/** * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.future.derivative; 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.interestrate.bond.definition.BondFixedSecurity; 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.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.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 BondFuturesYieldAverageTransactionTest { // 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 DELIVERY_DATE = ScheduleCalculator.getAdjustedDate(LAST_TRADING_DATE, SETTLEMENT_DAYS, CALENDAR); private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2014, 1, 10); private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR); private static final double LAST_TRADING_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, LAST_TRADING_DATE); // private static final double SPOT_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, SPOT_DATE); // 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]; private static final BondFixedSecurity[] BASKET_SECURITY_SETTLEDELIVERY = new BondFixedSecurity[NB_BOND]; private static final BondFixedSecurity[] BASKET_SECURITY_STANDARD = new BondFixedSecurity[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"); BASKET_SECURITY_SETTLEDELIVERY[loopbond] = BASKET_SECURITY_DEFINITION[loopbond].toDerivative(REFERENCE_DATE, DELIVERY_DATE); BASKET_SECURITY_STANDARD[loopbond] = BASKET_SECURITY_DEFINITION[loopbond].toDerivative(REFERENCE_DATE, SPOT_DATE); } } private static final double SYNTHETIC_COUPON = 0.06; private static final int TENOR = 10; private static final BondFuturesYieldAverageSecurity FUT_SEC = new BondFuturesYieldAverageSecurity(LAST_TRADING_TIME, BASKET_SECURITY_SETTLEDELIVERY, BASKET_SECURITY_STANDARD, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES); // Transation private static final int QUANTITY = 1234; private static final double REFERENCE_PRICE = 0.95; private static final BondFuturesYieldAverageTransaction FUT_TRA = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY, REFERENCE_PRICE); @Test(expectedExceptions = IllegalArgumentException.class) public void nullSecurity() { new BondFuturesYieldAverageTransaction(null, QUANTITY, REFERENCE_PRICE); } @Test public void getter() { assertEquals("YieldAverageBondFuturesTransaction: getter", FUT_SEC, FUT_TRA.getUnderlyingSecurity()); assertEquals("YieldAverageBondFuturesTransaction: getter", QUANTITY, FUT_TRA.getQuantity()); assertEquals("YieldAverageBondFuturesTransaction: getter", REFERENCE_PRICE, FUT_TRA.getReferencePrice()); } @Test public void equalHash() { final BondFuturesYieldAverageTransaction other = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY, REFERENCE_PRICE); assertEquals("YieldAverageBondFuturesTransactionDefinition: equal - hash", FUT_TRA, other); assertEquals("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.hashCode(), other.hashCode()); BondFuturesYieldAverageTransaction modified; final BondFuturesYieldAverageSecurity futSecModified = new BondFuturesYieldAverageSecurity(LAST_TRADING_TIME+0.01, BASKET_SECURITY_SETTLEDELIVERY, BASKET_SECURITY_STANDARD, SYNTHETIC_COUPON, TENOR, NOTIONAL_FUTURES); modified = new BondFuturesYieldAverageTransaction(futSecModified, QUANTITY, REFERENCE_PRICE); assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.equals(modified)); modified = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY+1, REFERENCE_PRICE); assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.equals(modified)); modified = new BondFuturesYieldAverageTransaction(FUT_SEC, QUANTITY, REFERENCE_PRICE*0.99); assertFalse("YieldAverageBondFuturesSecurityDefinition: equal - hash", FUT_TRA.equals(modified)); } }