/** * 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 org.threeten.bp.temporal.TemporalAdjusters; import com.opengamma.analytics.financial.instrument.index.IndexPrice; import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthly; 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; /** * Tests the year on year inflation constructors. */ @Test(groups = TestGroup.UNIT) public class CouponInflationYearOnYearMonthlyDefinitionTest { 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 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 ZonedDateTime REFERENCE_END_DATE = PAYMENT_DATE.minusMonths(MONTH_LAG).with(TemporalAdjusters.lastDayOfMonth()); private static final ZonedDateTime REFERENCE_START_DATE = REFERENCE_END_DATE.minusMonths(12).with(TemporalAdjusters.lastDayOfMonth()); private static final CouponInflationYearOnYearMonthlyDefinition YoY_COUPON_DEFINITION = 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); private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA; @Test(expectedExceptions = IllegalArgumentException.class) public void testNullCurrency() { new CouponInflationYearOnYearMonthlyDefinition(null, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullPay() { new CouponInflationYearOnYearMonthlyDefinition(CUR, null, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullStart() { new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, null, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullEnd() { new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, null, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullIndex() { new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, null, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRefStart() { new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, null, REFERENCE_END_DATE, false); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRefEnd() { new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, null, false); } @Test /** * Tests the class getter. */ public void getter() { assertEquals("Inflation Year on Year coupon: getter", CUR, YoY_COUPON_DEFINITION.getCurrency()); assertEquals("Inflation Year on Year coupon: getter", PAYMENT_DATE, YoY_COUPON_DEFINITION.getPaymentDate()); assertEquals("Inflation Year on Year coupon: getter", ACCRUAL_START_DATE, YoY_COUPON_DEFINITION.getAccrualStartDate()); assertEquals("Inflation Year on Year coupon: getter", ACCRUAL_END_DATE, YoY_COUPON_DEFINITION.getAccrualEndDate()); assertEquals("Inflation Year on Year coupon: getter", 1.0, YoY_COUPON_DEFINITION.getPaymentYearFraction()); assertEquals("Inflation Year on Year coupon: getter", NOTIONAL, YoY_COUPON_DEFINITION.getNotional()); assertEquals("Inflation Year on Year coupon: getter", PRICE_INDEX, YoY_COUPON_DEFINITION.getPriceIndex()); assertEquals("Inflation Year on Year coupon: getter", REFERENCE_START_DATE, YoY_COUPON_DEFINITION.getReferenceStartDate()); assertEquals("Inflation Year on Year coupon: getter", REFERENCE_END_DATE, YoY_COUPON_DEFINITION.getReferenceEndDate()); assertEquals("Inflation Year on Year coupon: getter", MONTH_LAG, YoY_COUPON_DEFINITION.getConventionalMonthLag()); } /** * */ @Test /** * Tests the equal and hash-code methods. */ public void equalHash() { assertEquals(YoY_COUPON_DEFINITION, YoY_COUPON_DEFINITION); final CouponInflationYearOnYearMonthlyDefinition couponDuplicate = 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); assertEquals(YoY_COUPON_DEFINITION, couponDuplicate); assertEquals(YoY_COUPON_DEFINITION.hashCode(), couponDuplicate.hashCode()); CouponInflationYearOnYearMonthlyDefinition modified; modified = new CouponInflationYearOnYearMonthlyDefinition(Currency.AUD, ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.minusDays(1), ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE.minusDays(1), 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE.minusDays(1), REFERENCE_END_DATE, false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); modified = 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.minusDays(1), false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 2.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); modified = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, 1.0, NOTIONAL + 10.0, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); assertFalse(YoY_COUPON_DEFINITION.equals(modified)); } @Test /** * Tests the first based on indexation lag. */ public void from2() { final CouponInflationYearOnYearMonthlyDefinition constructor = new CouponInflationYearOnYearMonthlyDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX, MONTH_LAG, 3, REFERENCE_START_DATE, REFERENCE_END_DATE, false); final CouponInflationYearOnYearMonthlyDefinition from = CouponInflationYearOnYearMonthlyDefinition.from(ACCRUAL_START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX, MONTH_LAG, false); assertEquals("Inflation zero-coupon : from", constructor, from); } @Test public void toDerivativesNoData() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29); final Coupon yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate); 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 CouponInflationYearOnYearMonthly yearOnYearCoupon = new CouponInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime, naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false); assertEquals("Inflation zero-coupon: toDerivative", yearOnYearCouponConverted, yearOnYearCoupon); } @Test public void toDerivativesStartMonthNotknown() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29); final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 4, 30), DateUtils.getUTCDate(2017, 5, 31), DateUtils.getUTCDate(2018, 4, 30), DateUtils.getUTCDate(2018, 5, 31) }, new double[] { 127.23, 127.43, 128.23, 128.43 }); final Coupon yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS); 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 CouponInflationYearOnYearMonthly yearOnYearCoupon = new CouponInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime, naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false); assertEquals("Inflation zero-coupon: toDerivative", yearOnYearCoupon, yearOnYearCouponConverted); } @Test public void toDerivativesStartMonthKnown() { final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 7, 25); final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 31), DateUtils.getUTCDate(2017, 6, 30), DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) }, new double[] { 127.23, 127.43, 128.23, 128.43 }); final Coupon zeroCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS); final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE); final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, 128.23 / 127.23 - 1.0); assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted); } }