/** * 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.annuity.AnnuityCouponFixedDefinition; import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition; 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.instrument.swaption.SwaptionCashFixedIborDefinition; import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon; import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon; 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; /** * Test. */ @Test(groups = TestGroup.UNIT) public class SwaptionCashFixedIborTest { // Swaption description private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2011, 3, 28); private static final boolean IS_LONG = true; // Swap 2Y description 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 Period ANNUITY_TENOR = Period.ofYears(2); private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 30); private static final double NOTIONAL = 100000000; //100m // Fixed leg: Semi-annual bond private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6); private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360; private static final double RATE = 0.0325; private static final boolean FIXED_IS_PAYER = true; private static final AnnuityCouponFixedDefinition FIXED_ANNUITY_PAYER = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, FIXED_PAYMENT_PERIOD, CALENDAR, FIXED_DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, FIXED_IS_PAYER); private static final AnnuityCouponFixedDefinition FIXED_ANNUITY_RECEIVER = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, FIXED_PAYMENT_PERIOD, CALENDAR, FIXED_DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, !FIXED_IS_PAYER); // Ibor leg: quarterly money private static final Period INDEX_TENOR = Period.ofMonths(3); private static final int SETTLEMENT_DAYS = 2; private static final DayCount DAY_COUNT = DayCounts.ACT_360; private static final IborIndex INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor"); private static final AnnuityCouponIborDefinition IBOR_ANNUITY_RECEIVER = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, !FIXED_IS_PAYER, CALENDAR); private static final AnnuityCouponIborDefinition IBOR_ANNUITY_PAYER = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, FIXED_IS_PAYER, CALENDAR); // Swaption construction: All combinations private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR); private static final SwapFixedIborDefinition SWAP_DEFINITION_PAYER = new SwapFixedIborDefinition(FIXED_ANNUITY_PAYER, IBOR_ANNUITY_RECEIVER); private static final SwapFixedIborDefinition SWAP_DEFINITION_RECEIVER = new SwapFixedIborDefinition(FIXED_ANNUITY_RECEIVER, IBOR_ANNUITY_PAYER); private static final SwaptionCashFixedIborDefinition SWAPTION_DEFINITION_LONG_PAYER = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_PAYER, true, IS_LONG); private static final SwaptionCashFixedIborDefinition SWAPTION_DEFINITION_SHORT_RECEIVER = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_RECEIVER, false, !IS_LONG); // to derivatives private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18); private static final SwapFixedCoupon<Coupon> SWAP_PAYER = SWAP_DEFINITION_PAYER.toDerivative(REFERENCE_DATE); private static final SwaptionCashFixedIbor SWAPTION_LONG_PAYER = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE); private static final SwaptionCashFixedIbor SWAPTION_SHORT_RECEIVER = SWAPTION_DEFINITION_SHORT_RECEIVER.toDerivative(REFERENCE_DATE); /** * Tests the equal and hashCode methods. */ @Test public void equalHash() { assertTrue(SWAPTION_LONG_PAYER.equals(SWAPTION_LONG_PAYER)); final SwaptionCashFixedIbor other = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE); assertTrue(SWAPTION_LONG_PAYER.equals(other)); assertTrue(SWAPTION_LONG_PAYER.hashCode() == other.hashCode()); assertEquals(SWAPTION_LONG_PAYER.toString(), other.toString()); final SwaptionCashFixedIbor otherS = SWAPTION_DEFINITION_SHORT_RECEIVER.toDerivative(REFERENCE_DATE); assertTrue(SWAPTION_SHORT_RECEIVER.equals(otherS)); assertTrue(SWAPTION_SHORT_RECEIVER.hashCode() == otherS.hashCode()); SwaptionCashFixedIbor modifiedSwaption; modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry() - 0.01, SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), FIXED_IS_PAYER, IS_LONG); assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption)); modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, FIXED_IS_PAYER, IS_LONG); assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption)); modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), FIXED_IS_PAYER, !IS_LONG); assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption)); modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !FIXED_IS_PAYER, IS_LONG); assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption)); final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR); final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE); modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), FIXED_IS_PAYER, IS_LONG); assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption)); assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE)); assertFalse(SWAPTION_LONG_PAYER.equals(null)); } }