@Test
/** Tests the toDerivative method when the reference date is before the premium settlement. */
public void toDerivativeBeforeSettlement() {
final InterestRateFutureOptionPremiumTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(REFERENCE_DATE);
final InterestRateFutureOptionPremiumSecurity security =
OPTION_EDU2.toDerivative(REFERENCE_DATE);
final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
final InterestRateFutureOptionPremiumTransaction transaction =
new InterestRateFutureOptionPremiumTransaction(
security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/** Tests the toDerivative method when the reference date is after the premium settlement. */
public void toDerivativeAfterSettlement() {
final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
final InterestRateFutureOptionPremiumTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(referenceDate);
final InterestRateFutureOptionPremiumSecurity security =
OPTION_EDU2.toDerivative(referenceDate);
final double premiumTime = 0.0;
final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
final InterestRateFutureOptionPremiumTransaction transaction =
new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}
@Test
/** Tests the toDerivative method when the reference date is on the premium settlement. */
public void toDerivativeOnSettlement() {
final ZonedDateTime referenceDate = PREMIUM_DATE;
final InterestRateFutureOptionPremiumTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(referenceDate);
final InterestRateFutureOptionPremiumSecurity security =
OPTION_EDU2.toDerivative(referenceDate);
final double premiumTime = 0.0;
final InterestRateFutureOptionPremiumTransaction transaction =
new InterestRateFutureOptionPremiumTransaction(
security, QUANTITY, premiumTime, TRADE_PRICE);
assertEquals("Option on future: to derivative", transaction, transactionConverted);
}