/**
* 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 org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.provider.description.IssuerProviderDiscountDataSets;
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.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the definition of Yield average bond futures (in particular for AUD-SFE futures).
*/
@Test(groups = TestGroup.UNIT)
public class BondFuturesYieldAverageSecurityDefinitionTest {
// Bonds: Delivery basket SFE 10Y
private static final Currency AUD = Currency.AUD;
// AUD defaults
private static final LegalEntity ISSUER_LEGAL_ENTITY = IssuerProviderDiscountDataSets.getIssuersAUS();
private static final Period PAYMENT_TENOR = Period.ofMonths(6);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT = DayCounts.ACT_ACT_ICMA;
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.FOLLOWING;
private static final boolean IS_EOM = false;
private static final int SETTLEMENT_DAYS = 3;
private static final int EX_DIVIDEND_DAYS = 7;
private static final YieldConvention YIELD_CONVENTION = SimpleYieldConvention.AUSTRALIA_EX_DIVIDEND;
private static final double NOTIONAL_BOND = 100;
private static final double NOTIONAL_FUTURES = 10000;
private static final ZonedDateTime LAST_TRADING_DATE = DateUtils.getUTCDate(2014, 3, 17);
// private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2014, 1, 10);
// ASX 10 Year Bond Contract - March 14
private static final double[] UNDERLYING_COUPON = {0.0575, 0.0550, 0.0275, 0.0325};
private static final ZonedDateTime[] UNDERLYING_MATURITY_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2022, 7, 15), DateUtils.getUTCDate(2023, 4, 15),
DateUtils.getUTCDate(2024, 4, 15), DateUtils.getUTCDate(2025, 4, 15)};
private static final int NB_BOND = UNDERLYING_COUPON.length;
private static final ZonedDateTime[] START_ACCRUAL_DATE = new ZonedDateTime[NB_BOND];
private static final BondFixedSecurityDefinition[] BASKET_SECURITY_DEFINITION = new BondFixedSecurityDefinition[NB_BOND];
static {
for(int loopbond=0; loopbond<NB_BOND; loopbond++) {
START_ACCRUAL_DATE[loopbond] = UNDERLYING_MATURITY_DATE[loopbond].minusYears(12);
BASKET_SECURITY_DEFINITION[loopbond] = BondFixedSecurityDefinition.from(AUD, START_ACCRUAL_DATE[loopbond], UNDERLYING_MATURITY_DATE[loopbond], PAYMENT_TENOR,
UNDERLYING_COUPON[loopbond], SETTLEMENT_DAYS, NOTIONAL_BOND, EX_DIVIDEND_DAYS, CALENDAR, DAY_COUNT, BUSINESS_DAY, YIELD_CONVENTION, IS_EOM, ISSUER_LEGAL_ENTITY, "Repo");
}
}
private static final double SYNTHETIC_COUPON = 0.06;
private static final int TENOR = 10;
private static final BondFuturesYieldAverageSecurityDefinition FUT_SEC_DEFINITION = new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE,
BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullLastTrading() {
new BondFuturesYieldAverageSecurityDefinition(null, BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullBasket() {
new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE, null, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
}
@Test
public void getter() {
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", LAST_TRADING_DATE, FUT_SEC_DEFINITION.getLastTradingDate());
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", SETTLEMENT_DAYS, FUT_SEC_DEFINITION.getSettlementDays());
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", ScheduleCalculator.getAdjustedDate(LAST_TRADING_DATE, SETTLEMENT_DAYS, CALENDAR),
FUT_SEC_DEFINITION.getDeliveryDate());
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", BASKET_SECURITY_DEFINITION, FUT_SEC_DEFINITION.getDeliveryBasket());
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", SYNTHETIC_COUPON, FUT_SEC_DEFINITION.getCouponRate());
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", TENOR, FUT_SEC_DEFINITION.getTenor());
assertEquals("YieldAverageBondFuturesSecurityDefinition: getter", NOTIONAL_FUTURES, FUT_SEC_DEFINITION.getNotional());
}
@Test
public void equalHash() {
final BondFuturesYieldAverageSecurityDefinition other = new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE,
BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
assertEquals("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_SEC_DEFINITION, other);
assertEquals("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_SEC_DEFINITION.hashCode(), other.hashCode());
BondFuturesYieldAverageSecurityDefinition modified;
modified = new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE.plusDays(1), BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_SEC_DEFINITION.equals(modified));
final BondFixedSecurityDefinition[] basketModified = new BondFixedSecurityDefinition[NB_BOND-1];
System.arraycopy(BASKET_SECURITY_DEFINITION, 0, basketModified, 0, NB_BOND-1);
modified = new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE, BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON+0.01, TENOR, NOTIONAL_FUTURES);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_SEC_DEFINITION.equals(modified));
modified = new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE, BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON, TENOR+1, NOTIONAL_FUTURES);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_SEC_DEFINITION.equals(modified));
modified = new BondFuturesYieldAverageSecurityDefinition(LAST_TRADING_DATE, BASKET_SECURITY_DEFINITION, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES*10);
assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_SEC_DEFINITION.equals(modified));
}
}