@Test
public void toDerivativesStartMonthKnown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1),
DateUtils.getUTCDate(2018, 5, 1),
DateUtils.getUTCDate(2018, 6, 1)
},
new double[] {127.23, 127.43, 128.23, 128.43});
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final CouponFixed zeroCoupon =
new CouponFixed(
CUR,
paymentTime,
1.0,
NOTIONAL,
Math.max(
(WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43)
/ (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43)
- 1.0
- STRIKE,
0.0));
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
@Test
public void toDerivativesNoData() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate);
// lastKnownFixingTime could be negatif so we don't use the dayfraction
final double lastKnownFixingTime =
TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CapFloorInflationYearOnYearMonthly zeroCoupon =
new CapFloorInflationYearOnYearMonthly(
CUR,
paymentTime,
1.0,
NOTIONAL,
PRICE_INDEX,
lastKnownFixingTime,
referenceStartTime,
naturalPaymentStartPaymentTime,
referenceEndTime,
naturalPaymentEndPaymentTime,
STRIKE,
IS_CAP);
assertEquals("Inflation zero-coupon: toDerivative", zeroCouponConverted, zeroCoupon);
}
@Test
public void toDerivativesStartMonthNotknown() {
final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
final DoubleTimeSeries<ZonedDateTime> priceIndexTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2017, 5, 1),
DateUtils.getUTCDate(2017, 6, 1),
DateUtils.getUTCDate(2018, 5, 1),
DateUtils.getUTCDate(2018, 6, 1)
},
new double[] {127.23, 127.43, 128.23, 128.43});
final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
// lastKnownFixingTime could be negatif so we don't use the dayfraction
final double lastKnownFixingTime =
TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
final double referenceStartTime =
ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
final double naturalPaymentStartPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
final double naturalPaymentEndPaymentTime =
ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
final CapFloorInflationYearOnYearMonthly zeroCoupon =
new CapFloorInflationYearOnYearMonthly(
CUR,
paymentTime,
1.0,
NOTIONAL,
PRICE_INDEX,
lastKnownFixingTime,
referenceStartTime,
naturalPaymentStartPaymentTime,
referenceEndTime,
naturalPaymentEndPaymentTime,
STRIKE,
IS_CAP);
assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
}
@Test
/** Tests the first based on indexation lag. */
public void from() {
final CapFloorInflationYearOnYearMonthlyDefinition constructor =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
final CouponInflationYearOnYearMonthlyDefinition yoyCoupon =
new CouponInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
false);
final CapFloorInflationYearOnYearMonthlyDefinition from =
CapFloorInflationYearOnYearMonthlyDefinition.from(
yoyCoupon, LAST_KNOWN_FIXING_DATE, STRIKE, IS_CAP);
assertEquals("Inflation zero-coupon : from", constructor, from);
}
@Test
/** Tests the equal and hash-code methods. */
public void equalHash() {
assertEquals(YoY_CAP_DEFINITION, YoY_CAP_DEFINITION);
final CapFloorInflationYearOnYearMonthlyDefinition couponDuplicate =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertEquals(YoY_CAP_DEFINITION, couponDuplicate);
assertEquals(YoY_CAP_DEFINITION.hashCode(), couponDuplicate.hashCode());
CapFloorInflationYearOnYearMonthlyDefinition modified;
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE.minusDays(1),
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE.minusDays(1),
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE.minusDays(1),
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
final ZonedDateTime modifiedReferenceStartDate = REFERENCE_START_DATE.minusDays(1);
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
modifiedReferenceStartDate,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
final ZonedDateTime modifiedReferenceEndDate = REFERENCE_END_DATE.minusDays(1);
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
modifiedReferenceEndDate,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
2.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL + 10.0,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE + .01,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
false);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE.minusDays(1),
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE.minusDays(1),
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
PRICE_INDEX,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG - 1,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
final IndexPrice modifiedPriceIndex = new IndexPrice("US CPI x", Currency.USD);
modified =
new CapFloorInflationYearOnYearMonthlyDefinition(
CUR,
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
1.0,
NOTIONAL,
modifiedPriceIndex,
LAST_KNOWN_FIXING_DATE,
MONTH_LAG,
3,
REFERENCE_START_DATE,
REFERENCE_END_DATE,
STRIKE,
IS_CAP);
assertFalse(YoY_CAP_DEFINITION.equals(modified));
}
@Test
/** Tests the class getter. */
public void getter() {
assertEquals("Inflation Year on Year cap: getter", CUR, YoY_CAP_DEFINITION.getCurrency());
assertEquals(
"Inflation Year on Year cap: getter", PAYMENT_DATE, YoY_CAP_DEFINITION.getPaymentDate());
assertEquals(
"Inflation Year on Year cap: getter",
ACCRUAL_START_DATE,
YoY_CAP_DEFINITION.getAccrualStartDate());
assertEquals(
"Inflation Year on Year cap: getter",
ACCRUAL_END_DATE,
YoY_CAP_DEFINITION.getAccrualEndDate());
assertEquals(
"Inflation Year on Year cap: getter",
LAST_KNOWN_FIXING_DATE,
YoY_CAP_DEFINITION.getLastKnownFixingDate());
assertEquals(
"Inflation Year on Year cap: getter", 1.0, YoY_CAP_DEFINITION.getPaymentYearFraction());
assertEquals("Inflation Year on Year cap: getter", NOTIONAL, YoY_CAP_DEFINITION.getNotional());
assertEquals(
"Inflation Year on Year cap: getter", PRICE_INDEX, YoY_CAP_DEFINITION.getPriceIndex());
assertEquals(
"Inflation Year on Year cap: getter",
REFERENCE_START_DATE,
YoY_CAP_DEFINITION.getReferenceStartDate());
assertEquals(
"Inflation Year on Year cap: getter",
REFERENCE_END_DATE,
YoY_CAP_DEFINITION.getReferenceEndDate());
assertEquals(
"Inflation Year on Year cap: getter",
MONTH_LAG,
YoY_CAP_DEFINITION.getConventionalMonthLag());
assertEquals("Inflation Year on Year cap: getter", IS_CAP, YoY_CAP_DEFINITION.isCap());
assertEquals(
"Inflation Year on Year cap: getter", 1.0, YoY_CAP_DEFINITION.getPaymentYearFraction());
assertEquals("Inflation Year on Year cap: getter", STRIKE, YoY_CAP_DEFINITION.getStrike());
}
