/** Tests related to the discounting method for bond security. */
public class BondSecurityFRDiscountingMethodTest {
// Calculators
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final BondSecurityDiscountingMethod METHOD =
BondSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-8;
private static final String REPO_TYPE = "General collateral";
private static final Currency EUR = Currency.EUR;
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final DayCount DAY_COUNT_ACTACTICMA =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");
private static final BusinessDayConvention BUSINESS_DAY_FOL =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM_FIXED = false;
// To derivatives
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final String CREDIT_CURVE_NAME = "Credit";
private static final String REPO_CURVE_NAME = "Repo";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAME = {
CREDIT_CURVE_NAME, REPO_CURVE_NAME, FORWARD_CURVE_NAME
};
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurvesBond1();
// FRTR 4 1/2 04/25/41 - ISIN: FR0010773192
private static final String ISSUER_FR = "FRANCE (GOVT OF)";
private static final YieldConvention YIELD_CONVENTION_FRANCE =
SimpleYieldConvention.FRANCE_COMPOUND_METHOD;
private static final int SETTLEMENT_DAYS_FR = 3;
private static final Period PAYMENT_TENOR_FR = Period.ofMonths(12);
// private static final int COUPON_PER_YEAR_FR = 1;
private static final ZonedDateTime BOND_START_FR = DateUtils.getUTCDate(2009, 4, 25);
private static final ZonedDateTime BOND_MATURITY_FR = DateUtils.getUTCDate(2041, 4, 25);
private static final ZonedDateTime BOND_FIRSTCPN_FR = DateUtils.getUTCDate(2010, 4, 25);
private static final double RATE_FR = 0.0450;
private static final BondFixedSecurityDefinition BOND_FR_SECURITY_DEFINITION =
BondFixedSecurityDefinition.from(
EUR,
BOND_START_FR,
BOND_FIRSTCPN_FR,
BOND_MATURITY_FR,
PAYMENT_TENOR_FR,
RATE_FR,
SETTLEMENT_DAYS_FR,
TARGET,
DAY_COUNT_ACTACTICMA,
BUSINESS_DAY_FOL,
YIELD_CONVENTION_FRANCE,
IS_EOM_FIXED,
ISSUER_FR);
}
static {
for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
MATURITY_DATE[loopbasket] = START_ACCRUAL_DATE[loopbasket].plus(BOND_TENOR[loopbasket]);
BASKET_DEFINITION[loopbasket] =
BondFixedSecurityDefinition.from(
CUR,
MATURITY_DATE[loopbasket],
START_ACCRUAL_DATE[loopbasket],
PAYMENT_TENOR,
RATE[loopbasket],
SETTLEMENT_DAYS,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
YIELD_CONVENTION,
IS_EOM,
ISSUER_NAME);
}
}
/**
* Test related to the description of a bond total return swap with an underlying bond and a funding
* leg.
*/
public class BondTotalReturnSwapTest {
private static final ZonedDateTime EFFECTIVE_DATE_1 = DateUtils.getUTCDate(2012, 2, 9);
private static final ZonedDateTime TERMINATION_DATE_1 = DateUtils.getUTCDate(2012, 5, 9);
private static final ZonedDateTime REFERENCE_DATE_1 =
DateUtils.getUTCDate(2012, 2, 2); // Before effective date.
private static final double EFFECTIVE_TIME_1_1 =
TimeCalculator.getTimeBetween(REFERENCE_DATE_1, EFFECTIVE_DATE_1);
private static final double TERMINATION_TIME_1_1 =
TimeCalculator.getTimeBetween(REFERENCE_DATE_1, TERMINATION_DATE_1);
private static final double NOTIONAL_TRS = 123456000;
// Bond (UKT)
private static final double NOTIONAL_BND = 100000000;
private static final BondFixedSecurityDefinition UKT14_DEFINITION =
BondDataSetsGbp.bondUKT5_20140907();
private static final BondFixedSecurity UKT14_1_1 =
UKT14_DEFINITION.toDerivative(REFERENCE_DATE_1, EFFECTIVE_DATE_1);
// Funding: unique fixed coupon in GBP: receive TRS bond, pay funding
private static final double RATE = 0.0043;
private static final CouponFixedDefinition FUNDING_FIXED_CPN_REC_DEFINITION =
new CouponFixedDefinition(
UKT14_DEFINITION.getCurrency(),
TERMINATION_DATE_1,
EFFECTIVE_DATE_1,
TERMINATION_DATE_1,
0.25,
NOTIONAL_TRS,
RATE);
private static final AnnuityDefinition<? extends PaymentDefinition>
FUNDING_LEG_FIXED_REC_DEFINITION =
new AnnuityDefinition<>(
new CouponFixedDefinition[] {FUNDING_FIXED_CPN_REC_DEFINITION},
UKT14_DEFINITION.getCalendar());
private static final Annuity<? extends Payment> FUNDING_LEG_FIXED_REC_1 =
FUNDING_LEG_FIXED_REC_DEFINITION.toDerivative(REFERENCE_DATE_1);
private static final BondTotalReturnSwap TRS_PAY_FIXED_REC_1 =
new BondTotalReturnSwap(
EFFECTIVE_TIME_1_1,
TERMINATION_TIME_1_1,
FUNDING_LEG_FIXED_REC_1,
UKT14_1_1,
-NOTIONAL_BND);
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullFundingLeg() {
new BondTotalReturnSwap(
EFFECTIVE_TIME_1_1, TERMINATION_TIME_1_1, null, UKT14_1_1, -NOTIONAL_BND);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullBond() {
new BondTotalReturnSwap(
EFFECTIVE_TIME_1_1, TERMINATION_TIME_1_1, FUNDING_LEG_FIXED_REC_1, null, -NOTIONAL_BND);
}
@Test
public void getter() {
assertEquals(
"BondTotalReturnSwap: getter", EFFECTIVE_TIME_1_1, TRS_PAY_FIXED_REC_1.getEffectiveTime());
assertEquals(
"BondTotalReturnSwap: getter",
TERMINATION_TIME_1_1,
TRS_PAY_FIXED_REC_1.getTerminationTime());
assertEquals(
"BondTotalReturnSwap: getter",
FUNDING_LEG_FIXED_REC_1,
TRS_PAY_FIXED_REC_1.getFundingLeg());
assertEquals("BondTotalReturnSwap: getter", UKT14_1_1, TRS_PAY_FIXED_REC_1.getAsset());
assertEquals("BondTotalReturnSwap: getter", -NOTIONAL_BND, TRS_PAY_FIXED_REC_1.getQuantity());
}
}
