@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
public void dates() {
final IborIndex fakeIborIndex12 =
new IborIndex(
CUR,
LEG_PAYMENT_PERIOD,
IBOR_SETTLEMENT_DAYS,
LEG_DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
"Ibor");
final AnnuityCouponIborDefinition iborLeg =
AnnuityCouponIborDefinition.from(
START_DATE, MATURITY_DATE, NOTIONAL, fakeIborIndex12, IS_PAYER, CALENDAR);
for (int loopcpn = 0; loopcpn < iborLeg.getNumberOfPayments(); loopcpn++) {
assertEquals(
iborLeg.getNthPayment(loopcpn).getAccrualStartDate(),
CMS_LEG.getNthPayment(loopcpn).getAccrualStartDate());
assertEquals(
iborLeg.getNthPayment(loopcpn).getAccrualEndDate(),
CMS_LEG.getNthPayment(loopcpn).getAccrualEndDate());
assertEquals(
iborLeg.getNthPayment(loopcpn).getPaymentYearFraction(),
CMS_LEG.getNthPayment(loopcpn).getPaymentYearFraction());
assertEquals(
iborLeg.getNthPayment(loopcpn).getPaymentDate(),
CMS_LEG.getNthPayment(loopcpn).getPaymentDate());
assertEquals(
iborLeg.getNthPayment(loopcpn).getFixingDate(),
CMS_LEG.getNthPayment(loopcpn).getFixingDate());
}
}
@Test
public void testStaticConstruction() {
AnnuityCouponIborDefinition definition1 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
AnnuityCouponIborDefinition definition2 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
assertEquals(definition1, definition2);
assertEquals(IS_PAYER, definition1.isPayer());
definition2 =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
definition2 =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
definition1 =
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
definition2 =
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
}
@Test
public void testFrom() {
final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
final Period indexTenor = Period.ofMonths(3);
final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
final IborIndex index =
new IborIndex(CUR, indexTenor, SETTLEMENT_DAYS, CALENDAR, dayCount, BUSINESS_DAY, IS_EOM);
final AnnuityCouponIborDefinition iborAnnuity =
AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(1), NOTIONAL, index, IS_PAYER);
final ZonedDateTime[] paymentDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 6, 20),
DateUtils.getUTCDate(2014, 9, 22),
DateUtils.getUTCDate(2014, 12, 22),
DateUtils.getUTCDate(2015, 03, 20)
};
final ZonedDateTime[] fixingDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 3, 18),
DateUtils.getUTCDate(2014, 6, 18),
DateUtils.getUTCDate(2014, 9, 18),
DateUtils.getUTCDate(2014, 12, 18)
};
final ZonedDateTime[] startPeriodDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 3, 20),
DateUtils.getUTCDate(2014, 6, 20),
DateUtils.getUTCDate(2014, 9, 22),
DateUtils.getUTCDate(2014, 12, 22)
};
final ZonedDateTime[] endPeriodDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 6, 20),
DateUtils.getUTCDate(2014, 9, 22),
DateUtils.getUTCDate(2014, 12, 22),
DateUtils.getUTCDate(2015, 03, 23)
};
for (int loopcpn = 0; loopcpn < iborAnnuity.getPayments().length; loopcpn++) {
assertEquals(paymentDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getPaymentDate());
assertEquals(fixingDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getFixingDate());
assertEquals(
startPeriodDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getFixingPeriodStartDate());
assertEquals(
endPeriodDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getFixingPeriodEndDate());
}
}
@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(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullAnnuity() {
AnnuityCouponIborDefinition.from(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullIndex2() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, null, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNegativeNotional2() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, -NOTIONAL, INDEX, IS_PAYER);
}
public class AnnuityCouponIborDefinitionTest {
// Libor3m
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final PeriodFrequency INDEX_FREQUENCY = PeriodFrequency.QUARTERLY;
private static final int SETTLEMENT_DAYS = 2;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT = 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 Currency CUR = Currency.USD;
private static final IborIndex INDEX =
new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM);
// Annuity description
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 17);
private static final boolean IS_PAYER = true;
private static final double NOTIONAL = 1000000;
private static final ZonedDateTime MATURITY_DATE =
ScheduleCalculator.getAdjustedDate(
SETTLEMENT_DATE, BUSINESS_DAY, CALENDAR, IS_EOM, ANNUITY_TENOR);
private static final ZonedDateTime[] PAYMENT_DATES_UNADJUSTED =
ScheduleCalculator.getUnadjustedDateSchedule(SETTLEMENT_DATE, MATURITY_DATE, INDEX_FREQUENCY);
private static final ZonedDateTime[] PAYMENT_DATES =
ScheduleCalculator.getAdjustedDateSchedule(PAYMENT_DATES_UNADJUSTED, BUSINESS_DAY, CALENDAR);
private static final AnnuityCouponIborDefinition IBOR_ANNUITY =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
private static final ZonedDateTime REFERENCE_DATE =
DateUtils.getUTCDate(2011, 3, 15); // For conversion to derivative
private static final double FIXING_RATE = 0.05;
private static final DoubleTimeSeries<ZonedDateTime> FIXING_TS;
static {
FIXING_TS =
new ArrayZonedDateTimeDoubleTimeSeries(
new ZonedDateTime[] {REFERENCE_DATE}, new double[] {FIXING_RATE});
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullConversionDate() {
IBOR_ANNUITY.toDerivative(null, FIXING_TS, new String[] {"L", "K"});
}
@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(expectedExceptions = IllegalArgumentException.class)
public void testNullPayments() {
new AnnuityCouponIborDefinition(null);
}
@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 testFrom() {
final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
final Period indexTenor = Period.ofMonths(3);
final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
final IborIndex index =
new IborIndex(CUR, indexTenor, SETTLEMENT_DAYS, CALENDAR, dayCount, BUSINESS_DAY, IS_EOM);
final AnnuityCouponIborDefinition iborAnnuity =
AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(1), NOTIONAL, index, IS_PAYER);
final ZonedDateTime[] paymentDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 6, 20),
DateUtils.getUTCDate(2014, 9, 22),
DateUtils.getUTCDate(2014, 12, 22),
DateUtils.getUTCDate(2015, 03, 20)
};
final ZonedDateTime[] fixingDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 3, 18),
DateUtils.getUTCDate(2014, 6, 18),
DateUtils.getUTCDate(2014, 9, 18),
DateUtils.getUTCDate(2014, 12, 18)
};
final ZonedDateTime[] startPeriodDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 3, 20),
DateUtils.getUTCDate(2014, 6, 20),
DateUtils.getUTCDate(2014, 9, 22),
DateUtils.getUTCDate(2014, 12, 22)
};
final ZonedDateTime[] endPeriodDates =
new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 6, 20),
DateUtils.getUTCDate(2014, 9, 22),
DateUtils.getUTCDate(2014, 12, 22),
DateUtils.getUTCDate(2015, 03, 23)
};
for (int loopcpn = 0; loopcpn < iborAnnuity.getPayments().length; loopcpn++) {
assertEquals(paymentDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getPaymentDate());
assertEquals(fixingDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getFixingDate());
assertEquals(
startPeriodDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getFixingPeriodStartDate());
assertEquals(
endPeriodDates[loopcpn], iborAnnuity.getNthPayment(loopcpn).getFixingPeriodEndDate());
}
}
@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));
}
@Test
public void testToDerivativeAfterFixing() {
final String fundingCurve = "Funding";
final String forwardCurve = "Forward";
final String[] curves = {fundingCurve, forwardCurve};
final Payment[] couponIborConverted = new Payment[PAYMENT_DATES.length];
ZonedDateTime date = REFERENCE_DATE.plusMonths(1);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponIborConverted[loopcpn] =
IBOR_ANNUITY.getNthPayment(loopcpn).toDerivative(date, FIXING_TS, curves);
}
GenericAnnuity<Payment> referenceAnnuity = new GenericAnnuity<Payment>(couponIborConverted);
GenericAnnuity<? extends Payment> convertedDefinition =
IBOR_ANNUITY.toDerivative(date, FIXING_TS, curves);
assertEquals(referenceAnnuity, convertedDefinition);
assertTrue(convertedDefinition.getNthPayment(0) instanceof CouponFixed);
assertEquals(
((CouponFixed) convertedDefinition.getNthPayment(0)).getFixedRate(), FIXING_RATE, 0);
for (int i = 1; i < PAYMENT_DATES.length; i++) {
assertTrue(convertedDefinition.getNthPayment(i) instanceof CouponIbor);
}
date = REFERENCE_DATE;
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponIborConverted[loopcpn] =
IBOR_ANNUITY.getNthPayment(loopcpn).toDerivative(date, FIXING_TS, curves);
}
referenceAnnuity = new GenericAnnuity<Payment>(couponIborConverted);
convertedDefinition = IBOR_ANNUITY.toDerivative(date, FIXING_TS, curves);
assertEquals(referenceAnnuity, convertedDefinition);
assertTrue(convertedDefinition.getNthPayment(0) instanceof CouponFixed);
assertEquals(
((CouponFixed) convertedDefinition.getNthPayment(0)).getFixedRate(), FIXING_RATE, 0);
for (int i = 1; i < PAYMENT_DATES.length; i++) {
assertTrue(convertedDefinition.getNthPayment(i) instanceof CouponIbor);
}
}
@Test
public void testToDerivativeBeforeFixing() {
final String fundingCurve = "Funding";
final String forwardCurve = "Forward";
final String[] curves = {fundingCurve, forwardCurve};
final Payment[] couponIborConverted = new Payment[PAYMENT_DATES.length];
final ZonedDateTime date = REFERENCE_DATE.minusDays(1);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponIborConverted[loopcpn] =
IBOR_ANNUITY.getNthPayment(loopcpn).toDerivative(date, FIXING_TS, curves);
}
final GenericAnnuity<Payment> referenceAnnuity =
new GenericAnnuity<Payment>(couponIborConverted);
final GenericAnnuity<? extends Payment> convertedDefinition =
IBOR_ANNUITY.toDerivative(date, FIXING_TS, curves);
assertEquals(referenceAnnuity, convertedDefinition);
for (int i = 0; i < PAYMENT_DATES.length; i++) {
assertTrue(convertedDefinition.getNthPayment(i) instanceof CouponIbor);
}
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate1() {
AnnuityCouponIborDefinition.from(null, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate2() {
AnnuityCouponIborDefinition.from(null, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate3() {
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
null, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullPeriod() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, (Period) null, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullMaturityDate1() {
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, (ZonedDateTime) null, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullMaturityDate2() {
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, null, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNegativeNotional1() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, -NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNegativeNotional2() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, -NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNegativeNotional3() {
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, -NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullIndex1() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, null, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullIndex2() {
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, null, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullIndex3() {
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, null, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullAnnuity() {
AnnuityCouponIborDefinition.from(null);
}
@Test
public void testStaticConstruction() {
AnnuityCouponIborDefinition definition1 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER);
AnnuityCouponIborDefinition definition2 =
AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
assertEquals(definition1, definition2);
assertEquals(IS_PAYER, definition1.isPayer());
definition2 =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
definition2 =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
definition1 =
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
definition2 =
AnnuityCouponIborDefinition.fromAccrualUnadjusted(
SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, INDEX, !IS_PAYER);
assertFalse(definition1.equals(definition2));
}
@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 testStaticConstructionNullMaturityDate1() {
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, (ZonedDateTime) null, NOTIONAL, INDEX, IS_PAYER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testStaticConstructionNullSettlementDate2() {
AnnuityCouponIborDefinition.from(null, MATURITY_DATE, NOTIONAL, INDEX, IS_PAYER);
}
@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));
}