/** Tests the CouponIborRatchet constructor. */
public class CouponIborRatchetTest {
private static final Currency CUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final Period TENOR_IBOR = Period.ofMonths(3);
private static final int SETTLEMENT_DAYS = 2;
private static final DayCount DAY_COUNT_INDEX =
DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final IborIndex INDEX_IBOR =
new IborIndex(
CUR, TENOR_IBOR, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM);
private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2014, 9, 5);
private static final ZonedDateTime ACCRUAL_START_DATE =
ScheduleCalculator.getAdjustedDate(FIXING_DATE, CALENDAR, SETTLEMENT_DAYS);
private static final ZonedDateTime ACCRUAL_END_DATE =
ScheduleCalculator.getAdjustedDate(
ACCRUAL_START_DATE, BUSINESS_DAY, CALENDAR, IS_EOM, TENOR_IBOR);
private static final ZonedDateTime PAYMENT_DATE = ACCRUAL_END_DATE;
private static final DayCount DAY_COUNT_PAYMENT =
DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final double ACCRUAL_FACTOR =
DAY_COUNT_PAYMENT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double[] MAIN_COEF = new double[] {0.4, 0.5, 0.0010};
private static final double[] FLOOR_COEF = new double[] {0.75, 0.00, 0.00};
private static final double[] CAP_COEF = new double[] {1.50, 1.00, 0.0050};
private static final double NOTIONAL = 1000000; // 1m
private static final CouponIborRatchetDefinition RATCHET_IBOR_DEFINITION =
new CouponIborRatchetDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
NOTIONAL,
FIXING_DATE,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
CAP_COEF);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 9, 5);
private static final String DISCOUNTING_CURVE_NAME = "Discounting";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME};
private static final CouponIborRatchet RATCHET_IBOR =
RATCHET_IBOR_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullindex() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
null,
MAIN_COEF,
FLOOR_COEF,
CAP_COEF);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullMain() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
null,
FLOOR_COEF,
CAP_COEF);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFloor() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
null,
CAP_COEF);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCap() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void numberMain() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
new double[2],
FLOOR_COEF,
CAP_COEF);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void numberFloor() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
new double[2],
CAP_COEF);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void numberCap() {
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
new double[2]);
}
@Test
public void getter() {
assertEquals("Ratchet Ibor Coupon: getter", MAIN_COEF, RATCHET_IBOR.getMainCoefficients());
assertEquals("Ratchet Ibor Coupon: getter", FLOOR_COEF, RATCHET_IBOR.getFloorCoefficients());
assertEquals("Ratchet Ibor Coupon: getter", CAP_COEF, RATCHET_IBOR.getCapCoefficients());
}
@Test
public void testEqualHash() {
assertEquals("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR, RATCHET_IBOR);
CouponIborRatchet other =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
CAP_COEF);
assertEquals("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR, other);
assertEquals("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR.hashCode(), other.hashCode());
CouponIborRatchet modified;
modified =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
new double[3],
FLOOR_COEF,
CAP_COEF);
assertFalse("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR_DEFINITION.equals(modified));
modified =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
new double[3],
CAP_COEF);
assertFalse("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR_DEFINITION.equals(modified));
modified =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
new double[3]);
assertFalse("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR_DEFINITION.equals(modified));
}
}
@Test
public void testEqualHash() {
assertEquals("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR, RATCHET_IBOR);
CouponIborRatchet other =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
CAP_COEF);
assertEquals("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR, other);
assertEquals("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR.hashCode(), other.hashCode());
CouponIborRatchet modified;
modified =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
new double[3],
FLOOR_COEF,
CAP_COEF);
assertFalse("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR_DEFINITION.equals(modified));
modified =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
new double[3],
CAP_COEF);
assertFalse("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR_DEFINITION.equals(modified));
modified =
new CouponIborRatchet(
CUR,
RATCHET_IBOR.getPaymentTime(),
DISCOUNTING_CURVE_NAME,
RATCHET_IBOR.getPaymentYearFraction(),
NOTIONAL,
RATCHET_IBOR.getFixingTime(),
RATCHET_IBOR.getFixingPeriodStartTime(),
RATCHET_IBOR.getFixingPeriodEndTime(),
RATCHET_IBOR.getFixingYearFraction(),
FORWARD_CURVE_NAME,
INDEX_IBOR,
MAIN_COEF,
FLOOR_COEF,
new double[3]);
assertFalse("Ratchet Ibor Coupon: equal/hash", RATCHET_IBOR_DEFINITION.equals(modified));
}
