@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativePaymentAccrualFactor() {
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
-PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
CouponFixedCompoundingDefinition.from(
null,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
}
public class CouponFixedCompoundingDefinitionTest {
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final IndexIborMaster MASTER_IBOR = IndexIborMaster.getInstance();
private static final IborIndex USDLIBOR1M = MASTER_IBOR.getIndex("USDLIBOR1M");
private static final Currency CURRENCY = USDLIBOR1M.getCurrency();
private static final Period TENOR_3M = Period.ofMonths(3);
private static final ZonedDateTime START_DATE = DateUtils.getUTCDate(2012, 8, 24);
private static final double NOTIONAL = 123454321;
private static final double FIXED_RATE = .02;
private static final ZonedDateTime[] ACCRUAL_END_DATES =
ScheduleCalculator.getAdjustedDateSchedule(
START_DATE, TENOR_3M, true, false, USDLIBOR1M, NYC);
private static final int NB_SUB_PERIOD = ACCRUAL_END_DATES.length;
private static final ZonedDateTime[] ACCRUAL_START_DATES = new ZonedDateTime[NB_SUB_PERIOD];
private static final double[] PAYMENT_ACCRUAL_FACTORS = new double[NB_SUB_PERIOD];
private static final double PAYMENT_ACCRUAL_FACTOR;
static {
ACCRUAL_START_DATES[0] = START_DATE;
for (int loopsub = 1; loopsub < NB_SUB_PERIOD; loopsub++) {
ACCRUAL_START_DATES[loopsub] = ACCRUAL_END_DATES[loopsub - 1];
}
double af = 0.0;
for (int loopsub = 0; loopsub < NB_SUB_PERIOD; loopsub++) {
PAYMENT_ACCRUAL_FACTORS[loopsub] =
USDLIBOR1M
.getDayCount()
.getDayCountFraction(ACCRUAL_START_DATES[loopsub], ACCRUAL_END_DATES[loopsub]);
af += PAYMENT_ACCRUAL_FACTORS[loopsub];
}
PAYMENT_ACCRUAL_FACTOR = af;
}
private static final ZonedDateTime[] FIXING_DATES =
ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATES, -USDLIBOR1M.getSpotLag(), NYC);
private static final ZonedDateTime[] FIXING_PERIOD_END_DATES =
ScheduleCalculator.getAdjustedDate(ACCRUAL_START_DATES, USDLIBOR1M, NYC);
private static final double[] FIXING_ACCRUAL_FACTORS = new double[NB_SUB_PERIOD];
static {
for (int loopsub = 0; loopsub < NB_SUB_PERIOD; loopsub++) {
FIXING_ACCRUAL_FACTORS[loopsub] =
USDLIBOR1M
.getDayCount()
.getDayCountFraction(ACCRUAL_START_DATES[loopsub], FIXING_PERIOD_END_DATES[loopsub]);
}
}
private static final ZonedDateTime PAYMENT_DATE = ACCRUAL_END_DATES[NB_SUB_PERIOD - 1];
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 8, 17);
private static final double[] FIXING_TIMES =
TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_DATES);
private static final double[] FIXING_PERIOD_END_TIMES =
TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_PERIOD_END_DATES);
private static final double[] ACCRUAL_START_TIMES =
TimeCalculator.getTimeBetween(REFERENCE_DATE, ACCRUAL_START_DATES);
private static final double[] ACCRUAL_END_TIMES =
TimeCalculator.getTimeBetween(REFERENCE_DATE, ACCRUAL_END_DATES);
private static final double PAYMENT_TIME = ACCRUAL_END_TIMES[NB_SUB_PERIOD - 1];
private static final String DSC_NAME = "Dsc_USD";
private static final String FWD_NAME = "Forward1M_USD";
private static final CouponFixedCompoundingDefinition COUPON =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
@Test
/** Tests the getters. */
public void testGetters() {
assertEquals(COUPON.getPaymentDate(), PAYMENT_DATE);
assertEquals(COUPON.getAccrualStartDate(), ACCRUAL_START_DATES[0]);
assertEquals(COUPON.getAccrualEndDate(), ACCRUAL_END_DATES[NB_SUB_PERIOD - 1]);
assertEquals(COUPON.getPaymentYearFraction(), PAYMENT_ACCRUAL_FACTOR, 1E-10);
assertEquals(COUPON.getNotional(), NOTIONAL, 1E-2);
assertEquals(COUPON.getRate(), FIXED_RATE, 1E-10);
assertArrayEquals(COUPON.getAccrualStartDates(), ACCRUAL_START_DATES);
assertArrayEquals(COUPON.getAccrualEndDates(), ACCRUAL_END_DATES);
assertArrayEquals(COUPON.getPaymentAccrualFactors(), PAYMENT_ACCRUAL_FACTORS, 0);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullCurrency() {
CouponFixedCompoundingDefinition.from(
null,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPaymentDate() {
CouponFixedCompoundingDefinition.from(
CURRENCY,
null,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativePaymentAccrualFactor() {
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
-PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
}
@Test
/** Tests the equal and hash code. */
public void testEqualHash() {
assertEquals("CouponIbor: equal-hash", COUPON, COUPON);
final CouponFixedCompoundingDefinition other =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertEquals("CouponFixedCompoundingDefinition: equal-hash", other, COUPON);
assertEquals(
"CouponFixedCompoundingDefinition: equal-hash", other.hashCode(), COUPON.hashCode());
CouponFixedCompoundingDefinition modified;
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE.plusDays(1),
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0].plusDays(1),
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1].plusDays(1),
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR + 1,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL + 1,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE + 1,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
}
}
@Test
/** Tests the equal and hash code. */
public void testEqualHash() {
assertEquals("CouponIbor: equal-hash", COUPON, COUPON);
final CouponFixedCompoundingDefinition other =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertEquals("CouponFixedCompoundingDefinition: equal-hash", other, COUPON);
assertEquals(
"CouponFixedCompoundingDefinition: equal-hash", other.hashCode(), COUPON.hashCode());
CouponFixedCompoundingDefinition modified;
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE.plusDays(1),
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0].plusDays(1),
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1].plusDays(1),
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR + 1,
NOTIONAL,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL + 1,
FIXED_RATE,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
modified =
CouponFixedCompoundingDefinition.from(
CURRENCY,
PAYMENT_DATE,
ACCRUAL_START_DATES[0],
ACCRUAL_END_DATES[NB_SUB_PERIOD - 1],
PAYMENT_ACCRUAL_FACTOR,
NOTIONAL,
FIXED_RATE + 1,
ACCRUAL_START_DATES,
ACCRUAL_END_DATES,
PAYMENT_ACCRUAL_FACTORS);
assertFalse("CouponIbor: equal-hash", COUPON.equals(modified));
}