@Test
public void test() {
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
// First coupon uses settlement date
final double sign = IS_PAYER ? -1.0 : 1.0;
coupons[0] =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
sign * NOTIONAL,
RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] =
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,
RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons);
assertEquals(fixedAnnuity.isPayer(), IS_PAYER);
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
assertEquals(fixedAnnuity.getNthPayment(loopcpn), coupons[loopcpn]);
}
}
@Test
public void testToDerivative() {
final double sign = IS_PAYER ? -1.0 : 1.0;
final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
// First coupon uses settlement date
coupons[0] =
new CouponFixedDefinition(
CUR,
PAYMENT_DATES[0],
SETTLEMENT_DATE,
PAYMENT_DATES[0],
DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
sign * NOTIONAL,
RATE);
for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
coupons[loopcpn] =
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,
RATE);
}
final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons);
// final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
// final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.ofMidnight(REFERENCE_DATE),
// TimeZone.UTC);
final String fundingCurve = "Funding";
final CouponFixed[] couponFixedConverted = new CouponFixed[PAYMENT_DATES.length];
for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
couponFixedConverted[loopcpn] =
fixedAnnuity.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE, fundingCurve);
}
final AnnuityCouponFixed referenceAnnuity = new AnnuityCouponFixed(couponFixedConverted);
final AnnuityCouponFixed convertedDefinition =
fixedAnnuity.toDerivative(REFERENCE_DATE, fundingCurve);
assertEquals(referenceAnnuity, convertedDefinition);
}
@Test
public void testPaymentDates() {
AnnuityCouponFixedDefinition fixedAnnuity;
ZonedDateTime[] expectedPaymentDate;
// End date is modified
fixedAnnuity =
AnnuityCouponFixedDefinition.from(
CUR,
SETTLEMENT_DATE,
ANNUITY_TENOR,
PAYMENT_TENOR,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
expectedPaymentDate =
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 19),
DateUtils.getUTCDate(2012, 3, 19),
DateUtils.getUTCDate(2012, 9, 17),
DateUtils.getUTCDate(2013, 3, 18)
};
for (int loopcpn = 0; loopcpn < expectedPaymentDate.length; loopcpn++) {
assertEquals(
expectedPaymentDate[loopcpn], fixedAnnuity.getNthPayment(loopcpn).getPaymentDate());
}
// Check modified in modified following.
final ZonedDateTime settlementDateModified = DateUtils.getUTCDate(2011, 3, 31);
fixedAnnuity =
AnnuityCouponFixedDefinition.from(
CUR,
settlementDateModified,
ANNUITY_TENOR,
PAYMENT_TENOR,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
expectedPaymentDate =
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 30),
DateUtils.getUTCDate(2012, 3, 30),
DateUtils.getUTCDate(2012, 9, 28),
DateUtils.getUTCDate(2013, 3, 29)
};
for (int loopcpn = 0; loopcpn < expectedPaymentDate.length; loopcpn++) {
assertEquals(
expectedPaymentDate[loopcpn], fixedAnnuity.getNthPayment(loopcpn).getPaymentDate());
}
// End-of-month
final ZonedDateTime settlementDateEOM = DateUtils.getUTCDate(2011, 2, 28);
fixedAnnuity =
AnnuityCouponFixedDefinition.from(
CUR,
settlementDateEOM,
ANNUITY_TENOR,
PAYMENT_TENOR,
CALENDAR,
DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
NOTIONAL,
RATE,
IS_PAYER);
expectedPaymentDate =
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 8, 31),
DateUtils.getUTCDate(2012, 2, 29),
DateUtils.getUTCDate(2012, 8, 31),
DateUtils.getUTCDate(2013, 2, 28)
};
for (int loopcpn = 0; loopcpn < expectedPaymentDate.length; loopcpn++) {
assertEquals(
expectedPaymentDate[loopcpn], fixedAnnuity.getNthPayment(loopcpn).getPaymentDate());
}
}
