/** * 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.payments.derivative.Coupon; import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed; 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; /** * Test. */ @Test(groups = TestGroup.UNIT) public class CapFloorInflationZeroCouponInterpolationDefinitiontest { 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 int MATURITY = 10; private static final Period COUPON_TENOR = Period.ofYears(MATURITY); 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 double INDEX_START_VALUE = 100; private static final ZonedDateTime REFERENCE_START_DATE = ACCRUAL_START_DATE.minusMonths(MONTH_LAG); private static final ZonedDateTime[] REFERENCE_START_DATES = new ZonedDateTime[2]; static { REFERENCE_START_DATES[0] = ACCRUAL_START_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1); REFERENCE_START_DATES[1] = REFERENCE_START_DATES[0].plusMonths(1); } private static final ZonedDateTime[] REFERENCE_END_DATE = new ZonedDateTime[2]; static { REFERENCE_END_DATE[0] = PAYMENT_DATE.minusMonths(MONTH_LAG).withDayOfMonth(1); REFERENCE_END_DATE[1] = REFERENCE_END_DATE[0].plusMonths(1); } private static final double WEIGHT = 0.2; private static final CapFloorInflationZeroCouponInterpolationDefinition ZERO_COUPON_CAP_DEFINITION = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, MONTH_LAG, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA; @Test(expectedExceptions = IllegalArgumentException.class) public void testNullCurrency() { new CapFloorInflationZeroCouponInterpolationDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullPay() { new CapFloorInflationZeroCouponInterpolationDefinition(CUR, null, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullStart() { new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, null, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullEnd() { new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, null, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullIndex() { new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, null, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRefEnd() { new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, null, WEIGHT, STRIKE, IS_CAP); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullLastKnownFixingDate() { new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, null, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); } @Test /** * Tests the class getter. */ public void getter() { assertEquals("Inflation Zero Coupon cap: getter", CUR, ZERO_COUPON_CAP_DEFINITION.getCurrency()); assertEquals("Inflation Zero Coupon cap: getter", PAYMENT_DATE, ZERO_COUPON_CAP_DEFINITION.getPaymentDate()); assertEquals("Inflation Zero Coupon cap: getter", ACCRUAL_START_DATE, ZERO_COUPON_CAP_DEFINITION.getAccrualStartDate()); assertEquals("Inflation Zero Coupon cap: getter", ACCRUAL_END_DATE, ZERO_COUPON_CAP_DEFINITION.getAccrualEndDate()); assertEquals("Inflation Zero Coupon cap: getter", LAST_KNOWN_FIXING_DATE, ZERO_COUPON_CAP_DEFINITION.getLastKnownFixingDate()); assertEquals("Inflation Zero Coupon cap: getter", 1.0, ZERO_COUPON_CAP_DEFINITION.getPaymentYearFraction()); assertEquals("Inflation Zero Coupon cap: getter", NOTIONAL, ZERO_COUPON_CAP_DEFINITION.getNotional()); assertEquals("Inflation Zero Coupon cap: getter", PRICE_INDEX, ZERO_COUPON_CAP_DEFINITION.getPriceIndex()); assertEquals("Inflation Zero Coupon cap: getter", REFERENCE_END_DATE, ZERO_COUPON_CAP_DEFINITION.getReferenceEndDates()); assertEquals("Inflation Zero Coupon cap: getter", MONTH_LAG, ZERO_COUPON_CAP_DEFINITION.getMonthLag()); assertEquals("Inflation Zero Coupon cap: getter", IS_CAP, ZERO_COUPON_CAP_DEFINITION.isCap()); assertEquals("Inflation Zero Coupon cap: getter", WEIGHT, ZERO_COUPON_CAP_DEFINITION.getWeight()); assertEquals("Inflation Zero Coupon cap: getter", 1.0, ZERO_COUPON_CAP_DEFINITION.getPaymentYearFraction()); assertEquals("Inflation Zero Coupon cap: getter", STRIKE, ZERO_COUPON_CAP_DEFINITION.getStrike()); } @Test /** * Tests the equal and hash-code methods. */ public void equalHash() { assertEquals(ZERO_COUPON_CAP_DEFINITION, ZERO_COUPON_CAP_DEFINITION); final CapFloorInflationZeroCouponInterpolationDefinition couponDuplicate = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertEquals(ZERO_COUPON_CAP_DEFINITION, couponDuplicate); assertEquals(ZERO_COUPON_CAP_DEFINITION.hashCode(), couponDuplicate.hashCode()); CapFloorInflationZeroCouponInterpolationDefinition modified; modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE.minusDays(1), ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.minusDays(1), ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE.minusDays(1), 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); final ZonedDateTime[] modifiedReferenceStartDate = new ZonedDateTime[2]; modifiedReferenceStartDate[0] = REFERENCE_START_DATES[0]; modifiedReferenceStartDate[1] = REFERENCE_START_DATES[1].minusDays(1); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, modifiedReferenceStartDate, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); final ZonedDateTime[] modifiedReferenceEndDate = new ZonedDateTime[2]; modifiedReferenceEndDate[0] = REFERENCE_END_DATE[0]; modifiedReferenceEndDate[1] = REFERENCE_END_DATE[1].minusDays(1); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, modifiedReferenceEndDate, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 2.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL + 1.0, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT + .1, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE + .01, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, false); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE.minusDays(1), MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG - 1, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); final IndexPrice modifiedPriceIndex = new IndexPrice("US CPI x", Currency.USD); modified = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, modifiedPriceIndex, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); assertFalse(ZERO_COUPON_CAP_DEFINITION.equals(modified)); } @Test /** * Tests the first based on indexation lag. */ public void from() { final CapFloorInflationZeroCouponInterpolationDefinition constructor = new CapFloorInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, LAST_KNOWN_FIXING_DATE, MONTH_LAG, 3, MATURITY, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, STRIKE, IS_CAP); final CouponInflationZeroCouponInterpolationDefinition zeroCoupon = new CouponInflationZeroCouponInterpolationDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATES, REFERENCE_END_DATE, WEIGHT, false); final CapFloorInflationZeroCouponInterpolationDefinition from = CapFloorInflationZeroCouponInterpolationDefinition.from(zeroCoupon, LAST_KNOWN_FIXING_DATE, MATURITY, STRIKE, IS_CAP); assertEquals("Inflation zero-coupon : from", constructor, from); } // those two tests could be useful if we decide to add an indexstartvalue /*@Test public void toDerivativesNoData() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29); final Coupon zeroCouponConverted = ZERO_COUPON_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 referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]); final double referenceEndTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]); final double naturalPaymentPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE); final double[] referenceEndTime = new double[2]; referenceEndTime[0] = referenceEndTime0; referenceEndTime[1] = referenceEndTime1; final CapFloorInflationZeroCouponInterpolation zeroCoupon = new CapFloorInflationZeroCouponInterpolation(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, INDEX_START_VALUE, referenceEndTime, naturalPaymentPaymentTime, MATURITY, WEIGHT, 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 = ZERO_COUPON_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 referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]); final double referenceEndTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]); final double naturalPaymentPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE); final double[] referenceEndTime = new double[2]; referenceEndTime[0] = referenceEndTime0; referenceEndTime[1] = referenceEndTime1; final CapFloorInflationZeroCouponInterpolation zeroCoupon = new CapFloorInflationZeroCouponInterpolation(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, INDEX_START_VALUE, referenceEndTime, naturalPaymentPaymentTime, MATURITY, WEIGHT, 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 = ZERO_COUPON_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 * 128.23 + (1 - WEIGHT) * 128.43) / INDEX_START_VALUE - 1.0 - Math.pow(1 + STRIKE, MATURITY), 0.0)); assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted); } }