/**
* Copyright (C) 2011 - 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.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
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.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests the interest rate future option with margin transaction description.
*/
@Test(groups = TestGroup.UNIT)
public class InterestRateFutureOptionMarginTransactionDefinitionTest {
//EURIBOR 3M 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 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 IBOR_INDEX = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor");
// Future option mid-curve 1Y
private static final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
private static final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -SETTLEMENT_DAYS, CALENDAR);
private static final double NOTIONAL = 1000000.0; // 1m
private static final double FUTURE_FACTOR = 0.25;
private static final String NAME = "ERU2";
private static final double STRIKE = 0.9895;
private static final InterestRateFutureSecurityDefinition ERU2 = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
private static final ZonedDateTime EXPIRATION_DATE = DateUtils.getUTCDate(2011, 9, 16);
private static final boolean IS_CALL = true;
private static final InterestRateFutureOptionMarginSecurityDefinition OPTION_ERU2 = new InterestRateFutureOptionMarginSecurityDefinition(ERU2, EXPIRATION_DATE, STRIKE, IS_CALL);
// Transaction
private static final int QUANTITY = -123;
private static final ZonedDateTime TRADE_DATE = DateUtils.getUTCDate(2011, 5, 12);
private static final double TRADE_PRICE = 0.0050;
private static final InterestRateFutureOptionMarginTransactionDefinition OPTION_TRANSACTION = new InterestRateFutureOptionMarginTransactionDefinition(OPTION_ERU2, QUANTITY, TRADE_DATE, TRADE_PRICE);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 5, 13);
private static final String DISCOUNTING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAMES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME };
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullUnderlying() {
new InterestRateFutureOptionMarginTransactionDefinition(null, QUANTITY, TRADE_DATE, TRADE_PRICE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTradeDate() {
new InterestRateFutureOptionMarginTransactionDefinition(OPTION_ERU2, QUANTITY, null, TRADE_PRICE);
}
@Test
/**
* Tests the class getters.
*/
public void getter() {
assertEquals(OPTION_ERU2, OPTION_TRANSACTION.getUnderlyingSecurity());
assertEquals(QUANTITY, OPTION_TRANSACTION.getQuantity());
assertEquals(TRADE_DATE, OPTION_TRANSACTION.getTradeDate());
assertEquals(TRADE_PRICE, OPTION_TRANSACTION.getTradePrice());
}
@Test
/**
* Tests the equal and hashCode methods.
*/
public void equalHash() {
final InterestRateFutureOptionMarginTransactionDefinition other = new InterestRateFutureOptionMarginTransactionDefinition(OPTION_ERU2, QUANTITY, TRADE_DATE, TRADE_PRICE);
assertTrue(OPTION_TRANSACTION.equals(other));
assertTrue(OPTION_TRANSACTION.hashCode() == other.hashCode());
InterestRateFutureOptionMarginTransactionDefinition modifidOption;
modifidOption = new InterestRateFutureOptionMarginTransactionDefinition(OPTION_ERU2, QUANTITY + 1, TRADE_DATE, TRADE_PRICE);
assertFalse(OPTION_TRANSACTION.equals(modifidOption));
modifidOption = new InterestRateFutureOptionMarginTransactionDefinition(OPTION_ERU2, QUANTITY, LAST_TRADING_DATE, TRADE_PRICE);
assertFalse(OPTION_TRANSACTION.equals(modifidOption));
modifidOption = new InterestRateFutureOptionMarginTransactionDefinition(OPTION_ERU2, QUANTITY, TRADE_DATE, TRADE_PRICE - 0.00001);
assertFalse(OPTION_TRANSACTION.equals(modifidOption));
}
@Test
public void toDerivativeTradeInPast() {
final InterestRateFutureOptionMarginSecurity securityConverted = OPTION_ERU2.toDerivative(REFERENCE_DATE);
final double lastMarginPrice = 0.99;
final InterestRateFutureOptionMarginTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, lastMarginPrice);
final InterestRateFutureOptionMarginTransaction transaction = new InterestRateFutureOptionMarginTransaction(securityConverted, QUANTITY, lastMarginPrice);
assertTrue("Conversion with trade date in the past", transactionConverted.equals(transaction));
}
@Test
public void toDerivativeTradeToday() {
final ZonedDateTime referenceDate = TRADE_DATE;
final InterestRateFutureOptionMarginSecurity securityConverted = OPTION_ERU2.toDerivative(referenceDate);
final double lastMarginPrice = 0.99;
final InterestRateFutureOptionMarginTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, lastMarginPrice);
final InterestRateFutureOptionMarginTransaction transaction = new InterestRateFutureOptionMarginTransaction(securityConverted, QUANTITY, TRADE_PRICE);
assertTrue("Conversion with trade date in the past", transactionConverted.equals(transaction));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void toDerivativeTradeFuture() {
final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, -1, CALENDAR);
final double lastMarginPrice = 0.99;
OPTION_TRANSACTION.toDerivative(referenceDate, lastMarginPrice);
}
}