/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.derivative;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertNull;
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.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.index.IndexONMaster;
import com.opengamma.analytics.financial.instrument.payment.CouponONArithmeticAverageDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Class describing a Fed Fund swap-like floating coupon (arithmetic average on overnight rates).
*/
@Test(groups = TestGroup.UNIT)
public class CouponONArithmeticAverageTest {
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 4, 16);
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexON FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final IborIndex USDLIBOR3M = IndexIborMaster.getInstance().getIndex("USDLIBOR3M");
private static final ZonedDateTime EFFECTIVE_DATE = DateUtils.getUTCDate(2013, 4, 18);
private static final Period TENOR_3M = Period.ofMonths(3);
private static final double NOTIONAL = 100000000; // 100m
private static final int PAYMENT_LAG = 2;
private static final ZonedDateTime ACCRUAL_END_DATE = ScheduleCalculator.getAdjustedDate(EFFECTIVE_DATE, TENOR_3M, USDLIBOR3M, NYC);
private static final ZonedDateTime PAYMENT_DATE = ScheduleCalculator.getAdjustedDate(ACCRUAL_END_DATE, -1 + FEDFUND.getPublicationLag() + PAYMENT_LAG, NYC);
private static final double PAYMENT_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, PAYMENT_DATE);
private static final CouponONArithmeticAverageDefinition FEDFUND_CPN_3M_2_DEF = CouponONArithmeticAverageDefinition.from(FEDFUND, EFFECTIVE_DATE, ACCRUAL_END_DATE, NOTIONAL, PAYMENT_LAG, NYC);
private static final double[] FIXING_START_TIMES = TimeCalculator.getTimeBetween(REFERENCE_DATE, FEDFUND_CPN_3M_2_DEF.getFixingPeriodStartDates());
private static final double[] FIXING_END_TIMES = TimeCalculator.getTimeBetween(REFERENCE_DATE, FEDFUND_CPN_3M_2_DEF.getFixingPeriodEndDates());
private static final double ACCRUED_RATE = 0.0001;
private static final CouponONArithmeticAverage CPN_AA_ON = CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(),
NOTIONAL, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(), ACCRUED_RATE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullIndex() {
CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, null, FIXING_START_TIMES, FIXING_END_TIMES,
FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(), ACCRUED_RATE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFixStartTimes() {
CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, null, FIXING_END_TIMES, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFixEndTimes() {
CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, FIXING_START_TIMES, null, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFixAF() {
CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES, null, ACCRUED_RATE);
}
@Test
public void getter() {
assertEquals("CouponArithmeticAverageON: getter", CPN_AA_ON.getFixingPeriodStartTimes(), FIXING_START_TIMES);
assertEquals("CouponArithmeticAverageON: getter", CPN_AA_ON.getFixingPeriodEndTimes(), FIXING_END_TIMES);
assertEquals("CouponArithmeticAverageON: getter", CPN_AA_ON.getFixingPeriodAccrualFactors(), FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors());
assertEquals("CouponArithmeticAverageON: getter", CPN_AA_ON.getRateAccrued(), ACCRUED_RATE);
}
@Test
public void testWithNotional() {
assertNull(CPN_AA_ON.withNotional(NOTIONAL));
}
@Test
public void equalHash() {
assertEquals("CouponArithmeticAverageON: equal-hash", CPN_AA_ON, CPN_AA_ON);
final CouponONArithmeticAverage other = CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(),
NOTIONAL, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(), ACCRUED_RATE);
assertEquals("CouponArithmeticAverageON: equal-hash", CPN_AA_ON, other);
assertEquals("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.hashCode(), other.hashCode());
assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(null));
CouponONArithmeticAverage modified;
modified = CouponONArithmeticAverage.from(PAYMENT_TIME + 0.1, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES,
FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE);
assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction() + 0.1, NOTIONAL, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES,
FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE);
assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL + 10, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES,
FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE);
assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
final IndexON modifiedIndex = IndexONMaster.getInstance().getIndex("EONIA");
modified = CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, modifiedIndex, FIXING_START_TIMES, FIXING_END_TIMES,
FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE);
assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
modified = CouponONArithmeticAverage.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, FIXING_START_TIMES, FIXING_END_TIMES,
FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
ACCRUED_RATE + 0.1);
assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
}
}