@Test
public void testNoSpread() {
final AnnuityCouponIborDefinition definition =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
final CouponIborDefinition[] noSpreadCoupons = definition.getPayments();
final int n = noSpreadCoupons.length;
final double spread = 0.01;
final CouponIborSpreadDefinition[] spreadCoupons = new CouponIborSpreadDefinition[n];
for (int i = 0; i < n; i++) {
final CouponIborDefinition coupon = noSpreadCoupons[i];
spreadCoupons[i] =
new CouponIborSpreadDefinition(
coupon.getCurrency(),
coupon.getPaymentDate(),
coupon.getAccrualStartDate(),
coupon.getAccrualEndDate(),
coupon.getPaymentYearFraction(),
coupon.getNotional(),
coupon.getFixingDate(),
coupon.getIndex(),
spread);
}
assertEquals(
definition,
AnnuityCouponIborDefinition.from(new AnnuityCouponIborSpreadDefinition(spreadCoupons)));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testOneNullPayment() {
final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
// First coupon uses settlement date
CouponFixedDefinition coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
NOTIONAL,
0.0);
ZonedDateTime fixingDate =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[0] = null;
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
NOTIONAL,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
PAYMENT_DATES[loopcpn - 1], BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
}
new AnnuityCouponIborDefinition(coupons);
}
@Test
public void test() {
final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
final double sign = IS_PAYER ? -1.0 : 1.0;
// First coupon uses settlement date
CouponFixedDefinition coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
sign * NOTIONAL,
0.0);
ZonedDateTime fixingDate =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[0] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
sign * NOTIONAL,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
PAYMENT_DATES[loopcpn - 1], BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
}
final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(coupons);
// assertEquals(iborAnnuity.getPayments(), coupons);
assertEquals(iborAnnuity.isPayer(), IS_PAYER);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
assertEquals(iborAnnuity.getNthPayment(loopcpn), coupons[loopcpn]);
assertEquals(iborAnnuity.getPayments()[loopcpn], coupons[loopcpn]);
}
final AnnuityCouponIborDefinition iborAnnuity2 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
assertEquals(iborAnnuity, iborAnnuity2);
}
@Test
public void testEqualHash() {
final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
// First coupon uses settlement date
CouponFixedDefinition coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
NOTIONAL,
0.0);
ZonedDateTime fixingDate =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[0] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupon =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
NOTIONAL,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
PAYMENT_DATES[loopcpn - 1], BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX);
}
final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(coupons);
final AnnuityCouponIborDefinition iborAnnuity2 = new AnnuityCouponIborDefinition(coupons);
assertEquals(iborAnnuity, iborAnnuity2);
assertEquals(iborAnnuity.hashCode(), iborAnnuity2.hashCode());
AnnuityCouponIborDefinition modifiedIborAnnuity =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
assertFalse(iborAnnuity.equals(modifiedIborAnnuity));
final CouponIborDefinition[] couponsModified = new CouponIborDefinition[PAYMENT_DATES.length];
CouponFixedDefinition couponModified =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
NOTIONAL,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
couponsModified[0] = CouponIborDefinition.from(couponModified, fixingDate, INDEX);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponModified =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[loopcpn],
PAYMENT_DATES[loopcpn - 1],
PAYMENT_DATES[loopcpn],
DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn]),
NOTIONAL + 5.0,
0.0);
fixingDate =
ScheduleCalculator.getAdjustedDate(
PAYMENT_DATES[loopcpn - 1], BUSINESS_DAY, CALENDAR, -SETTLEMENT_DAYS);
couponsModified[loopcpn] = CouponIborDefinition.from(couponModified, fixingDate, INDEX);
}
modifiedIborAnnuity = new AnnuityCouponIborDefinition(couponsModified);
assertFalse(iborAnnuity.equals(modifiedIborAnnuity));
}
