SwaptionBermudaFixedIborTest.java example

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/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.interestrate.swaption.derivative;

import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;

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.IndexSwap;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
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.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;

/**
 * Tests the Bermuda swaption constructor.
 */
@Test(groups = TestGroup.UNIT)
public class SwaptionBermudaFixedIborTest {
  // General
  private static final Currency CUR = Currency.EUR;
  private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
  private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING;
  private static final boolean IS_EOM = true;
  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 22);
  // Total swap -5Y semi bond vs quarterly money
  private static final Period FORWARD_TENOR = Period.ofYears(1);
  private static final ZonedDateTime SETTLEMENT_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, FORWARD_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
  private static final Period SWAP_TENOR = Period.ofYears(5);
  private static final double NOTIONAL = 123000000;
  private static final boolean FIXED_IS_PAYER = true;
  private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
  private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360;
  private static final Period IBOR_TENOR = Period.ofMonths(3);
  private static final int IBOR_SETTLEMENT_DAYS = 2;
  private static final DayCount IBOR_DAY_COUNT = DayCounts.ACT_360;
  private static final IborIndex IBOR_INDEX = new IborIndex(CUR, IBOR_TENOR, IBOR_SETTLEMENT_DAYS, IBOR_DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
  private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, SWAP_TENOR, CALENDAR);
  private static final double RATE = 0.0325;
  private static final SwapFixedIborDefinition TOTAL_SWAP_DEFINITION = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
  // Semi-annual expiry
  private static final boolean IS_LONG = true;
  private static final int NB_EXPIRY = TOTAL_SWAP_DEFINITION.getFixedLeg().getNumberOfPayments();
  private static final ZonedDateTime[] EXPIRY_DATE = new ZonedDateTime[NB_EXPIRY];
  private static final SwapFixedIborDefinition[] EXPIRY_SWAP_DEFINITION = new SwapFixedIborDefinition[NB_EXPIRY];
  static {
    for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
      EXPIRY_DATE[loopexp] = ScheduleCalculator.getAdjustedDate(TOTAL_SWAP_DEFINITION.getFixedLeg().getNthPayment(loopexp).getAccrualStartDate(), -IBOR_SETTLEMENT_DAYS, CALENDAR);
      EXPIRY_SWAP_DEFINITION[loopexp] = TOTAL_SWAP_DEFINITION.trimStart(EXPIRY_DATE[loopexp]);
    }
  }
  // to derivatives
  private static final DayCount ACT_ACT = DayCounts.ACT_ACT_ISDA;
  private static final double[] EXPIRY_TIME = new double[NB_EXPIRY];
  private static final double[] SETTLE_TIME = new double[NB_EXPIRY];
  @SuppressWarnings("unchecked")
  // TODO: Is this required?
  private static final SwapFixedCoupon<Coupon>[] EXPIRY_SWAP = new SwapFixedCoupon[NB_EXPIRY];
  static {
    for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
      EXPIRY_TIME[loopexp] = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRY_DATE[loopexp]);
      EXPIRY_SWAP[loopexp] = EXPIRY_SWAP_DEFINITION[loopexp].toDerivative(REFERENCE_DATE);
      SETTLE_TIME[loopexp] = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRY_SWAP_DEFINITION[loopexp].getFixedLeg().getNthPayment(0).getAccrualStartDate());
    }
  }
  private static final SwaptionBermudaFixedIbor BERMUDA_SWAPTION = new SwaptionBermudaFixedIbor(EXPIRY_SWAP, IS_LONG, EXPIRY_TIME, SETTLE_TIME);

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullSwap() {
    new SwaptionBermudaFixedIbor(null, IS_LONG, EXPIRY_TIME, SETTLE_TIME);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullExpiry() {
    new SwaptionBermudaFixedIbor(EXPIRY_SWAP, IS_LONG, null, SETTLE_TIME);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullSettle() {
    new SwaptionBermudaFixedIbor(EXPIRY_SWAP, IS_LONG, EXPIRY_TIME, null);
  }

  @Test
  /**
   * Tests the Bermuda swaption getters.
   */
  public void getter() {
    assertEquals("Getter: underlying swaps", EXPIRY_SWAP, BERMUDA_SWAPTION.getUnderlyingSwap());
    assertEquals("Getter: long/short", IS_LONG, BERMUDA_SWAPTION.isLong());
    assertEquals("Getter: expiry times", EXPIRY_TIME, BERMUDA_SWAPTION.getExpiryTime());
    assertEquals("Getter: settle times", SETTLE_TIME, BERMUDA_SWAPTION.getSettlementTime());
  }

  @Test
  /**
   * Tests the equal and hash-code methods.
   */
  public void hashEqual() {
    final SwaptionBermudaFixedIbor bermuda2 = new SwaptionBermudaFixedIbor(EXPIRY_SWAP, IS_LONG, EXPIRY_TIME, SETTLE_TIME);
    assertTrue("Bermuda swaption", BERMUDA_SWAPTION.equals(bermuda2));
    assertEquals("Bermuda swaption", BERMUDA_SWAPTION.hashCode(), bermuda2.hashCode());
    SwaptionBermudaFixedIbor modified;
    modified = new SwaptionBermudaFixedIbor(EXPIRY_SWAP, !IS_LONG, EXPIRY_TIME, SETTLE_TIME);
    assertFalse("Bermuda swaption", BERMUDA_SWAPTION.equals(modified));
    final double[] expiry2 = new double[NB_EXPIRY];
    System.arraycopy(EXPIRY_TIME, 0, expiry2, 0, NB_EXPIRY);
    expiry2[0] -= 1.0 / 365;
    modified = new SwaptionBermudaFixedIbor(EXPIRY_SWAP, IS_LONG, expiry2, SETTLE_TIME);
    assertFalse("Bermuda swaption", BERMUDA_SWAPTION.equals(modified));
    final double[] settle2 = new double[NB_EXPIRY];
    System.arraycopy(SETTLE_TIME, 0, settle2, 0, NB_EXPIRY);
    settle2[0] -= 1.0 / 365;
    modified = new SwaptionBermudaFixedIbor(EXPIRY_SWAP, IS_LONG, EXPIRY_TIME, settle2);
    assertFalse("Bermuda swaption", BERMUDA_SWAPTION.equals(modified));
  }

}