/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.instrument.inflation; 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.index.IndexPrice; import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearMonthly; import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon; import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.analytics.util.time.TimeCalculator; 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; /** * Test. */ @Test(groups = TestGroup.UNIT) public class CapFloorInflationYearOnYearMonthlyDefinitionTest { private static final String NAME = "Euro HICP x"; private static final Currency CUR = Currency.EUR; private static final IndexPrice PRICE_INDEX = new IndexPrice(NAME, CUR); private static final Calendar CALENDAR = new MondayToFridayCalendar("A"); private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING; private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2008, 8, 18); private static final ZonedDateTime LAST_KNOWN_FIXING_DATE = DateUtils.getUTCDate(2008, 6, 1); private static final Period COUPON_TENOR = Period.ofYears(10); private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(START_DATE, COUPON_TENOR, BUSINESS_DAY, CALENDAR); private static final ZonedDateTime ACCRUAL_END_DATE = PAYMENT_DATE; private static final ZonedDateTime ACCRUAL_START_DATE = ACCRUAL_END_DATE.minusMonths(12); private static final double NOTIONAL = 98765432; private static final int MONTH_LAG = 3; private static final double STRIKE = .02; private static final boolean IS_CAP = true; private static final ZonedDateTime REFERENCE_START_DATE = ACCRUAL_START_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1); private static final ZonedDateTime REFERENCE_END_DATE = PAYMENT_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1); private static final double WEIGHT_START = 0.2; private static final double WEIGHT_END = 0.8; private static final CapFloorInflationYearOnYearMonthlyDefinition YoY_CAP_DEFINITION = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA; @Test(expectedExceptions = IllegalArgumentException.class) public void testNullCurrency() { new CapFloorInflationYearOnYearMonthlyDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullPay() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, null, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullStart() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, null, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullEnd() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, null, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullIndex() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, null, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRefStart() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, null, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRefEnd() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, null, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullIsCap() { new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, null, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); } @Test /** * Tests the class getter. */ public void getter() { assertEquals("Inflation Year on Year cap: getter", CUR, YoY_CAP_DEFINITION.getCurrency()); assertEquals("Inflation Year on Year cap: getter", PAYMENT_DATE, YoY_CAP_DEFINITION.getPaymentDate()); assertEquals("Inflation Year on Year cap: getter", ACCRUAL_START_DATE, YoY_CAP_DEFINITION.getAccrualStartDate()); assertEquals("Inflation Year on Year cap: getter", ACCRUAL_END_DATE, YoY_CAP_DEFINITION.getAccrualEndDate()); assertEquals("Inflation Year on Year cap: getter", LAST_KNOWN_FIXING_DATE, YoY_CAP_DEFINITION.getLastKnownFixingDate()); assertEquals("Inflation Year on Year cap: getter", 1.0, YoY_CAP_DEFINITION.getPaymentYearFraction()); assertEquals("Inflation Year on Year cap: getter", NOTIONAL, YoY_CAP_DEFINITION.getNotional()); assertEquals("Inflation Year on Year cap: getter", PRICE_INDEX, YoY_CAP_DEFINITION.getPriceIndex()); assertEquals("Inflation Year on Year cap: getter", REFERENCE_START_DATE, YoY_CAP_DEFINITION.getReferenceStartDate()); assertEquals("Inflation Year on Year cap: getter", REFERENCE_END_DATE, YoY_CAP_DEFINITION.getReferenceEndDate()); assertEquals("Inflation Year on Year cap: getter", MONTH_LAG, YoY_CAP_DEFINITION.getConventionalMonthLag()); assertEquals("Inflation Year on Year cap: getter", IS_CAP, YoY_CAP_DEFINITION.isCap()); assertEquals("Inflation Year on Year cap: getter", 1.0, YoY_CAP_DEFINITION.getPaymentYearFraction()); assertEquals("Inflation Year on Year cap: getter", STRIKE, YoY_CAP_DEFINITION.getStrike()); } @Test /** * Tests the equal and hash-code methods. */ public void equalHash() { assertEquals(YoY_CAP_DEFINITION, YoY_CAP_DEFINITION); final CapFloorInflationYearOnYearMonthlyDefinition couponDuplicate = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertEquals(YoY_CAP_DEFINITION, couponDuplicate); assertEquals(YoY_CAP_DEFINITION.hashCode(), couponDuplicate.hashCode()); CapFloorInflationYearOnYearMonthlyDefinition modified; modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE.minusDays(1), ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.minusDays(1), ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE.minusDays(1), 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); final ZonedDateTime modifiedReferenceStartDate = REFERENCE_START_DATE.minusDays(1); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, modifiedReferenceStartDate, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); final ZonedDateTime modifiedReferenceEndDate = REFERENCE_END_DATE.minusDays(1); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, modifiedReferenceEndDate, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 2.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL + 10.0, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE + .01, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, false); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE.minusDays(1), MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE.minusDays(1), MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG - 1, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); final IndexPrice modifiedPriceIndex = new IndexPrice("US CPI x", Currency.USD); modified = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, modifiedPriceIndex, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); assertFalse(YoY_CAP_DEFINITION.equals(modified)); } @Test /** * Tests the first based on indexation lag. */ public void from() { final CapFloorInflationYearOnYearMonthlyDefinition constructor = new CapFloorInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, STRIKE, IS_CAP); final CouponInflationYearOnYearMonthlyDefinition yoyCoupon = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); final CapFloorInflationYearOnYearMonthlyDefinition from = CapFloorInflationYearOnYearMonthlyDefinition.from(yoyCoupon, LAST_KNOWN_FIXING_DATE, STRIKE, IS_CAP); assertEquals("Inflation zero-coupon : from", constructor, from); } @Test public void toDerivativesNoData() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29); final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate); //lastKnownFixingTime could be negatif so we don't use the dayfraction final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE); final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE); final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE); final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE); final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE); final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE); final CapFloorInflationYearOnYearMonthly zeroCoupon = new CapFloorInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, referenceStartTime, naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, STRIKE, IS_CAP); assertEquals("Inflation zero-coupon: toDerivative", zeroCouponConverted, zeroCoupon); } @Test public void toDerivativesStartMonthNotknown() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29); final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1), DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) }, new double[] { 127.23, 127.43, 128.23, 128.43 }); final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS); // lastKnownFixingTime could be negatif so we don't use the dayfraction final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE); final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE); final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE); final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE); final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE); final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE); final CapFloorInflationYearOnYearMonthly zeroCoupon = new CapFloorInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, referenceStartTime, naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, STRIKE, IS_CAP); assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted); } @Test public void toDerivativesStartMonthKnown() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25); final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1), DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) }, new double[] { 127.23, 127.43, 128.23, 128.43 }); final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS); final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE); final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max((WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) / (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0 - STRIKE, 0.0)); assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted); } }