/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
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.ZonedDateTime;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesSecurity;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to bond futures option security Definition construction.
*/
@Test(groups = TestGroup.UNIT)
public class BondFuturesOptionMarginSecurityDefinitionTest {
private static final BondFuturesSecurityDefinition BOBLM4_DEFINITION = BondFuturesDataSets.boblM4Definition();
private static final double STRIKE_125 = 1.25;
private static final ZonedDateTime EXPIRY_DATE_OPT = DateUtils.getUTCDate(2014, 6, 5);
private static final ZonedDateTime LAST_TRADING_DATE_OPT = DateUtils.getUTCDate(2014, 6, 4);
private static final boolean IS_CALL = true;
private static final BondFuturesOptionMarginSecurityDefinition CALL_BOBLM4_DEFINITION =
new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT, STRIKE_125, IS_CALL);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullUnderlying() {
new BondFuturesOptionMarginSecurityDefinition(null, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT, STRIKE_125, true);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullExpiry() {
new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT, null, STRIKE_125, true);
}
/**
* Tests the getter methods.
*/
public void getter() {
assertEquals("BondFuturesOptionMarginSecurityDefinition: getter", BOBLM4_DEFINITION, CALL_BOBLM4_DEFINITION.getUnderlyingFuture());
assertEquals("BondFuturesOptionMarginSecurityDefinition: getter", EXPIRY_DATE_OPT, CALL_BOBLM4_DEFINITION.getExpirationDate());
assertEquals("BondFuturesOptionMarginSecurityDefinition: getter", STRIKE_125, CALL_BOBLM4_DEFINITION.getStrike());
assertEquals("BondFuturesOptionMarginSecurityDefinition: getter", true, CALL_BOBLM4_DEFINITION.isCall());
}
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
assertTrue("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(CALL_BOBLM4_DEFINITION));
final BondFuturesOptionMarginSecurityDefinition duplicated = new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT, STRIKE_125, true);
assertTrue("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(duplicated));
assertTrue("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.hashCode() == duplicated.hashCode());
BondFuturesOptionMarginSecurityDefinition modified;
final BondFuturesSecurityDefinition futuresModified = new BondFuturesSecurityDefinition(BOBLM4_DEFINITION.getLastTradingDate(), BOBLM4_DEFINITION.getNoticeFirstDate(),
BOBLM4_DEFINITION.getNoticeLastDate().plusDays(1), BOBLM4_DEFINITION.getNotional(), BOBLM4_DEFINITION.getDeliveryBasket(), BOBLM4_DEFINITION.getConversionFactor());
modified = new BondFuturesOptionMarginSecurityDefinition(futuresModified, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT, STRIKE_125, true);
assertFalse("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(modified));
modified = new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT.plusDays(1), STRIKE_125, true);
assertFalse("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(modified));
modified = new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT.plusDays(1), EXPIRY_DATE_OPT, STRIKE_125, true);
assertFalse("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(modified));
modified = new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT, STRIKE_125 + 1, true);
assertFalse("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(modified));
modified = new BondFuturesOptionMarginSecurityDefinition(BOBLM4_DEFINITION, LAST_TRADING_DATE_OPT, EXPIRY_DATE_OPT, STRIKE_125 + 1, false);
assertFalse("BondFuturesOptionMarginSecurityDefinition: equal-hash", CALL_BOBLM4_DEFINITION.equals(modified));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullToDerivativeDate() {
CALL_BOBLM4_DEFINITION.toDerivative(null);
}
/**
* Tests the toDerivative method.
*/
public void toDerivative() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2014, 3, 31);
final double expirationTime = TimeCalculator.getTimeBetween(referenceDate, EXPIRY_DATE_OPT);
final double lastTradingTime = TimeCalculator.getTimeBetween(referenceDate, LAST_TRADING_DATE_OPT);
final BondFuturesSecurity underlyingFuture = BOBLM4_DEFINITION.toDerivative(referenceDate);
final BondFuturesOptionMarginSecurity optionExpected = new BondFuturesOptionMarginSecurity(underlyingFuture, lastTradingTime, expirationTime, STRIKE_125, IS_CALL);
final BondFuturesOptionMarginSecurity optionConverted = CALL_BOBLM4_DEFINITION.toDerivative(referenceDate);
assertEquals("BondFuturesOptionMarginSecurityDefinition: toDerivative", optionExpected, optionConverted);
}
}