_DAYS, CALENDAR); final ZonedDateTime accrualStartDate = ScheduleCalculator.getAdjustedDate(spotDate, startPeriod, INDEX, CALENDAR); final ZonedDateTime accrualEndDate = ScheduleCalculator.getAdjustedDate(spotDate, endPeriod, INDEX, CALENDAR); final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(accrualStartDate, -SETTLEMENT_DAYS, CALENDAR); final double accrualFactor = DAY_COUNT_INDEX.getDayCountFraction(accrualStartDate, accrualEndDate); final ForwardRateAgreementDefinition fraExpected = new ForwardRateAgreementDefinition(CUR, accrualStartDate, accrualStartDate, accrualEndDate, accrualFactor, NOTIONAL, fixingDate, INDEX, FRA_RATE, CALENDAR); assertEquals("FRA builder", fraExpected, fraFromTrade); } @Test public void equalHash() { assertTrue(FRA_DEFINITION_1.equals(FRA_DEFINITION_1)); final ForwardRateAgreementDefinition newFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(newFRA.equals(FRA_DEFINITION_1), true); assertEquals(newFRA.hashCode() == FRA_DEFINITION_1.hashCode(), true); ForwardRateAgreementDefinition modifiedFRA; modifiedFRA = new ForwardRateAgreementDefinition(CUR, ACCRUAL_START_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, PAYMENT_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, FIXING_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT + 0.10, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL + 1.0, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, PAYMENT_DATE, INDEX, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE + 0.10, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor"); modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, otherIndex, FRA_RATE, CALENDAR); assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false); assertFalse(FRA_DEFINITION_1.equals(CUR)); assertFalse(FRA_DEFINITION_1.equals(null)); } @Test public void toDerivativeNotFixed() { final DayCount actAct = DayCounts.ACT_ACT_ISDA; final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.of(REFERENCE_DATE.toLocalDate(), LocalTime.MIDNIGHT), ZoneOffset.UTC); final double paymentTime = actAct.getDayCountFraction(zonedDate, PAYMENT_DATE); final double fixingTime = actAct.getDayCountFraction(zonedDate, FIXING_DATE); final double fixingPeriodStartTime = actAct.getDayCountFraction(zonedDate, FRA_DEFINITION_1.getFixingPeriodStartDate()); final double fixingPeriodEndTime = actAct.getDayCountFraction(zonedDate, FRA_DEFINITION_1.getFixingPeriodEndDate()); final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, INDEX, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime, FRA_DEFINITION_1.getFixingPeriodAccrualFactor(), FRA_RATE); final ForwardRateAgreement convertedFra = (ForwardRateAgreement) FRA_DEFINITION_1.toDerivative(REFERENCE_DATE); assertEquals(convertedFra, fra); assertEquals(fra, convertedFra); final double shift = 0.01; final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(FIXING_DATE, FRA_RATE + shift); final ForwardRateAgreement convertedFra2 = (ForwardRateAgreement) FRA_DEFINITION_3.toDerivative(REFERENCE_DATE, fixingTS); assertEquals(fra, convertedFra2); } @Test public void toDerivativeFixed() { final ZonedDateTime referenceFixed = DateUtils.getUTCDate(2011, 1, 4); final ForwardRateAgreementDefinition fraFixed = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE, CALENDAR); final double shift = 0.01; final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(FIXING_DATE, FRA_RATE + shift); final DayCount actAct = DayCounts.ACT_ACT_ISDA; final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.of(referenceFixed.toLocalDate(), LocalTime.MIDNIGHT), ZoneOffset.UTC); final double paymentTime = actAct.getDayCountFraction(zonedDate, PAYMENT_DATE); final CouponFixed fra = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, (FRA_RATE + shift) - FRA_RATE); final Payment convertedFra = fraFixed.toDerivative(referenceFixed, fixingTS); assertEquals(convertedFra.equals(fra), true); } @Test public void testPaymentCalendar() { // Set payment date to Good Friday, also following Monday is Easter Monday - should adjust to following Tuesday ForwardRateAgreementDefinition def = ForwardRateAgreementDefinition.from(DateUtils.getUTCDate(2014, 4, 18), DateUtils.getUTCDate(2014, 10, 18), NOTIONAL, INDEX, FRA_RATE, CALENDAR, PAY_CALENDAR); assertTrue(CALENDAR.isWorkingDay(DateUtils.getUTCDate(2014, 4, 18).toLocalDate())); assertTrue(PAY_CALENDAR.isWorkingDay(def.getPaymentDate().toLocalDate())); assertEquals(DateUtils.getUTCDate(2014, 4, 22), def.getPaymentDate()); } }